장 봉 규

• 투자론/금융위험관리(자산배분, 생애주기 자산관리, 채권, 파생금융상품, 신용위험, 연금/보험 등)
  
  
• 금융공학/금융수학

• "국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략" (강민정, 김병준 공저)
  한국증권학회지, 게재예정.
  

• "서울 아파트 매매가의 영구적, 일시적 요인 분석" (김진기, 이현탁 공저)
  부동산학연구, 제23집, 제1호, 2017년 3월, 19-37.
  

• "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.

• "Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim)
  Finance Research Letters, Vol 18, Aug. 2016, 342-352.

• "Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park)
  Finance Research Letters, Vol 18, Aug. 2016, 158-176.

• "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.

• "보험부채 공정가치 평가목적 할인율에 관한 연구" (노건엽, 태현욱 공저)
  보험학회지, 제107집, 2016년 7월, 75-108.
  

• "서울아파트시장에서 영구적•일시적 가격충격의 시간에 따른 변화 분석" (김은영, 이현탁 공저)
  금융공학연구, 제15권, 제2호, 2016년 6월, 1-28.
  

• "인구변화를 고려한 자동차요율 최적화" (최창희 공저)
  보험금융연구, 제27권, 제2호, 2016년 5월, 81-109.
  

• "Retirement with Risk Aversion Change and Borrowing Constraints" (with Hoseok Lee)
  Finance Research Letters, Vol 16, Feb. 2016, 112-124.

• "금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고" (태현욱, 임상규 공저)
  한국증권학회지, 제44권, 제5호, 2015년 12월, 947-995.
  

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

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

• "Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin)
  Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74.
  
  
• "경기주기와 베이지안 학습기법을 고려한 개인의 자산관리 연구" (박세영, 이현탁, 이유나 공저)
  한국경영과학회지, Vol 39, No 2, 2014, 49-66.
  
  
• "Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park)
  Operations Research Letters, Vol 42, Issue 3, 2014, 208-212.
  
  
• "When Do the Unemplyed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park)
  Management Science & Financial Engineering, Vol 19, No 2, 2013, 43-47.
  
  
• "Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)
  Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604.
  
  
• "A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim)
  Quantitative Finance, Vol 13, Issue 6, 2013, 885-895.
  
  
• "수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정" (이승규, 김인준 공저)
  대한산업공학회지, 제38권, 제4호, 2012년 12월, 244-248.
  
  
• "Stock Returns and Market Making with Inventory" (with Seyoung Park)
  Management Science & Financial Engineering, Vol 18, No 2, 2012, 1-4.
  
  
• "An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon)
  Operations Research Letters, Vol 39, Issue 3, 2011, 180-187.
  
  
• "마코프 국면전환을 고려한 이자율 기간구조 연구" (이유나, 박세영, 최종오 공저)
  대한산업공학회지, 제36권, 제3호, 2010, 203-211.
  
  
• "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.
  
  
• "Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh)
  Quantitative Finance, Vol 9, Issue 7, 2009, 819-825.
  
  
• "일반상품 가격을 어떻게 모형화 할 것인가?: 국내 파생결합증권(DLS)의 가치평가" (임상규, 이호석 공저)
  선물연구, 제17권, 제1호, 2009, 51-75.
  
  
• "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.
  
  
• "A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim)
  Operations Research Letters, Vol 36, Issue 2, 2008, 177-183.
  
  
• "Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo,  Hong Liu and Mark Loewenstein)

  Journal of Finance, Vol 62, No 5, 2007, 2329-2366.
  
  
• "An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo)
  Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252.
  
  
• "Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends"
  Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150.
  
  
• "한국시장에서의 이자율 스왑 스프레드 결정 요인 연구" (임상규 공저)
  산업경제연구, 제20권, 제3호, 2007, 1105-1129.
  
  
• "Transaction Costs and Asset Valuation" (with Hyeng Keun Koo and U Jin Choi)
  Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111.

• "Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee)
  Accpted by the 2015 China International Conference in Finance.

• "Portfolio and Annuity Demand with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)

  A primitive version of this paper was accepted by the 2009 China International Conference in Finance.

• "A Utility Model of Learning How to Consume" (with Phillip H. Dybvig and Hyeng Keun Koo) 

• "Liquidity-Adjusted Dividend-Ratio Model with Vector Autoregressive Approach" (with Bong-Soo Lee and Hyun-Tak Lee)

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

• "Consumption, Retirement, and Asset Allocation with Unemployment Risks and Borrowing Constraints" (with Seyoung Park)
  submitted.

• "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)

• "Liquidity Premia, Transaction Costs, and Model Misspecification" (with Seungkyu Lee and Seyoung Park)

• "Mark-to-Market Reinsurance and Portfolio Selection: Implication for Information Quality" (with Kyeong Tae Kim and Hyun-Tak Lee)
  submitted.

• "Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae)
  submitted.

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