5 papers in the archive (2022–2026), average empirical rigor 1.6/10, average math complexity 9/10. Quadrant mix: Lab Rats ×5.
Works mostly in Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting, Fixed Income & Interest Rates, Crypto Markets & DeFi.
Frequent co-authors: Jaehyun Kim (3), Jongjin Park (1), David Criens (1), Heejun Yeo (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty. Within the $G$-expectation framework, the dependence of the short rate on the bond price yields a nonlinear fixed-point problem, represented by a quadratic $G$-BSDE for the logarithmic price. Under suita
This study proposes a BSDE approach to the long-term decomposition of pricing kernels under the G-expectation framework. We establish the existence, uniqueness, and regularity of solutions to three types of quadratic G-BSDEs: finite-horizon G-BSDEs, infinite-horizon G-BSDEs, and ergodic G-BSDEs. Mor
This paper investigates dynamic and static fund separations and their stability for long-term optimal investments under three model classes. An investor maximizes the expected utility with constant relative risk aversion under an incomplete market consisting of a safe asset, several risky assets, an
In cryptocurrency markets, a key challenge for perpetual future issuers is maintaining alignment between the perpetual future price and target value. This study addresses this challenge by exploring the relationship between funding rates and perpetual future prices. Our results demonstrate that by a
This work studies the relationships among sublinear valuation rules, uncertainty structures, and local specifications in a time-homogeneous Markovian framework with killing. These objects are linked, under finiteness and locality of the upper generator and a Lyapunov condition, by three maps: robust