Get started
Author

Kum-Hwan Roh

Observed name: Kum Hwan Roh
Institution: Hannam University
ORCID: 0000-0002-3522-3242
Observed ORCID: 0000-0002-3522-3242
OpenAlex ID: A5033640907
An analytic valuation method for multivariate contingent claims with regime-switching volatilities
2011 · Ji Hee Yoon, Bong-Gyu Jang, et al. · Operations Research Letters · 17
Variance Swap Pricing with a Regime-Switching Market Environment
2013 · Kum-Hwan Roh · Management Science and Financial Engineering · 9
PDF
An Optimal Consumption and Investment Problem With Quadratic Utility and Subsistence Consumption Constraints: a Dynamic Programming Approach
2018 · Yong Hyun Shin, Jung Lim Koo, et al. · Mathematical Modelling and Analysis · 8
PDF
Tempered stable processes with time-varying exponential tails
2021 · Young Shin Kim, Kum-Hwan Roh, et al. · Quantitative Finance · 6
PDF
Optimal consumption/investment and retirement with necessities and luxuries
2021 · Hyeng Keun Koo, Kum-Hwan Roh, et al. · Mathematical Methods of Operations Research · 5
Valuing qualitative options with stochastic volatility
2009 · Bong-Gyu Jang, Kum-Hwan Roh · Quantitative Finance · 5
An optimal consumption and investment problem with quadratic utility and negative wealth constraints
2017 · Kum-Hwan Roh, Ji Yeoun Kim, et al. · Journal of Inequalities and Applications · 4
PDF
Optimal consumption and portfolio selection with lower and upper bounds on consumption
2020 · Kum-Hwan Roh, Yong Hyun Shin · Advances in Difference Equations · 3
PDF
An optimal consumption and investment problem with stochastic hyperbolic discounting
2019 · Yong Hyun Shin, Kum-Hwan Roh · Advances in Difference Equations · 3
PDF
Pricing Commodity Futures Contracts With a Regime-switching Model
2013 · Kum-Hwan Roh · Journal of the Chungcheng Mathematical Society · 1
PDF
Household consumption, financial constraints, and size structure of rent
2025 · Hyun-Tak Lee, Bong-Gyu Jang, et al. · Finance research letters
Household Consumption and Size Structure of Rent
2025 · Hyun-Tak Lee, Bong-Gyu Jang, et al. · SSRN Electronic Journal
Household Consumption and Size Structure of Rent
2025 · Hyun-Tak Lee, Bong-Gyu Jang, et al. · SSRN Electronic Journal
A Consumption, Portfolio and Retirement Choice Problem With Negative Wealth Constraints
2020 · Kum-Hwan Roh · Journal of the Chungcheong Mathematical Society
Portfolio and Consumption Optimization Problem With Cobb-douglas Utility and Negative Wealth Constraints
2018 · Kum-Hwan Roh · Journal of applied mathematics & informatics
A RESERCH ON NONLINEAR (p, q)-DIFFERENCE EQUATION TRANSFORMABLE TO LINEAR EQUATIONS USING (p, q)-DERIVATIVE
2018 · Kum-Hwan Roh, Hui Young Lee, et al. · Journal of applied mathematics & informatics
Pricing Multi-asset Derivatives With Regime-switching Volatilities
2014 · Kum-Hwan Roh · Journal of the Chungcheng Mathematical Society
PDF
Works count: 17
Citation count: 61
H-index: 5
I10-index: 1
Year
Topic
Type