Junkee Jeon

Ph.D. in Mathematical Science

Seoul National University

2009 — 2016

B.S. in Mathematics

POSTECH

2004 — 2009

Peer-Reviewed Journals

1. Consumption, Investment, Life Insurance, and Early Retirement Decisions under Habit-Dependent Living Standards

   Se Yung Bae, Junkee Jeon, and Hyeng Keun Koo

   Quarterly Review of Economics and Finance•2026+

2. Finite-Horizon Consumption and Investment Problem with Loss Aversion to Consumption Changes

   Junkee Jeon and Jehan Oh

   SIAM Journal on Financial Mathematics•2026+

3. Optimal consumption and portfolio rules with dynamic adjustment of consumption bounds

   Junkee Jeon, Kexin Chen, and Hyeng Keun Koo

   Finance and Stochastics•2026+

4. The Finite-Horizon Reversible Investment Problem with the Constant Elasticity of Variance Model

   Junkee Jeon and Takwon Kim

   SIAM Journal on Control and Optimization•2026+

5. A problem of finite-horizon optimal switching and stochastic control for utility maximisation

   Zhou Yang and Junkee Jeon

   Finance and Stochastics, 30(1), 59-118•2026

6. Optimal Investment under Irreversible Consumption and Locally Risk-Seeking Preferences

   Seungwon Jung, Junkee Jeon, and Hyeng Keun Koo

   Journal of Industrial and Management Optimization, 22(2), 1063-1086•2026

7. Valuation of American Maximum Exchange Rate Quanto Lookback Options

   Junkee Jeon and Geonwoo Kim

   Journal of Computational and Applied Mathematics, 478, 117234•2026

8. Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach

   Jongbong An, Junkee Jeon, and Takwon Kim

   Mathematics and Computers in Simulation, 239, 967-985•2026

9. Note on Intertemporal Preference with Loss Aversion

   Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo

   Mathematical Social Sciences, 138, 1-7, 102469•2025

10. Optimal Portfolio and Labor-Leisure Decisions with intolerance for declining standard of living

    Jongbong An, Junkee Jeon, and Takwon Kim

    Quantitative Finance, 25(8), 1293-1313•2025

11. Optimal Consumption and Investment with a Costly Reversible Job-Switching Option

    Gyoocheol Shim and Junkee Jeon

    Mathematical Methods of Operations Research, 101, 459-506•2025

12. Optimal Portfolio and Retirement Decisions with Costly Job Switching Options

    Jongbong An, Junkee Jeon, and Takwon Kim

    Applied Mathematics and Computation, 491, 1-27, 129215•2025

13. A two-person zero-sum game approach for a retirement decision with borrowing constraints

    Junkee Jeon, Hyeng Keun Koo, and Minsuk Kwak

    SIAM Journal on Financial Mathematics, 15(3), 883-930•2024

14. Dynamic Asset Allocation and Consumption Ratcheting with Costs

    Junkee Jeon and Jehan Oh

    Journal of Computational and Applied Mathematics, 448, 1-17, 115966•2024

15. Human Capital and Portfolio Choice: Borrowing Constraint and Reversible Retirement

    Junkee Jeon, Hyeng Keun Koo, and Minsuk Kwak

    Mathematics and Financial Economics, 18(1), 113-150•2024

16. Optimal Consumption and Investment with Welfare Constraints

    Junkee Jeon and Minsuk Kwak

    Finance and Stochastics, 28(2), 391-451•2024

17. Labor Supply Flexibility and Portfolio Selection with Early Retirement Option

    Junkee Jeon and Jehan Oh

    Applied Mathematics & Optimization, 88(3), 1-50•2023

18. A Model of Retirement and Consumption-Portfolio Choice

    Junkee Jeon and Hyeng Keun Koo

    Bulletin of the Korean Mathematical Society, 60(4), 1101-1129•2023

19. Optimal Job Switching and Retirement Decision

    Junkee Jeon and Kyunghyun Park

    Applied Mathematics and Computation, 443, 127777•2023

20. Horizon Effect on Optimal Retirement Decision

    Junkee Jeon, Minsuk Kwak, and Kyunghyun Park

    Quantitative Finance, 23(1), 123-148•2023

21. Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility

    Jeonggyu Huh, Junkee Jeon, and Kyunghyun Park

    Japan Journal of Industrial and Applied Mathematics, 40, 1-39•2023

22. Optimal Retirement Problem under Partial Information

    Kexin Chen, Junkee Jeon, and Hoi Ying Wong

    Mathematics of Operations Research, 47(3), 1707-2545•2022

23. Optimal Finite Horizon Contract with Limited Commitment

    Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park

    Mathematics and Financial Economics, 16(2), 267 - 315•2022

24. Optimal Long-term Contracts with Disability Insurance under Limited Commitment

    Kyoung Jin Choi, Junkee Jeon, Hoseok Lee, and Hsuan-Chih (Luke) Lin

    Insurance: Mathematics and Economics, 104(C), 99-132•2022

25. Pricing European continuous-installment currency options with mean-reversion

    Junkee Jeon and Geonwoo Kim

    North American Journal of Economics & Finance, 59(C), #101605•2022

26. Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude

    Kyoung Jin Choi, Junkee Jeon, and Hyeng Keun Koo

    Journal of Economic Theory, 200(C), #105380•2022

27. Finite Horizon Portfolio Selection Problem with a Drawdown Constraint on Consumption

    Junkee Jeon and Jehan Oh

    Journal of Mathematical Analysis and Applications, 506(1), #125542•2022

28. An integral equation representation for optimal retirement strategies in portfolio selection problem

    Junkee Jeon, Hyeng Keun Koo, Yong Hyun Shin, and Zhou Yang

    Computational Economics, 58, 885-914•2021

29. Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model

    Junkee Jeon and Kyunghyun Park

    Mathematical Methods of Operations Research, 93, 243-289•2021

30. Finite Horizon Portfolio Selection with Durable Goods

    Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park

    Mathematical Social Sciences, 111(C), 55-67•2021

31. Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee

    Junkee Jeon and Kyunghyun Park

    Bulletin of the Korean Mathematical Society, 58(2), 349-364•2021

32. Pricing Variable Annuity with Surrender Guarantee

    Junkee Jeon and Minsuk Kwak

    Journal of Computational and Applied Mathematics, 393, #113508•2021

33. Finite Time-Horizon Optimal Investment and Consumption with Time-Varying Subsistence Consumption Constraints

    Junkee Jeon, Myungjoo Kang, and Yong Hyun Shin

    Japan Journal of Industrial and Applied Mathematics, 38(1), 353-377•2021

34. Finite horizon portfolio selection problems with stochastic borrowing constraints

    Junkee Jeon

    Journal of Industrial & Management Optimization, 38(1), 353-377•2021

35. Candidate Point Selection using a Self-Attention Mechanism for Generating a Smooth Volatility Surface under the SABR model

    Hyeonuk Kim, Junkee Jeon, Kyunghyun Park, Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang

