● 학력 (Education)

2005.09 - 2013.08 : 연세대학교 수학과 박사

● 경력 (Experience)

2024.03 - 현재: 부산대학교 수학과 교수
2020.09 - 2021.08 : 연세대학교 수학과 연구교수

2019.03 - 2024.02 : 부산대학교 수학과 부교수

2018.09 - 2020.08 : 부산대학교 수학과장

2015.03 - 2019.02 : 부산대학교 수학과 조교수
2013.11 - 2015.02 : 서울대학교 수리과학부 BK21 연구원(Post-Doc)
2011.06 - 2014.08 : 연세대학교 수학과 시간강사
2012.03 - 2012.08 : 덕성여자대학교 수학과 시간강사
2007.04 - 2009.06 : 해군사관학교 교수부 이학처 조교수
2006.07 - 2007.04 : 해군사관학교 교수부 이학처 교관

● 대표논문 (Selected Publications)

○국외학술지 논문

(S)SCI(E)

[1] Donghyun Kim, Mijin Ha, Sun-Yong Choi, Ji-Hun Yoon(2024), Pricing of Vulnerable Timer Options, Computational Economics : Nonlinear Dynamics and Complex Systems, 2024, Published: 12 October 2023. (DOI, https://doi.org/10.1007/s10614-023-10469-1)

[2]T. Kim, J. Park, J.-H. Yoon, K.-A. Lee (2024), "Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach", Fractional Calculus and Applied Analysis (2024) 27:247?280.

[3] D. Kim, Y. H. Shin, J.-H. Yoon (2024), "The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs", North American Journal of Economics and Finance 70 (2024) 102058.

[4] S.-Y. Choi, D. Kim, J.-H. Yoon(2024), "An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility", AIMS Mathematics, 9(1): 2454?2472.

[5] M. Ha, D. Kim, J.-H. Yoon(2024), "Valuing of timer path-dependent options", Mathematics and Computers in Simulation, Volume 215, January 2024, Pages 208-227.

[6] Q. Li, S. Ahn, J.-H. Yoon (2024) “Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio”, Japan Journal of Industrial and Applied Mathematics , Volume 41, pages 421?446, (2024)

[7] D. Kim, J.-H. Yoon (2023), “Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk”, Japan Journal of Industrial and Applied Mathematics, Volume 40, pages 985-1013, DOI: https://doi.org/10.1007/s13160-022-00558-3.

[8] D. Kim, J.-H. Yoon(Corresponding Author) (2023), “Analytic Method for Pricing Vulnerable External Barrier Options”, Computational Economics, Volume 61, pages 1561-1591, https://link.springer.com/article/10.1007/s10614-022-10251-9.

[9] D. Kim, J. Woo, J-H. Yoon(Corresponding Author) (2023), “PRICING AMERICAN LOOKBACK OPTIONS UNDER A STOCHASTIC VOLATILITY MODEL”, Bulletin of the Korean Mathematical Society, Volume 60 Issue 2, Pages.361-388, (https://doi.org/10.4134/BKMS.b220134)

[10]I. Kim, T. Kim, K.-A. Lee, J.-H. Yoon (2023), “New approach and analysis of the generalized constant elasticity of variance model”, Applied Stochastic Models In Business and Industry, Volume 39 Issue 1, Pages: 114-155, DOI: 10.1002/asmb.2730.

[11] S.-Y Choi, S. Veng, J. H. Kim and J.-H. Yoon(Corresponding Author) (2022) "A Mellin Transform Approach to the Pricing of Options with Default Risk", Computational Economics , 59, pages1113?1134.

[12]D. Kim, G. Kim, J.-H. Yoon(Corresponding Author) (2022) “Pricing of vulnerable exchange options with early counterparty credit risk”, North American Journal of Economics and Finance, 59 (2022) 101624.

[13]D. Kim, J.-H. Yoon(Corresponding Author) and C.-R. Park (2021) "Pricing external barrier options under a stochastic volatility model", Journal of Computational and Applied Mathematics, Volume 394, 1 October 2021, 113555.

[14]S.-Y. Choi, J. H. Kim and J.-H. Yoon(Corresponding Author) (2021) “Foreign exchange rate volatility smiles and smirks”, Applied Stochastic Model in Business and Industry, Volume 37, Issue 3, Pages 628-660.

[15]D. Kim, S.-Y. Choi and J.-H. Yoon(Corresponding Author) (2021) "Pricing of vulnerable options under hybrid stochastic and local volatility", CHAOS SOLITONS & FRACTALS, Volume 146, Article ID 110846.

