Prof. AHN, Dohyun 安 濤 賢 教授

Prof. AHN, Dohyun 安 濤 賢 教授

Prof. AHN, Dohyun 安 濤 賢 教授
Assistant 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 Assistant Professor in the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received a B.S. degree with a double major in Industrial & Systems Engineering and Management Science in 2011 and my M.S. and Ph.D. degrees in Industrial & Systems Engineering in 2013 and 2018, all from Korea Advanced Institute of Science and Technology (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.

[Personal Webpage]

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