Byung Jin Kang, Ph.D

<Research Interests>

- Derivatives, Risk Management, Structured Products, Market Efficiency

 

<Selected Publications>

- "Option Implied Preferences with Model Uncertainty," Journal of  Futures Markets (2014), B.J.Kang, T.S.Kim, and H.S.Lee

- "The Benefits of Option Trading: A Portfolio Perspective," Journal of Money and Finance (2014), B.J.Kang and Y.M.Choi

- "Determinants of the Index Straddle Returns," Korean Journal of Futures and Options (2013), B.J.Kang

- "The Dynamic Behavior of Foreign Exchange Rates with Stochastic Volatility and Jump Diffusion Models - Evidences from KRW/USD Spot and Options Markets," Korean Journal of Futures and Options (2011), B.J.Kang and I.S.Baek

- "Information Content of Volatility Spreads," Journal of Futures Markets (2010), B.J.Kang, T.S.Kim, and S.J.Yoon

- "Empirical Risk Aversion Functions - Estimates and Assessment of Their Reliability," International Review of Financial Analysis (2008), B.J.Kang and T.S.Kim

- "Option Implied Risk Preferences - An Extension to Wider Classes of Utility Functions," Journal of Financial Markets (2006), B.J.Kang and T.S.Kim

 

<Working Papers and Work In Progres>

- "Volatility Anomalies in OTC Currency Option Markets," 2015, B.J.Kang and K.C.Chang

- "Long Term Equity Portfolio Management and Volatility Derivatives,", 2015 B.J.Kang and Y.M.Choi

- "Investment Benefits of Structured Products - Autocallable ELS," 2015, B.J.Kang

- "Determinants of KOSPI200 Index Option Returns," 2015, B.J.Kang

- "Option Demands and Investment Horizon Effects," 2015, B.J.Kang and H.J.Park

- "Heterogeneous Beliefs and Optimal Positioning in Options," 2015, B.J.Kang and S.J.Yoon

- "Efficiency of OTC Option Markets and Structured Products," 2015, B.J.Kang and B.K.Min