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Oh Kang Kwon

Oh Kang Kwon


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 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 acedemic 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. He returned to the Discipline of Finance in 2015. His research interests include mathematical finance, derivative pricing, interest rate modelling, and computational finance.

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]

Research Expertise

    • Mathematical finance
    • Interest rate modelling
    • Derivative pricing
    • Computation finance