교수진

  • 교수진소개
  • 명예교수

교수진소개

교수정보의 상세 화면
구형건
이름
구형건
학력
박사
전공
금융공학전공(과)
정보
연구실 :
다525

연구실번호 :
2706

이메일 :
hkoo@ajou.ac.kr

연구관심분야 :
투자론, 수리재무, 금융의 역사

홈페이지 :
https://sites.google.com/ajou.ac.kr/hkoo/
학력
졸업연도/학교/학위
1992.10 Princeton Univ 박사
졸업연도/학교/학위
1988.05 Univ Texas-Austin 박사
졸업연도/학교/학위
1982.02 서울대학교 석사
졸업연도/학교/학위
1980.02 서울대학교 학사
경력 John M. Olin School of Business, Washington University in St. Louis, 재무학 조교수, 1992-1996
포항공과대학교, 조교수, 부교수 (경영학, 수학) 1996-1999
아주대학교 경영대학 1999-현재
KAIST 겸임교수, 고등과학원( KIAS) 초빙연구원 역임
연구분야 최적소비투자이론
금융의 역사
논문 및 연구활동
연구활동(주요논문)
  • [논문] 구형건, 신용현, 전준기, Portfolio selection with consumption ratcheting , JOURNAL OF ECONOMIC DYNAMICS AND CONTROL , pp.153 -182 (Jun, 2018)
  • [논문] 구형건, Zhou Yang, Optimal Consumption and Portfolio Selection with Early Retirement Option , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -26 (Jun, 2018)
  • [논문] 구형건, 최경진, 안세륭, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation , JOURNAL OF BANKING & FINANCE , Vol.55 , pp.9 -22 (Mar, 2015)
  • [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -13 (Mar, 2015)
  • [논문] 구형건, Mark Loewenstein, 장봉규, Hong Liu, Liquidity Premia and Transaction Costs , Journal of Finance , Vol.62 , No.5 , pp.2329 -2366 (Oct, 2007)
국제학술논문지
  • [논문] 박세영, 구형건, 장봉규, Optimal consumption and investment with insurer default risk , Insurance: Mathematics and Economics , pp.44 -56 (Apr, 2019)
  • [논문] 신용현, 구형건, 전준기, Ratcheting with a bliss level of consumption , OPTIMIZATION LETTERS , pp.1 -22 (Aug, 2018)
  • [논문] 구형건, 신용현, 전준기, Portfolio selection with consumption ratcheting , JOURNAL OF ECONOMIC DYNAMICS AND CONTROL , pp.153 -182 (Jun, 2018)
  • [논문] 구형건, Zhou Yang, Optimal Consumption and Portfolio Selection with Early Retirement Option , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -26 (Jun, 2018)
  • [논문] 구정림, 신용현, 구병림, 구형건, 안세륭, Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint , STOCHASTIC ANALYSIS AND APPLICATIONS , Vol.34 , No.1 , pp.165 -177 (Jan, 2016)
  • [논문] 구형건, Zhou Yang, Shanjian Tang, A Dynkin Game under Knightian Uncertainty , DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS , Vol.35 , No.11 , pp.5467 -5498 (Nov, 2015)
  • [논문] 구형건, 이유나, 장봉규, Asset demands and consumption with longevity risk , ECONOMIC THEORY , pp.1 -48 (Oct, 2015)
  • [논문] 심규철, 구형건, Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity , ANNALS OF ECONOMICS AND FINANCE , Vol.16 , No.1 , pp.19 -42 (May, 2015)
  • [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -13 (Mar, 2015)
  • [논문] 구형건, 최경진, 안세륭, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation , JOURNAL OF BANKING & FINANCE , Vol.55 , pp.9 -22 (Mar, 2015)
  • [논문] 배형옥, 구형건, 김용식, Option pricing and Greeks via a moving least square meshfree method , QUANTITATIVE FINANCE , pp.1 -12 (Nov, 2013)
  • [논문] 구형건, 구병림, 구정림, 현종석, A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption , ECONOMICS LETTERS , No.117 , pp.646 -649 (Aug, 2012)
  • [논문] Shanjian Tang, Wei Zhong, 구형건, OPTIMAL SWITCHING OF ONE-DIMENSIONAL REFLECTED BSDES AND ASSOCIATED MULTIDIMENSIONAL BSDES WITH OBLIQUE REFLECTION , SIAM JOURNAL ON CONTROL AND OPTIMIZATION , Vol.49 , No.6 , pp.2279 -2317 (Nov, 2011)
  • [논문] 구형건, 심규철, The Crisis and Financial Engineering , Risk and Decision Analysis , pp.161 -170 (Aug, 2011)
