Minsuk Kwak

Department of Mathematics, Hankuk University of Foreign Studies

Prof.

81 Oedae-ro

Yongin, 449-791

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 24,242

SSRN RANKINGS

Top 24,242

in Total Papers Downloads

3,138

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (15)

1.

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak
Peking University HSBC Business School, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,684 (15,569)
Citation 2

Abstract:

Loading...

implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation

2.

A Black-Scholes User's Guide to the Bachelier Model

Journal of Futures Markets, 42(5):959-980, 2022
Number of pages: 30 Posted: 19 Apr 2021 Last Revised: 05 May 2022
Peking University HSBC Business School, Department of Mathematics, Hankuk University of Foreign Studies, Singapore Management University - Lee Kong Chian School of Business and Bank of Communications Co. Ltd.
Downloads 549 (74,510)

Abstract:

Loading...

Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model

3.

Decision Horizon and Idiosyncratic Risk

Number of pages: 61 Posted: 07 Dec 2013 Last Revised: 30 May 2020
University of Calgary - Haskayne School of Business, Department of Mathematics, Hankuk University of Foreign Studies, Ajou University - Department of Financial Engineering and University of Oklahoma
Downloads 223 (199,230)

Abstract:

Loading...

Real options, Decision horizon, Idiosyncratic volatility, Project selection, Firm investments, Incomplete markets

4.

Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution

Number of pages: 43 Posted: 27 Oct 2014 Last Revised: 03 Oct 2017
Minsuk Kwak and Traian A. Pirvu
Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 190 (230,533)
Citation 2

Abstract:

Loading...

cumulative prospect theory, portfolio optimization, portfolio fund separation, generalized hyperbolic skewed t distribution

5.

Time Preference and Real Investment

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 46 Posted: 30 Jan 2014 Last Revised: 28 Feb 2019
Kyoung Jin Choi, Minsuk Kwak and Gyoocheol Shim
University of Calgary - Haskayne School of Business, Department of Mathematics, Hankuk University of Foreign Studies and Ajou University - Department of Financial Engineering
Downloads 182 (239,325)
Citation 1

Abstract:

Loading...

time preference, risk attitude, wealth effect, real option, idiosyncratic risk

6.

Risk Minimization and Portfolio Diversification

Quantitative Finance 16.9 (2016): 1325-1332
Number of pages: 14 Posted: 03 Feb 2017 Last Revised: 04 Feb 2017
California Institute of Technology, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 109 (356,439)
Citation 2

Abstract:

Loading...

Portfolio Optimization; Risk Management; Correlation; Risk Measures

7.

Horizon Effect on Optimal Retirement Decision

Quantitative Finance, Forthcoming
Number of pages: 50 Posted: 07 Sep 2021 Last Revised: 12 Sep 2022
Junkee Jeon, Minsuk Kwak and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Department of Mathematics, Hankuk University of Foreign Studies and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 58 (511,972)

Abstract:

Loading...

early retirement, mandatory retirement, optimal stopping in finite horizon, consumption and investment, life insurance, parabolic free-boundary problem, non-linear integral equation

8.

Valuing Real Options with Endogenous Payoff

Number of pages: 35 Posted: 18 Aug 2021 Last Revised: 23 Mar 2022
Kyoung Jin Choi and Minsuk Kwak
University of Calgary - Haskayne School of Business and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 53 (533,350)

Abstract:

Loading...

real options, scale-dependent payoff, risk management, speculative usage of derivatives, risk-return trade-off

9.

Practical Partial Equilibrium Framework for Pricing of Mortality-Linked Instruments in Continuous Time

Number of pages: 22 Posted: 10 Aug 2020
Petar Jevtic, Minsuk Kwak and Traian A. Pirvu
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 37 (614,190)

Abstract:

Loading...

10.

A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints

Number of pages: 36 Posted: 29 Aug 2022
Junkee Jeon, Hyeng Keun Koo and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 23 (709,576)

Abstract:

Loading...

dual two-person zero-sum game, optimal retirement, borrowing constraint, general utility, Nash-equilibrium, Hamilton-Jacobi-Bellman quasi-variational inequality

11.

Optimal Consumption and Investment with Welfare Constraints

Number of pages: 44 Posted: 01 Jun 2022
Junkee Jeon and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 16 (768,981)

Abstract:

Loading...

consumption and investment, welfare constraints, general utility, singular control problem, duality approach, dynamic constraints

12.

Labor-Leisure Choices in the Long Run: Is YOLO Sustainable?

Number of pages: 45
Kyoung Jin Choi, Minsuk Kwak and Byung Hwa Lim
University of Calgary - Haskayne School of Business, Department of Mathematics, Hankuk University of Foreign Studies and SKK Business School, Department of Fintech, Sungkyunkwan University
Downloads 14

Abstract:

Loading...

YOLO, labor-leisure choice, recursive utility, sustainable policies, free boundary value problems

13.

A Multi Period Equilibrium Pricing Model

Minsuk Kwak, Traian A. Pirvu, and Huayue Zhang, “A Multiperiod Equilibrium Pricing Model,” Journal of Applied Mathematics, vol. 2014, Article ID 408685, 14 pages, 2014. doi:10.1155/2014/408685
Posted: 08 Nov 2013 Last Revised: 29 Apr 2014
Minsuk Kwak, Traian A. Pirvu and Huayue Zhang
Department of Mathematics, Hankuk University of Foreign Studies, McMaster University and Nankai University - School of Economics

Abstract:

Loading...

Nash subgame perfect, time consistency, incomplete market, equilibrium price

14.

Optimal Portfolio Selection with Life Insurance Under Inflation Risk

Journal of Banking and Finance, Forthcoming
Posted: 02 Oct 2013 Last Revised: 01 Dec 2014
Minsuk Kwak and Byung Hwa Lim
Department of Mathematics, Hankuk University of Foreign Studies and SKK Business School, Department of Fintech, Sungkyunkwan University

Abstract:

Loading...

Optimal consumption/investment, Inflation risk, Index bond, Life insurance

15.

Optimal Investment and Consumption Decision of Family with Life Insurance

Posted: 16 Jun 2009 Last Revised: 29 Oct 2010
Minsuk Kwak, Yong Hyun Shin and U. Jin Choi
Department of Mathematics, Hankuk University of Foreign Studies, Department of Mathematics, Sookmyung Women's University and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

Loading...

Life insurance, Optimal investment/consumption, Labor income, Utility maximization, Martingale method