    Expert Systems With Applications, 173(1), 114640•2021

36. An analytic approximation for the valuation of American option under a Heston-model in two regimes

    Junkee Jeon, Jeonggyu Huh, and Kyunghyun Park

    Computational Economics, 56(2), 499-528•2020

37. Dynamic asset allocation with consumption ratcheting post retirement

    Junkee Jeon and Kyunghyun Park

    Applied Mathematics and Computation, 385(C), #125418•2020

38. Social Insurance for the Elderly

    Se Yung Bae, Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park

    Economic Modelling, 91, 274-299•2020

39. Optimal Retirement and Portfolio Selection with Consumption Ratcheting

    Junkee Jeon and Kyunghyun Park

    Mathematics and Financial Economics, 14(4), 353-397•2020

40. Efficient valuation of a variable annuity contract with a surrender option

    Junkee Jeon and Geonwoo Kim

    Japan Journal of Industrial and Applied Mathematics, 37(1), 249-262•2020

41. (1+2)-dimensional Black-Scholes equation with mixed boundary condition

    Junkee Jeon and Jehan Oh

    Communications on Pure and Applied Analysis, 19(2), 1-16•2020

42. Analytic valuation of European continuous-installment barrier options

    Junkee Jeon, Sun-yong Choi, and Ji-Hun Yoon

    Journal of Computational and Applied Mathematics, 364, 392-412•2020

43. Pricing European continuous-installment strangle options

    Junkee Jeon and Geonwoo Kim

    North American Journal of Economics and Finance, 50, #101049•2019

44. Ratcheting with a Bliss Level of Consumption

    Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin

    Optimization Letters, 10(7), 1535–1556•2019

45. An integral equation approach for optimal investments policies with partially reversibility

    Junkee Jeon and Geonwoo Kim

    Chaos Solitons & Fractals, 125, 73-78•2019

46. Finite horizon portfolio selection with a negative wealth constraint

    Junkee Jeon and Yong Hyun Shin

    Journal of Computational and Applied Mathematics, 356C, 329-338•2019

47. Finite horizon optimal consumption and investment problem with a preference change

    Kyunghyun Park and Junkee Jeon

    Journal of Mathematical Analysis and Applications, 472(2), 1777-1802•2019

48. Valuation of American strangle option: Variational Inequality Approach

    Junkee Jeon and Jehan Oh

    Discrete & Continuous Dynamical Systems - B, 24(2), 755-781•2019

49. Pricing of vulnerable options with early counterparty credit risk

    Junkee Jeon and Geonwoo Kim

    North American Journal of Economics and Finance, 47, 645-656•2019

50. Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

    Junkee Jeon and Minsuk Kwak

    Insurance : Mathematics and Economics, 83, 93-109•2018

51. Portfolio selection with consumption ratcheting

    Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin

    Journal of Economic Dynamics and Control, 92, 153-182•2018

52. Closed-form solutions for valuing partial lookback options with random initiation

    Geonwoo Kim and Junkee Jeon

    Finance Research Letters, 24C, 321-327•2018

53. Pricing dynamic fund protection with default risk

    Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park

    Journal of Computational and Applied Mathematics, 449, 207-227•2018

54. A simple and fast method for valuing American knock-out options with rebates

    Kyunghyun Park and Junkee Jeon

    Chaos Solitons & Fractals, 103, 364-370•2017

55. Analytic solution for American Strangle options using Laplace-Carson transforms

    Myungjoo Kang, Junkee Jeon, Heejae Han and Somin Lee

    Communications in Nonlinear Science and Numerical Simulation, 47, 292-307•2017

56. An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

    Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park

    Journal of Mathematical Analysis and Applications, 449, 207-227•2017

57. Pricing vulnerable path-dependent options using integral transforms

    Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang

    Journal of Computational and Applied Mathematics, 313, 259-272•2017

58. Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation

    Junkee Jeon, Heejae Han, and Myungjoo Kang

    Journal of Computational and Applied Mathematics, 313, 218-234•2017

59. Pricing external-chained barrier options with exponential barriers

    Junkee Jeon and Ji-Hun Yoon

    Bulletin of the Korean Mathematical Society, 53, 1497-1530•2016

60. Pricing chained dynamic fund protection

    Heejae Han, Junkee Jeon, and Myungjoo Kang

    North American Journal of Economics and Finance, 37C, 267-278•2016

61. Closed form valuation of American chained knock-in options

    Heejae Han, Junkee Jeon, and Myungjoo Kang

    Finance Research Letters, 17C, 176-185•2016

62. Valuing vulnerable geometric Asian options

    Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang

    Computer & Mathematics with Applications, 71(2), 676-691•2016

63. An integral equation representation approach for Russian options with finite time horizon

    Junkee Jeon, Heejae Han, Hyun-uk Kim, and Myungjoo Kang

    Communications in Nonlinear Science and Numerical Simulation, 36, 496-516•2016

Working Papers

• Optimal Consumption and Investment with Costly Adjustments for Living Standards in a Finite Horizon

  Junkee Jeon, Hyeng Keun Koo, and Jehan Oh

  Revise and resubmit at Finance and Stochastics2025

• Working Longer, Not Harder: Target Wealth, Leisure, and Retirement

  Junkee Jeon, Jongbong An, and Takwon Kim

  Revised and resubmitted to Finance Research Letters2026

• The Finite-Horizon Retirement Problem with Borrowing Constraint: A Zero-Sum Stopper vs. Singular-Controller Game

  Takwon Kim, Zhou Yang, and Junkee Jeon

  Revised and resubmitted to Mathematics of Operations Research2025

• Optimal Portfolio Selection and Early Retirement with Target Wealth Constraints

  Jongbong An, Junkee Jeon, and Takwon Kim

  Revised and resubmitted to Mathematics and Financial Economics2025

• Endogenous Consumption Inertia in General Equilibrium

  Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo, and Jehan Oh

  Submitted for publication2026

• Lifetime Consumption and Portfolio Choice with an Endogenous Lifestyle Benchmark

  Kexin Chen, Junkee Jeon, Hyeng Keun Koo, and Zhou Yang

  Submitted for publication2026

• Liquid–Illiquid Conversion via Singular Control: Staking and Partial Commitment

  Kyoung Jin Choi, Junkee Jeon, Minsuk Kwak, and Byung Hwa Lim

  Submitted for publication2026

• Heterogeneous Consumption Adjustment and Asset-Pricing Cycles

  Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo, and Jehan Oh

  Working PaperWorking Paper

• The Obstacle Problem Arising from the American Chooser Option

  Gu-gyum Ha, Junkee Jeon, and Jihoon Ok

  Working PaperWorking Paper

• Finite-Horizon Optimal Consumption and Investment with Time-Varying Job-Switching Costs

  Gu-gyum Ha, Junkee Jeon, and Jihoon Ok

  Working PaperWorking Paper

• Finite-Horizon Optimal Retirement Timing Under Wealth Targets: Structure of the Free Boundaries

  Kexin Chen, Junkee Jeon, Takwon Kim, and Zhou Yang

  Working PaperWorking Paper

• Equilibrium Interest Rate Dynamics Driven by Loss Aversion to Consumption Changes

  Kexin Chen, Junkee Jeon, and Hyeng Keun Koo

  Work in ProgressWork in Progress

• The Finite-Horizon Reversible Investment Problem under Multi-Dimensional Stochastic Dynamics

  Junkee Jeon, Takwon Kim, Jinwan Park, and A.Max. Reppen

  Work in ProgressWork in Progress

• Anticipatory Social Preference with Sustainability Constraint

  Junkee Jeon, Hyeng Keun Koo, Minsuk Kwak, and Ji Hee Yoon

  Work in ProgressWork in Progress

• A Partially Reversible Retirement Decision Problem under Borrowing Constraints

  Junkee Jeon

  Manuscript currently being substantially revisedManuscript