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Oh Kang Kwon

Photo of Oh Kang Kwon

BSc (Hons) Sydney; PhD MIT; PhD UTS
Senior Lecturer

Rm 441
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 9308
ohkang.kwon@sydney.edu.au

Bio

Oh Kang completed a BSc(Hons) in Pure Mathematics from The University of Sydney, PhD in Pure Mathematics from MIT in 1994, and a PhD in Finance from UTS in 2000. Since completing his Finance PhD, he held various academic positions at UNSW, UTS, and The University of Sydney. In 2006, he left academia to pursue a banking career, working as a Senior Quantitative Analyst at CBA and ANZ, and as a Director of Cross Asset Solutions at NAB. During this time, he developed, implemented and maintained various quantitative models for valuing and hedging complex financial products. He returned to the Discipline of Finance in 2015. He has taught FINC3012 Derivative Securities, FINC3021 Finance Theory, FINC5001 Corporate Finance, FINC6000 Quantitative Finance, FINC6010 Derivative Securities, and served as the Undergraduate Studies Coordinator for the Finance Discipline. His research interests include mathematical finance, derivative pricing, interest rate modelling, and computational finance.

Research Interests

My research areas consist of mathematical (quantitative) and computational finance. Many of the financial products traded by banks and other financial institutions involve complex features such as cancellability, contingent triggers, and payoffs that depend on outcomes from multiple events. To value and risk manage such products, it is important to develop appropriate models for the underlying quantities, and to design computational methods for their valuation. Given that most products can only be valued numerically, and valuations are often very time consuming, an active area of research is on developing more accurate or more efficient methods for numerical valuation of such products, along with associated sensitivities or Greeks. I have written papers on such methods for interest rate products and for credit value adjustment (CVA) calculations and working on research projects for developing extensions of the existing methods for computing Monte Carlo sensitivities.

Another area of my research is on applying utility and prospect theory to determine optimal decision rules in diverse areas such as superannuation, executive options, and betting markets. Prospect theory allows incorporation of investor’s aversion to risk and loss, as well as asymmetric attitude towards gains and losses, and provides a more realistic framework under which to investigate such problems.

Final area of my current research is related to optimal portfolio selection. The first is using a measure of risk related to lower partial moments rather than the usual variance and developing methods to compute such as measures more accurately. The second is to determine optimal portfolios for tracking benchmark indices using a given set of assets. I have extended the results from the incomplete markets theory to compute tracker portfolios that outperform those based on the usual mean-variance approach.

2018

4
Journal Article/s

Kwon O and Satchell S 2018 Forthcoming 'The distribution of cross sectional momentum returns', Journal of Economic Dynamics and Control [Link]

Grant A, Johnstone D and Kwon O 2018 Forthcoming 'The cost of capital in a prediction market', International Journal of Forecasting [Link]

2016

4
Journal Article/s

Joshi MS and Kwon O 2016 'Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias', International Journal of Theoretical and Applied Finance, vol.19:8, pp. 1-16 [Link]

2011

4
Journal Article/s

Joshi MS and Kwon O 2011 'Monte Carlo market Greeks in the displaced diffusion Libor market model', The Journal of Risk, vol.14:2, pp. 23-37 [Link]

2010

4
Journal Article/s

Kwon O and Lai K 2010 'Moduli space for Gaussian term structure models with finite dimensional realizations', Taiwanese Journal of Mathematics, vol.14:5, pp. 2091-2105 [Link]

2009

4
Journal Article/s

Kwon O 2009 'On the equivalence of a class of affine term structure models', Annals of Finance, vol.5:2, pp. 263-279 [Link]

2008

4
Journal Article/s

Johnstone D, Grant A and Kwon O 2008 'Optimal Betting Strategies for Simultaneous Games', Decision Analysis, vol.5:1, pp. 10-18

2007

4
Journal Article/s

Bystrom H and Kwon O 2007 'A simple continuous measure of credit risk', International Review of Financial Analysis, vol.16:5, pp. 508–523 [Link]

Kwon O 2007 'Duration, factor sensitivities, and interest rate Greeks', Annals of Finance, vol.3:4, pp. 471-486 [Link]

Colwell D, El-Hassan N and Kwon O 2007 'Hedging diffusion processes by local risk minimization with applications to index tracking', Journal of Economic Dynamics and Control, vol.31:7, pp. 2135–2151 [Link]

Kwon O 2007 'Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models', Applied Mathematical Finance, vol.14:4, pp. 291–302 [Link]

2005

4
Journal Article/s

Byström H and Kwon O 2005 'Default probabilities according to the bond market', Corporate Finance Review, vol.9:5, pp. 15-26

2003

4
Journal Article/s

Kwon O and Chiarella C 2003 'Finite dimensional affine realisations of HJM Models in terms of forward rates and yields', Review of Derivatives Research, vol.6:3, pp. 129-155

5
Conference Paper/s

Kwon O 2003 'Index tracking using the cost minimising strategy', QMF, 12th December 2003

Kwon O 2003 'Clarification of the duffie-kan characterisation of affine term structure models', International Congress on Industrial and Applied Mathematics (ICIAM), 11th July 2003

2002

5
Conference Paper/s

Kwon O and Bystrom H 2002 'A simple continuous measure of credit risk', Quantitative Methods in Finance Conference, Sydney, Austria, 19th December 2002

Kwon O 2002 'A general framework for the construction and the smoothing of forward rate curves', APFA/PACAP/FMA Finance Conference, Tokyo, Japan, 1st - 31st July 2002

2001

4
Journal Article/s

Kwon O and Chiarella C 2001 'Forward rate dependent Markovian transformations of the health-jarrow morton term structure model', Finance and Stochastics, vol.5:2, pp. 237-258

Kwon O and Chiarella C 2001 'Classes of interest rate models under the HJM framework', Asia-Pacific Financial Markets, vol.8:1, pp. 1-22

2000

4
Journal Article/s

Kwon O and Chiarella C 2000 'A complete markovian stochastic volatility model in the HJM framework', Asia-Pacific Financial Markets, vol.7:4, pp. 293-304

1996

4
Journal Article/s

Kwon O 1996 'Irreducible Representations of Braid Groups via Quantized Enveloping Algebras', Journal of Algebra, vol.183:3, pp. 898–912 [Link]