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Jaehyuk Choi
Jaehyuk Choi
Peking University HSBC Business School (北京大学汇丰商学院)
Verified email at phbs.pku.edu.cn - Homepage
Title
Cited by
Cited by
Year
Velocity profile of granular flows inside silos and hoppers
J Choi, A Kudrolli, MZ Bazant
Journal of Physics: Condensed Matter 17 (24), S2533, 2005
1682005
Diffusion and mixing in gravity-driven dense granular flows
J Choi, A Kudrolli, RR Rosales, MZ Bazant
Physical review letters 92 (17), 174301, 2004
1652004
BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness
C Alexander, J Choi, H Park, S Sohn
Journal of Futures Markets 40 (1), 23-43, 2020
992020
Dynamics of conformal maps for a class of non-Laplacian growth phenomena
MZ Bazant, J Choi, B Davidovitch
Physical review letters 91 (4), 045503, 2003
472003
Steady advection–diffusion around finite absorbers in two-dimensional potential flows
J Choi, D Margetis, TM Squires, MZ Bazant
Journal of Fluid Mechanics 536, 155-184, 2005
462005
Price discovery and microstructure in ether spot and derivative markets
C Alexander, J Choi, HRA Massie, S Sohn
International Review of Financial Analysis 71, 101506, 2020
372020
Diffusion-limited aggregation on curved surfaces
J Choi, D Crowdy, MZ Bazant
Europhysics Letters 91 (4), 46005, 2010
172010
Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options
J Choi
Journal of Futures Markets 38 (6), 627-644, 2018
122018
Numerical approximation of the implied volatility under arithmetic Brownian motion
J Choi, K Kim, M Kwak
Applied Mathematical Finance 16 (3), 261-268, 2009
122009
Average shape of transport-limited aggregates
B Davidovitch, J Choi, MZ Bazant
Physical review letters 95 (7), 075504, 2005
112005
A Black-Scholes user's guide to the Bachelier model
J Choi, M Kwak, CW Tee, Y Wang
Journal of Futures Markets 42 (5), 959-980, 2022
102022
Hyperbolic normal stochastic volatility model
J Choi, C Liu, BK Seo
Journal of Futures Markets 39 (2), 186-204, 2019
92019
Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
J Woo, C Liu, J Choi
arXiv preprint arXiv:1810.02071, 2018
9*2018
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
J Choi, L Wu
Journal of Economic Dynamics and Control 128, 104143, 2021
62021
Velocity profile of gravity-driven dense granular flow
J Choi, A Kudrolli, MZ Bazant
J. Phys.: Condensed Matter 17, S2533-S2548, 2005
62005
Fast Swaption Pricing In Gaussian Term Structure Models
J Choi, S Shin
Mathematical Finance 26 (4), 962-982, 2016
52016
The Financial Value of the Within-Government Political Network: Evidence From Chinese Municipal Corporate Bonds
J Choi, L Lu, H Park, S Sohn
Finance Research Letters 47 (Part A), 102552, 2022
32022
A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
J Choi, L Wu
Quantitative Finance 21 (7), 1083, 2021
32021
Generalized Iteration Method for First‐Kind Integral Equations
D Margetis, J Choi
Studies in Applied Mathematics 117 (1), 1-25, 2006
22006
Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the applications to root-finding
J Choi, J Huh, N Su
arXiv preprint arXiv:2302.08758, 2023
12023
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