[16]D. Kim, J.-H. Yoon, G. Kim (2021), "Closed-form pricing formula for foreign equity option with credit risk", ADVANCES IN DIFFERENTIAL EQUATIONS /ISSN = 1079-9389, Vol.332, pp.1-17 (2021/07) (KHAYYAM PUBL CO INC)

[17]S.-Y. Choi and J.-H. Yoon(Corresponding Author) (2020) “Fitting Returns of Stock Index to Various Parametric Distributions: Measure the risks associated with ELS”, Mathematical Problems in Engineering, Volume 2020, Article ID 9763065, 23 pages.

[18]J. Jeon, J.-H. Yoon(Corresponding Author) and S.-Y. Choi (2020) “Analytic valuation of European continuous-installment barrier options”, Journal of Computational and Applied Mathematics, Volume 363, 1 January 2020, Pages 392-412.

[19]S. Veng, S.-Y. Choi and J.-H. Yoon(Corresponding Author) (2019) “A multifactor Heston’s stochastic volatility model for European option pricing”, Applied Stochastic Model in Business and Industry, Volume35, Issue5, Pages 1202-1227.

[20]S.-Y. Choi, J.-H. Yoon(Corresponding Author) and J. Jeon (2019) “Pricing of fixed-strike lookback options on assets with default risk”, Mathematical Problems in Engineering, Volume 2019, Article ID 8412698, 10 pages.

[21]J.-H. Yoon, S. Veng (2018) “Asymptotic analysis for portfolio optimization problem under an extended Heston's stochastic volatility model”, Dynamic Systems and Applications, 27, No. 2 (2018), 331-352.

[22]J. Jeon, J.-H. Yoon (Corresponding Author) and C.-R. Park (2018) “The pricing of dynamic fund protection with default risk”, Journal of Computational and Applied Mathematics, vol 333(1), 116-130.

[23]J. Jeon , J.-H. Yoon(Corresponding Author), C.-R. Park (2017) “An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model” Journal of Mathematical Analysis and Applications, 449(1), 207-227

[24]J. Jeon, J.-H. Yoon(Corresponding Author) and M. Kang (2017) “The pricing vulnerable path-dependent options using integral transforms”, Journal of Computational and Applied Mathematics, 313, 259-272.

[25]J.-H. Yoon, J.-H. Kim, S.-Y. Choi and Y.-C. Han (2017) “Stochastic Volatility Asymptotics of Defaultable Interest Rate Derivatives under the Quadratic Gaussian Model.”, Stochastics and Dynamics, 17, 1750003, [24 pages], DOI: http://dx.doi.org/10.1142/S0219493717500034.

[26]J.-H. Yoon, S.-Y. Choi, J. Kim(2016), "The Heston model with stochastic elasticity of variance", APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY /ISSN = 1524-1904, Vol.32, Issue.6, pp.804-824 (2016/12) (JOHN WILEY & SONS LTD)

[27]J.-H. Yoon(2016), "PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS", 대한수학회보(Bulletin of the Korean Mathematical Society) /ISSN = 1015-8634, Vol.53, Issue.5, pp.1497-1530 (2016/09) (대한수학회)

[28]J.-H. Yoon, C.-R. Park(2016), "Pricing turbo warrants under stochastic elasticity of variance", CHAOS SOLITONS & FRACTALS /ISSN = 0960-0779, Vol.88, Issue.Special SI, pp.107-118 (2016/07) (PERGAMON-ELSEVIER SCIENCE LTD)

[29]J.-H. Yoon, M. Kang(2016), "Valuing vulnerable geometric Asian options", COMPUTERS & MATHEMATICS WITH APPLICATIONS /ISSN = 0898-1221, Vol.71, Issue.2, pp.676-691 (2016/01) (PERGAMON-ELSEVIER SCIENCE LTD)

[30] J.-H. Yoon, J. Lee, J. Kim(2015), "Stochastic elasticity of variance with stochastic interest rates", Journal of the Korean Statistical Society /ISSN = 1226-3192, Vol.44, Issue.4, pp.555-564 (2015/12) (한국통계학회)

[31] J.-H. Yoon, J. Lee, J. Kim, S.-Y. Choi(2015), "On the stochastic elasticity of variance diffusions", ECONOMIC MODELLING /ISSN = 0264-9993, Vol.51, pp.263-268 (2015/12) (ELSEVIER SCIENCE BV)

[32]J.-H. Yoon, J. Kim, J. Cho(2015) , "Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models", IMA JOURNAL OF APPLIED MATHEMATICS /ISSN = 0272-4960, Vol.80, pp.651-675 (2015/06) (OXFORD UNIV PRESS)

SCOPUS, 학진등재

[1]윤지훈,김정훈,김미현, "OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES", JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS /ISSN = 1226-9433, Vol.19, Issue.4, pp.417-428 (2015/12) (한국산업응용수학회(구-한국산업정보응용수학회))

