Jun-Kee Jeon
Kyung Hee University · 経済学
研究室紹介
Professor Jun-Kee Jeon's research lab specializes in quantitative finance and financial engineering, focusing on optimal decision-making under uncertainty. The lab investigates dynamic portfolio choice, optimal stopping problems, and derivative pricing in incomplete or mean-reverting markets. Key research directions include optimal consumption-investment-retirement decisions with heterogeneous marginal utility, American-style options under stochastic volatility and mean reversion, and the application of advanced mathematical techniques such as PDEs and Mellin transforms. The lab emphasizes theoretical rigor combined with numerical validation using Monte Carlo simulations.
Research Overview
Research Output Trend
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Selected Papers
15We study an optimal consumption, investment, life insurance, and retirement decision of an economic agent who has an option to retire early any time before the mandatory retirement date. We conduct a thorough theoretical analysis for the optimal retirement problem with general utility function in the presence of a mandatory retirement date, which leads to the optimal stopping problem in finite horizon. Furthermore, the different marginal utility of consumption before and after retirement is cons