Byungdoo Kong 공병두

About

I am a Ph.D. student in Statistics and Applied Probability at the University of California, Santa Barbara (UCSB), advised by Prof. Ruimeng Hu, where I pursue the doctoral emphasis in Financial Mathematics and Statistics. My research lies at the intersection of stochastic control and games, mathematical finance, and actuarial science. I am also pursuing the Associate of the Society of Actuaries (ASA) designation.

Before UCSB, I received an M.Sc. in Actuarial Science (advised by Prof. Hangsuck Lee) and a B.Sc. in Mathematics, both from Sungkyunkwan University (SKKU), where I also served as a research assistant at the university's Institute of Basic Science.

Working Papers

1. Endogenous reinsurance pricing in large competitive insurance markets: Finite-player and mean-field analysis (with R. Hu). Working paper, 2026.

Publications

1. Valuing American strangle options via double barrier first-touch digitals (with H. Lee, M. Lee, and H. Ha). Applied Economics, 1–21, 2026.
2. A first-touch approach to American option valuation with piecewise linear boundaries (with H. Lee, M. Lee, and H. Ha). Finance Research Letters, 98, 109843, 2026.
3. Age-specific multi-stage OLG model for PAYG pension schemes (with H. Lee, J. Hong, and S. Y. Jeong). Computational Economics, 67(3), 1463–1510, 2026.
4. Two-asset double barrier options (with H. Lee, H. Ha, and G. Lee). Computational Economics, 66(2), 1071–1106, 2025.
5. Multi-step double barrier options under time-varying interest rates (with H. Lee, Y. Kye, and S. Song). The North American Journal of Economics and Finance, 76, 102372, 2025.
6. Foreign equity lookback options with partial monitoring (with H. Lee and H. Ha). Finance Research Letters, 67, 105726, 2024.
7. Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge (with H. Lee, H. Ha, and M. Lee). The North American Journal of Economics and Finance, 73, 102174, 2024.
8. Pricing first-touch digitals with a multi-step double boundary and American barrier options (with H. Lee and H. Ha). Finance Research Letters, 59, 104699, 2024.
9. Pricing multi-step double barrier options by the efficient non-crossing probability (with H. Lee, H. Ha, and M. Lee). Finance Research Letters, 54, 103772, 2023.

Talks

Teaching