Prof. AHN, Dohyun 安 濤 賢 教授
Associate Professor
BS, MS, PhD
Korea Advanced Institute of Science and Technology
Research Interests :
* Quantitative risk management using optimization
and stochastic models
* Monte Carlo simulation methodologies
* Networks in finance and operations
* Decision making under uncertainty
Office: Room 509, William M.W. Mong Engineering Building
Tel: (852) 3943-8238
Email: dohyun@se.cuhk.edu.hk
Biography
Dohyun Ahn is an Associate Professor in the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. His research interests include quantitative risk management, Monte Carlo methods, sequential learning, and analysis of network effects in finance and operations. His works have been recognized at various prestigious events, including the WSC Best Theoretical Paper Competition and the Best Student Paper Awards from INFORMS Section on Finance and INFORMS Simulation Society. Furthermore, actively engaged in academic community service, he received the 2024 Operations Research Reviewer Meritorious Service Award. Dohyun received a B.S. degree with a double major in Industrial & Systems Engineering and Management Science in 2011 and earned his M.S. and Ph.D. degrees in Industrial & Systems Engineering in 2013 and 2018, all from the Korea Advanced Institute of Science and Technology (KAIST).
Selected Publications
D. Ahn and L. Zheng (2024) Efficient Simulation of Polyhedral Expectations with Applications to Finance, Mathematics of Operations Research, forthcoming
• Best Student Paper Award, INFORMS Section on Finance, 2022
D. Ahn, D. Shin, and L. Zheng (2024) Best-Arm Identification with High-Dimensional Features, Proceedings of the 2024 Winter Simulation Conference, forthcoming
D. Ahn, D. Shin, and A. Zeevi (2024) Feature Misspecification in Sequential Learning Problems, Management Science, Articles in Advance
D. Ahn (2024) Data-Driven Resource Allocation for Multi-Target Attainment, European Journal of Operational Research, 318(3):954–965
D. Ahn, N. Chen, and K.-K. Kim (2024) Robust Risk Quantification via Shock Propagation in Financial Networks, Operations Research, 72(1):1-18
D. Ahn and L. Zheng (2023) Conditional Importance Sampling for Convex Rare-Event Sets, Proceedings of the 2023 Winter Simulation Conference
• WSC Ph.D. Colloquium Best Student Paper Award, INFORMS Simulation Society, 2023
D. Ahn and T. Kim (2023) Risk-Sensitive Ordinal Optimization, Proceedings of the 2023 Winter Simulation Conference
D. Ahn, K.-K. Kim, and Eunji Kwon (2023) Multivariate Stress Scenario Selection in Interbank Networks, Journal of Economic Dynamics and Control, 154:104712
• 2nd Place, KIIE Best MS Student Paper Competition, 2019
D. Ahn and L. Zheng (2021) Efficient Simulation for Linear Programming under Uncertainty, Proceedings of the 2021 Winter Simulation Conference
• Runner-up, Best Theoretical Paper Competition, Winter Simulation Conference, 2021
D. Ahn and D. Shin (2020) Ordinal Optimization with Generalized Linear Model, Proceedings of the 2020 Winter Simulation Conference
D. Ahn (2020) Shock Amplification in Financial Networks with Applications to the CCP Feasibility, Quantitative Finance, 20(7):1045-1056
• Selected as a Feature Article by the Editor-in-Chief
D. Ahn, K.-K. Kim, and Y. Kim (2020) Small-Time Smile for the Multifactor Volatility Heston Model, Journal of Applied Probability, 57(4):1070-1087
D. Ahn and K.-K. Kim (2019) Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System, Operations Research Letters, 47(4):257-263
D. Ahn and K.-K. Kim (2018) Efficient Simulation for Expectations over the Union of Half-Spaces, ACM Transactions on Modeling and Computer Simulation, 28(3), Article 23
• 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 (2017) Analysis and Design of Microfinance Services: A Case of ROSCA, The Engineering Economist, 62(3):197-230
• Highlighted in the December 2017 issue of ISE magazine published by IISE