Minsuk Kwak

Department of Mathematics, Hankuk University of Foreign Studies

Prof.

81 Oedae-ro

Yongin, 449-791

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 25,079

SSRN RANKINGS

Top 25,079

in Total Papers Downloads

1,979

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (9)

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 School of Business, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,294 (15,617)
Citation 2

Abstract:

Loading...

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

2.

Decision Horizon and Idiosyncratic Risk

Number of pages: 61 Posted: 07 Dec 2013 Last Revised: 06 Nov 2019
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 194 (164,266)

Abstract:

Loading...

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

3.

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 177 (178,360)
Citation 3

Abstract:

Loading...

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

4.

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 171 (183,847)
Citation 1

Abstract:

Loading...

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

5.

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
University of California, Berkeley - Department of Economics, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 100 (278,439)
Citation 1

Abstract:

Loading...

Portfolio Optimization; Risk Management; Correlation; Risk Measures

6.

Equilibrium Pricing Approach for Longevity Bonds

Number of pages: 22 Posted: 25 Jul 2018 Last Revised: 02 Oct 2019
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 43 (433,070)

Abstract:

Loading...

7.

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

8.

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 The University of Suwon - Department of Economics and Finance

Abstract:

Loading...

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

9.

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