  • [논문] 구형건, 이기정, 안세륭, 배형옥, A SURVEY ON AMERICAN OPTIONS: OLD APPROACHES AND NEW TRENDS , BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY , pp.791 -812 (Jul, 2011)
  • [논문] 성재영, 심규철, 구형건, Optimal Multi-Agent Performance Measures for Team Contracts , Mathematical Finance , Vol.18 , No.4 , pp.649 -667 (Oct, 2008)
  • [논문] 성재영, 심규철, 구형건, Optimal Multi-agent performance Measures for Team Contracts , Mathematical Finance , Vol.18 , No.4 , pp.649 -667 (Oct, 2008)
  • [논문] 구형건, Mark Loewenstein, 장봉규, Hong Liu, Liquidity Premia and Transaction Costs , Journal of Finance , Vol.62 , No.5 , pp.2329 -2366 (Oct, 2007)
  • [논문] 장봉규, 최우진, 구형건, An algorithm for Optimal Portfolio Selection Problem with Transaction Costs and random lifetimes , Applied Mathematics and Computation , Vol.191 , No.1 , pp.239 -252 (Jul, 2007)
  • [논문] 구형건, 최경진, A preference change and discretionary stopping in a consumption and portfolio selection problem , Mathematical Methods of Operations Research , Vol.61 , No.3 , pp.419 -435 (Aug, 2005)
  • [논문] 구형건, 장봉규, 최우진, Transaction Costs and Asset Valuation , Review of Accounting and Finance , Vol.3 , No.4 , pp.99 -111 (May, 2004)
  • [논문] 구형건, 최성섭, 심규철, Thaleia Zariphopoulo, A Wealth Dependent Investment Opportunity Set:Its Effect on Optimal Consumption and Portfolio Decisions , Annals of Economics and Finance , Vol.4 , No.2 , pp.427 -469 (Nov, 2003)
  • [논문] 구형건, Youn-Suk Kim, Restructuring R&D: The Case of Korea , Human Systems Management , Vol.20 , No.1 , pp.63 -68 (Mar, 2001)
  • [논문] 구형건, Youn-Suk Kim, The IMF Policy and Its Effects on Korean Chaebols , Review of Asian and Pacific Studies , No.21 , pp.1 -4 (Jan, 2001)
  • [논문] 구형건, Consumption and Portfolio Selection with labor Income: A Discrete-time Approach , Mathematical Methods of Operations Research , Vol.50 , No.2 , pp.219 -243 (Oct, 1999)
  • [논문] 구형건, 김연석, Asia's contagious financial crisis and its impact on Korea , Journal of Asian Economics , Vol.1999 , No.10 , pp.111 -121 (Oct, 1999)
국내학술논문지
  • [논문] 유재인, 구형건, 정계은, 김하영, 임준범, Application of multifactor model to stock market index prediction using multi-task deep learning , 재무관리연구 , Vol.35 , No.4 , pp.143 -165 (Nov, 2018)
  • [논문] 심규철, 배세융, 구형건, 국면전환 환경에서의 퇴직계획 및 자산선택 , 경영과학 , pp.79 -95 (Dec, 2017)
  • [논문] 구형건, 박정숙, 정재웅, 제도, 규범 그리고 반복되는 금융위기: 신제도주의 관점에서 본 금융위기의 기원 , 경영사학 , No.1 , pp.111 -136 (Mar, 2015)
  • [논문] 구형건, 정재웅, 박정숙, 구본천, 효용함수에 굴절이 있는 경우의 최적 포트폴리오 선택 , 금융공학연구(金融工學硏究) , Vol.13 , No.4 , pp.1 -19 (Dec, 2014)
  • [논문] 현종석, 오주연, 구형건, 우리나라 이자율 차익거래 유인과 주식시장 변동성의 연관성에 관한 연구: 2007-2008년 세계 금융 위기를 전후하여 , 금융공학연구(金融工學硏究) , Vol.13 , No.3 , pp.1 -25 (Sep, 2014)
  • [논문] 안세륭, 구형건, Optimal Consumption and Slutsky Equation with Epstein-Zin Type Preference , Journal of the Korean Society for Industrial and Applied Mathematics , Vol.16 , No.2 , pp.107 -124 (May, 2012)
  • [논문] 윤병섭, 이기환, 구형건, 벤처캐피탈회사 유형별 조기업적과시효과 분석 , 대한경영학회지 , Vol.18 , No.5 , pp.1993 -2026 (Oct, 2005)
  • [논문] 구형건, 김영권, 최성섭, 장부가치와 주당 이익을 이용한 선형회귀모형과 신경망모형의 주가예측 , 재무관리연구 , Vol.17 , No.1 , pp.161 -180 (Jun, 2000)
  • [논문] 구형건, Youn-Suk Kim, The Korean Crisis-A Year After , Korea Observer , Vol.30 , No.3 , pp.397 -410 (Sep, 1999)
국제학술발표
