Bong-Gyu Jang

• Asset Pricing, Portfolio Theory, Life-Cycle Asset Management (Pensions), Credit Risk, Interest Rates, and Derivatives

• Financial Engineering, Mathematical Finance, and Fintech

• "Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao)
  Insurance: Mathematics and Economics, Vol 48, Issue 5, Sep. 2020, 549-551.

• "Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)
  Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56.

• "Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh)

  Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948.

• "Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon)
  Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36.

• "Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee)
  Economic Theory, Vol 62, Issue 3, 2016, 587-633.

• "Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park)
  Operations Research, Vol 64, Issue 4, 2016, 1015-1032.

• "Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim)

  Journal of Banking & Finance, Vol 56, 2015, 37-47.

• "Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)
  Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604.

• "Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon)
  Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145.

• "A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee)
  Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627.

• "Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo,  Hong Liu and Mark Loewenstein)

  Journal of Finance, Vol 62, No 5, 2007, 2329-2366.

• "Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Byung June Kim)

• "Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee)

• "Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee)
  submitted.

• "Ambiguity Aversion and Optimal Investment with Transaction Costs" (with Taeyoon Kim, Seungkyu Lee and Seyoung Park)

• "Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo) 

• "Short-Term Market Changes and Market Making with Inventory" (with Jin Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park)
  submitted.

• "Optimal Reinsurance and Asset Allocation with Correlation Risks" (with  Alain Bensoussan and Jin-Gi Kim) 

• "Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)

• "Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)

• "How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae)

• "American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo)

• "Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Hyun-Tak Lee and Kyeong Tae Kim)
  under 2nd round review (European Financial Management).

• "Forecasting Uncertainty of the Oil Future Prices via Machine Learning" (with with Byung-June Kim and Taeyoon Kim) 
  submitted.

• "Convertible Bond Valuation with Regime Switching" (with Byung-June Kim)

• "A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)