My research interests are in the fields of probability theory and stochastic analysis with applications in financial mathematics.
Publications in refereed journals
Valuation of American Equity Options with Quadratic Approximation Models
Adopting Fractional Brownian Motion.
Global Business and Finance Review 15 (2010) no. 2, 127—140.
With S. W. Heo and J. G. Kang. [Abstract]
Valuation of NDX Index call options with fractional Black-Scholes model.
Global Business and Finance Review 14 (2009) no. 2, 130—142.
With S. W. Heo and J. J. Park. [Abstract]
Portfolio optimization with consumption in a fractional Black-Scholes market.
Communications on Stochastic Analysis 1 (2007) no. 3, 357—379.
With F. Viens and T. Zhang. [Abstract]
Time regularity of the evolution solution to the fractional stochastic heat equation.
Discrete and Continuous Dynamical Systems - Series B 6 (2006) no. 4, 895—910.
With F. Viens. [Abstract]