  • [학술회의] 구형건, Asset Management and Continuous-Time Portfolio Selection Models , Quantitative Methods in Finance (Dec, 2018)
  • [학술회의] 구형건, Long-term Asset Management and Duesenberry's Theory of Consumption , The 6th Asian Quantitative Finance Conference (Nov, 2018)
  • [학술회의] 구형건, Porfolio Selection with Upward and Downward Ratcheting of Consumption , JAFEE 2018 하계대회 (Aug, 2018)
  • [학술회의] 구형건, Optimal Stopping Problems in the Context of Consumption and Portfolio Selection , International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on Fintech Business (Aug, 2018)
  • [학술회의] 구형건, 신용현, Zhou Yang, Optimal Retirement, Consumption, Portfolio Decisions Decision in a General Non-Markovian Market Environment , 10th World Congress of the Bachelier Finance Society (Jul, 2018)
  • [학술회의] 구형건, Limited Commitment: Consumption/Portfolio Selection and Contracing , INFORMS Annual Meeting (Oct, 2017)
  • [학술회의] 구형건, Optimal Contracting and Optimal Consumption/Portfolio Selection with Limited Commitment , The Fifth Asian Quantitative Finance Conference (Apr, 2017)
  • [학술회의] 구형건, Zhou Yang, Optimal Consumption and Portfolio Selection with Early Retirement , Winter Workshop on Operations Research, Finance and Mathematics, 2017 (Feb, 2017)
  • [학술회의] 구형건, Optimal Stopping Problems in Political Economy , 2016 International Conference on Global System Risk in Food, Climate Change and Finance , pp.1 -36 (Oct, 2016)
  • [학술회의] 구형건, 최경진, 임병화, 유재인, Endogenous Credit Constraints and Household Porfolio Choices , Japanese Association of Financial Econometrics and Engineering (Aug, 2016)
  • [학술회의] 구형건, Real Options in Political Economy , Asian Quantitative Finance Conference (Feb, 2016)
  • [학술회의] 유재인, 구형건, 임병화, 최경진, Endogenous Credit Constraints and Household Portfolio Choices , Financial Management Association Annual Meeting (Oct, 2014)
  • [학술회의] 최경진, 임병화, 유재인, 구형건, Can the Endogenous Credit Constraint Explain the Heterogeneous Investment Behavior? , 2014 Asian Meeting of Econometric Society (Jun, 2014)
  • [학술회의] 조중리, Shanjian Tang, 구형건, Optimal Consumption and Investment When Wealth Enters Utility Directly , Asian Meeting of the Econometric Society (Aug, 2013)
  • [학술회의] Kyoung Jin Choi, 임병화, 구형건, A Continuous-time Consumption and Investment Problem Under Endogenous liquidity Constraints , Asian Meeting of the Econometric Society (Aug, 2013)
  • [학술회의] 구형건, 장봉규, Phi Dybvig, A Utility Model of learning How to Consume Effectively , Asian Meeting of the Econometric Society (Aug, 2013)
  • [학술회의] 구형건, 구정림, 구병림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility , The 7th Bachelier Colloquium (Jan, 2013)
  • [학술회의] 구형건, Abel Cadenillas, 성재영, Alain Bensoussan, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time , The First Asian Quantitative Finance Conference (Jan, 2013)
  • [학술회의] 구형건, 구정림, 구병림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility , World Finance and Banking Symposium (Dec, 2012)
  • [학술회의] 구형건, Abel Cadenillas, 성재영, Alain Bensoussan, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time , Analysis and Control of Stochastic Paritial Differential Equations (Dec, 2012)
  • [학술회의] 구형건, 심규철, 독고윤, Consumption-Investment Decisions with a Self-Financing Constraint: Are Entrepreneurs Risk-Loving? , 2012 Ajou International Workshop in Financial Economics and Mathematics (Jul, 2012)
