121 citations · 323 across the 8 of their papers we have counts for
8 papers
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Jaehyuk Choi, Lixin Wu
This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, w…
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
Jaehyuk Choi, Yeda Du, Qingshuo Song
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss-Hermite quadrature by exploiting its relationship with the normal…
Hyperbolic normal stochastic volatility model
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter…
Diffusion-Limited Aggregation on Curved Surfaces
Jaehyuk Choi, Darren Crowdy, Martin Z. Bazant
We develop a general theory of transport-limited aggregation phenomena occurring on curved surfaces, based on stochastic iterated conformal maps and conformal projections to the co…
The Average Shape of Transport-Limited Aggregates
Benny Davidovitch, Jaehyuk Choi, Martin Z. Bazant
We study the relation between stochastic and continuous transport-limited growth models, which generalize conformal-mapping formulations of diffusion-limited aggregation (DLA) and…
Velocity profile of granular flows inside silos and hoppers
Jaehyuk Choi, Arshad Kudrolli, Martin Z. Bazant
We measure the flow of granular materials inside a quasi-two dimensional silo as it drains and compare the data with some existing models. The particles inside the silo are imaged…