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- Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Hyejin Ku
- Annals OR
- 2007

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also met in… (More)

We explain why and how to deal with the definition, acceptability, computation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjusted valuation. Some special cases of practical interest allowing for easy recursive computations are presented. The multiperiod extension of Tail VaR is discussed. 1.… (More)

- DAVID HEATH, HYEJIN KU
- 2004

In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present necessary and sufficient conditions for equilibrium in a market with finitely many traders (whom we call “banks”) who trade with each other in a financial market. Each bank has a preference relation on random payoffs which is monotonic, complete, transitive,… (More)

- Hyejin Ku, Do Won Kwak
- 2013

To separately identify the effects of single-sex “schooling” versus singlesex “schools”, we exploit two unusual experiments in South Korea: students are randomly assigned to academic high schools within districts regardless of school types, and some schools changed their types from single-sex to coeducational over time. While the overall effects of… (More)

- David Heath, Hyejin Ku
- Finance and Stochastics
- 2006

We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the models are arbitrage-free. A practical question is whether a bank using several models can be arbitraged. Surprisingly it can happen that in some cases there must be an arbitrage. We discuss… (More)

Much of economics is built on the assumption that individuals are driven by self-interest and economic development is an outcome of the free play of such individuals. On the few occasions that the existence of altruism is recognized in economics, the tendency is to build this from the axiom of individual selfishness. The aim of this paper is to break from… (More)

- Doobae Jun, Hyejin Ku
- 2013

This paper concerns barrier options of American type where the underlying asset price is monitored for barrier hits during a part of the option’s lifetime. Analytic valuation formulas of the American partial barrier options are provided as the finite sum of bivariate normal distribution functions. This approximation method is based on barrier options along… (More)

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- Doobae Jun, Hyejin Ku
- 2012

Article history: Received 30 October 2010 Available online 28 December 2011 Submitted by J.A. Filar

- Hyejin Ku
- 2012