  • [학술회의] 구병림, 구정림, 구형건, Friedman-Savage Revisited: Implications for Intertemporal Consumption and Portfolio Selection , 2012 SAET Conference (Jul, 2012)
  • [학술회의] 구형건, 심규철, 신용현, Shanjian Tang, A Dynkin Game with a Recursive Objective Function given by a Backward Stochastic Differential Equation and Its Associated Nonlinear Backward Stochastic Partial Differential Inequality , 2012 AMS Conference in Tampa (Mar, 2012)
  • [학술회의] 김용식, 배형옥, 구형건, An Option Pricing Method by Using Meshfree Approximation , 대한금융공학회 (Dec, 2010)
  • [학술회의] 구형건, 현종석, Optimal Hedging under Kightian Uncertainty , International Research Forum , pp.1 -12 (Dec, 2010)
  • [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract and Collusion , SAET 2010 , pp.1 -15 (Aug, 2010)
  • [학술회의] 구형건, 임병화, Risk-averse market makers and excess volatilitiy , 10th SAET Conference 2010 , pp.1 -26 (Aug, 2010)
  • [학술회의] 구형건, Economics and Mathematics for Financial Engineering: Overview and Future Direction , AJOU Conference on Control Theory, Financial Mathematics and Financial Engineering , pp.1 -18 (Jul, 2010)
  • [학술회의] 심규철, 성재영, 구형건, Hierarchical Contract and Collusion , 2009 Joint Meeting of KMS and AMS (Dec, 2009)
  • [학술회의] 구형건, Default Risk of Life Annuity and the Annuity Puzzle , 학술지 없음 (Jul, 2009)
  • [학술회의] 구형건, 임병화, Oligopolistic market making and price volatility , Economic Theory (Jun, 2009)
  • [학술회의] 구형건, 심규철, 성재영, Hierarchical Contract, Firm Size, and Pay Sensitivity , Econometrica , Vol.1 , No.1 , pp.1 -50 (Jul, 2008)
  • [학술회의] 구형건, 심규철, 성재영, Hierarchical Contract, Firm Size, and Pay Sensitivity , pp.1 -57 (Jul, 2007)
  • [학술회의] 구형건, 심규철, 성재영, Optimal multi-agent performance measures for team contracts , Economic Theory , pp.1 -21 (Jun, 2007)
  • [학술회의] 구형건, Mark Loewenstein, 장봉규, Hong Liu, Liquidity Premia and Transactions Costs , Annual Meeting of the American Finance Association , Vol.2006 , No.1 , pp.115 -115 (Jan, 2006)
  • [학술회의] 구형건, 심규철, 최성섭, An Analytic Solution to the HJB equation arising from an Consumption and Investment Problem with Labor Income , International Workshop on Mathematical and Quantitative Finance , Vol.1 , No.1 , pp.1 -6 (Jul, 2001)
  • [학술회의] 구형건, Youn-Suk Kim, Evaluation of Korean Corporate Research and Development after the IMF Crisis , ASSA , Vol.2000 , pp.1 -10 (Jan, 2000)
  • [학술회의] 구형건, Brian Pang, Recovering Dynamics of Interest Rate Process Implied by Market Prices , Computational and Quantitative Finance 99 , Vol.2 , pp.1 -16 (Sep, 1999)
국내학술발표
  • [학술회의] 김하영, 구형건, 유재인, 머신러닝을 이용한 S&P500 지수 평균 수익률 예측에 대한 연구 , 한국금융공학회 하반기 정기학술대회 (Dec, 2016)
  • [학술회의] 심규철, 구형건, Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity , 2014년도 한국재무관리학회 추계 정기학술연구발표회 (Nov, 2014)
  • [학술회의] 김용식, 조중리, 구형건, A PERFORMANCE ANALYSIS OF THE OPERATOR SPLITTING METHOD ON OPTION PRICING , 2012 재무관리학회 추계 정기학술발표회 (Nov, 2012)
  • [학술회의] 구형건, 송수영, A Historical Perspective on Financial Systems of Venice, Genoa, and Firenze: Creative Destruction versus Destructive Creation 역사적 관점에서 본 이탈리아 도시국가, Venezia, Genova, Firenze의 금융: 창조적 파괴 혹은 파괴적 창조 , 재무관리학회 추계학술회의 (Nov, 2012)
  • [학술회의] 현종석, 구형건, Optimal Hedging under Knightian Uncertainty , 대한금융공학회 (Dec, 2010)