[2]윤지훈,전준기, "A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH", East Asian mathematical journal(구. Pusan Kyongnam Mathematical Journal) /ISSN = 1226-6973, Vol.32, Issue.3, pp.301-310 (2016/05) (영남수학회(Executive Board of the Pusan Kyongnam Branch of the Korean Mathematical Society))

[3]. J.-H. YOON(2018), "Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images", Communications of the Korean Mathematical Society /ISSN = 1225-1763, Vol.33, Issue.1, pp.345-360 (2018/01) (대한수학회)

[4] Soyeon Kim, Ji-Hun Yoon(2018), "An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms", East Asian Mathematical Journal /ISSN = 1226-6973, Vol.34, Issue.3, pp.239-248 (2018/05) (Executive Board of the Pusan Kyongnam Branch ofthe Korean MathematicalSociety)

[5]. J. U, D. Kim, J.-H. Yoon(2020) , THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL, JOURNAL OF THE CHUNGCHEONG MATHEMATICAL SOCIETY, Volume 33, No. 2, 181-195, May 2020 http://dx.doi.org/10.14403/jcms.2020.33.2.181

[6]. D.-H. LEE, D. KIM, J.-H. YOON(2021), PREDICTION OF U.S. GOLD FUTURES PRICES USING WAVELET ANALYSIS; A STUDY ON DEEP LEARNING MODELS, J. Appl. Math. & Informatics Vol. 39(2021), No. 1 - 2, pp. 239 - 249 https://doi.org/10.14317/jami.2021.239

[7]. Q. LI, J.-H. YOON(2021), OPTIMUM RETIREMENT PROBLEM INTEGRATED WITH THE OPTIMUM CONSUMPTION AND PORTFOLIO, J. Appl. & Pure Math. Vol. 3(2021), No. 1 - 2, pp. 1 - 17

[8]. D. Lee, D. Kim, and J.-H. Yoon, FORECASTING GOLD FUTURES PRICES CONSIDERING THE BENCHMARK INTEREST RATES , JOURNAL OF THE CHUNGCHEONG MATHEMATICAL SOCIETY Volume 34, No. 2, May 2021 http://dx.doi.org/10.14403/jcms.2021.34.2.157

[9]. S. Ahn , W Y Song, J.-H. Yoon(2021), A PREPAYMENT-RISK-NEUTRAL PRICING MODEL FOR MORTGAGE-BACKED SECURITIES , Korean J. Math. 29 (2021), No. 2, pp. 409?424 http://dx.doi.org/10.11568/kjm.2021.29.2.409

[10]. M. Ha, D. Kim, J.-H. Yoon(2021), PRICING VULNERABLE POWER OPTION UNDER A CEV DIFFUSION, East Asian Math. J. Vol. 37 (2021), No. 5, pp. 553-566, http://dx.doi.org/10.7858/eamj.2021.034

[11]. M. HA, Q. LI, D. KIM, AND J.-H. YOON (2021), THE PRICING OF VULNERABLE POWER OPTIONS WITH DOUBLE MELLIN TRANSFORMS , J. Appl. Math. & Informatics Vol. 39(2021), No. 5 - 6, pp. 677 - 688 https://doi.org/10.14317/jami.2021.677

[12]. M. HA , D. KIM , S. AHN , J.-H. YOON(2022), THE VALUATION OF TIMER POWER OPTIONS WITH STOCHASTIC VOLATILITY , J. Korean Soc. Ind. Appl. Math. Vol.26, No.4, 296?309, 2022

[13]. M. HA, D. KIM, J.-H. YOON(2023), THE PRICING OF VULNERABLE FOREIGN EXCHANGE OPTIONS UNDER A MULTISCALE STOCHASTIC VOLATILITY MODEL , J. Appl. Math. & Informatics Vol. 41(2023), No. 1, pp. 33 - 50 https://doi.org/10.14317/jami.2023.033

[14]. M. Ha, S. Park, D. Kim, J.-H. Yoon(2024), PRICING OF TIMER DIGITAL POWER OPTIONS BASED ON STOCHSTIC VOLATILITY , East Asian Math. J. Vol. 40 (2024), No. 1, pp. 063?074 http://dx.doi.org/10.7858/eamj.2024.005

그 외

[1]Q. L and J.-H. Yoon(Corresponding Author) (2021/03) "OPTIMUM RETIREMENT PROBLEM INTEGRATED WITH THE OPTIMUM CONSUMPTION AND PORTFOLIO" J. Appl. & Pure Math. Vol. 3 (2021/03), No. 1 - 2, pp. 1 - 17.

● 대학원생(Graduate student)