Prof. AHN, Dohyun 安 濤 賢 教授
Assistant Professor
BS, MS, PhD
Korea Advanced Institute of Science and Technology
Research Interests :
* Decision making via uncertainty quantification
* Quantitative risk management using optimization
and stochastic models
* Monte Carlo simulation methodologies
* Networks in finance and operations
Office: Room 509, William M.W. Mong Engineering Building
Tel: (852) 3943-8238
Email: dohyun@se.cuhk.edu.hk
Biography
Dohyun Ahn received a B.S. degree with a double major in Industrial & Systems Engineering and Management Science in 2011 and his M.S. and Ph.D. degrees in Industrial & Systems Engineering in 2013 and 2018, all from KAIST. His methodological background lies in applied probability, optimization, and stochastic simulation, whereas his application area includes, but is not limited to, financial engineering, risk management, and network analysis in finance and operations.
He received the ISE Best Thesis Award from KAIST, placed second at the 2015 INFORMS Section on Finance Best Student Paper Competition, and won the 2015 KORMS Best Paper Award. The paper “Analysis and Design of Microfinance Services: A Case of ROSCA” was highlighted in the December 2017 issue of ISE magazine published by the IISE. The paper “Shock Amplification in Financial Networks with Applications to the CCP feasibility” was selected as a Feature Article of Quantitative Finance.
Selected Publications
D. Ahn, N. Chen, and K.-K. Kim, “Systemic Risk Quantification via Shock Amplification in Financial Networks”, submitted for publication
D. Ahn and D. Shin, “Ordinal Optimization with Generalized Linear Model”, Proceedings of the 2020 Winter Simulation Conference, forthcoming, 2020
D. Ahn, K.-K. Kim, and Y. Kim, “Small-Time Smile for the Multifactor Volatility Heston Model”, Journal of Applied Probability, forthcoming, 2020
D. Ahn, “Shock Amplification in Financial Networks with Applications to the CCP feasibility”, Quantitative Finance, forthcoming, 2020
– Selected as a Feature Article of the journal
D. Ahn and K.-K. Kim, “Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System”, Operations Research Letters, 47(4):257-263, 2019
D. Ahn and K.-K. Kim, “Efficient Simulation for Expectations over the Union of Half-Spaces”, ACM Transactions on Modeling and Computer Simulation, 28(3), Article 23, 2018
– KORMS Best Paper Award, 2015
– 2nd Place, Best Student Paper Competition, INFORMS Section on Finance, 2015
D. Ahn, W. Kang, K.-K. Kim, and H. Shin, “Analysis and Design of Microfinance Services: A Case of ROSCA”, The Engineering Economist, 62(3):197-230, 2017
– Highlighted in the December 2017 issue of ISE magazine published by IISE