  • [학술회의] 김용식, 구형건, 배형옥, An option pricing method by the meshfree approximation , 한국파생상품학회 추계학술발표회 , pp.1 -40 (Nov, 2010)
  • [학술회의] 독고윤, 심규철, 구형건, Risk Attitude of an Entrepreneur , 한국재무관리학회추계정기학술연구회 (Nov, 2010)
  • [학술회의] 김용식, 구형건, 배형옥, 자유격자법을 이용한 옵션가격과 그릭 계산 , 한국재무관리학회 추계 학술연구발표회 (Nov, 2010)
  • [학술회의] 구형건, 안세륭, General Equilibrium with Uninsurable Income Risk , 한국재무관리학회추계 정기학술연구 발표회 , pp.1 -29 (Nov, 2010)
  • [학술회의] 김용식, 구형건, 배형옥, A Meshfree Method for Option Pricing and Greeks Calculation , 2010 Global KMS International Conference , pp.1 -29 (Oct, 2010)
  • [학술회의] 심규철, 최경진, 구형건, Optimal Retirement Time and Consumption/Investment in Anticipation of a Better Investment Opportunity , 제 2회 정기학술대회 (Dec, 2009)
  • [학술회의] 심규철, 최경진, 구형건, Optimal Retirement Time and Consumption/Investment in Anticipation of a Better Investment Opportunity , 2009 Annual Meeting (Nov, 2009)
  • [학술회의] 심규철, 성재영, 구형건, Hierarchical Contract and Collusion , 2009 추계 정기학술연구발표회 (Nov, 2009)
  • [학술회의] 심규철, 성재영, 구형건, Hierarchical Contract and Collusion , 2009 경영관련학회 하계통합학술대회 (Aug, 2009)
  • [학술회의] 구형건, 최경진, A New Investment Opportunity: Implications for Optimal Consumption and Portfolio Decisions , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.1 , pp.369 -395 (May, 2003)
  • [학술회의] 이기환, 윤병섭, 구형건, 벤처캐피탈회사의 유형별 조기업적 과시효과 분석 , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.3 , pp.1569 -1605 (May, 2003)
  • [학술회의] 구형건, 장봉규, Liquidity Premia in Finite Horizons , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.1 , pp.353 -368 (May, 2003)
  • [학술회의] 구형건, 장봉규, 최우진, Portfolio Selection with Linear Transaction Costs , 추계학술연구발표회 , Vol.1 , No.1 , pp.21 -30 (Nov, 2002)
  • [학술회의] 구형건, 최경진, 곽도영, Optimal Retirement in Optimal Portfolio Selection Problem with Recursive Utilities , 추계학술연구발표회 , Vol.1 , No.1 , pp.1 -20 (Nov, 2002)
  • [학술회의] 구형건, 심규?, 최성섭, A Wealth Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions , 추계학술대회 , Vol.1 , No.1 , pp.109 -117 (Nov, 2001)
  • [학술회의] 구형건, 김선기, A Dynamic Framework of Integrated Risk Management , 춘계국제학술회의 , Vol.1 , No.1 , pp.1 -10 (Oct, 2001)
  • [학술회의] 구형건, 심규철, 최성섭, Consumption and Savings decision with stochastic labor income , 춘계학술대회 , Vol.2001 , No.1 , pp.481 -488 (May, 2001)
저서 및 번역
  • [저서] 구형건, 중국의 정치 금융 경제 (Feb, 2017)
  • [저서] 구형건, 전광일, 정재웅, 금융의 역사: 금융시스템에 관한 역사적 관점의 연구 (Apr, 2014)
  • [저서] 구형건, 정재웅, 전광일, 유주현, 조아라, 윤효빈, 송하나, 송수영, 심규철, 금융의 역사 (Aug, 2012)
  • [저서] 구형건, 안세륭, 심규철, Financial Economics: Consumption and Portfolio Selection, Asset Pricing, and Market Microstructure (Aug, 2012)
  • [저서] 심규철, Kajii, Atsuchi, 성재영, Nagai, Hideo, Shanjian Tang, 구형건, Hara, Chiaki, Lecture Notes on Asset Pricing, Risk Control, and Agency Theory (May, 2012)
  • [저서] 구형건, 배형옥, 심규철, Alain Bensoussan, 현종석, Zengjing Chen, Abel Cadenillas, 이기섭, Hoe, 성재영, Shanjian Tang, New Trends in Financial Engineering, Works under the Auspices of the World Class University Program of Ajou University (Aug, 2011)
특허 및 기타
수업계획서
갤러리
목록 이미지 등록

빠른 이동 메뉴

quick
  • potal
  • 중앙도서관
  • E클래스
  • 학사정보
  • 장학정보
  • 증명서발급
  • 취업정보
  • 헬프데스크
글자화면확대화면축소top
아주대학교
  • 우)16499 경기도 수원시 영통구 월드컵로 206 아주대학교 금융공학과 대표전화:031-219-3661
  • COPTRIGHT(C)2013 Department of Financial Engineering. All Right Reserved.
  • 담당자에게 메일 보내기[새창열림]