Jaehyuk Choi

Peking University HSBC Business School

Jaehyuk Choi has been the director of the Mathematics of Finance (MAFN) master’s program at Columbia University since 2025. Prior to this role, he was an Associate Professor at Peking University HSBC Business School. Before transitioning to academia, he spent nine years as a fixed-income quant at Goldman Sachs in New York and Hong Kong. Jaehyuk is also a co-founder and academic advisor to quants.net, a financial technology company. His research interests encompass mathematical finance, machine learning, and numerical methods. He holds a Ph.D. in Applied Mathematics from the Massachusetts Institute of Technology and has held a visiting position at Baruch College of the City University of New York.

Articles by Jaehyuk Choi

Original research

Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures

The authors integrate a Gaussian quadrature for option pricing under the normal alpha–beta–rho model, which they demonstrate to calculate accurate, arbitrage-free price and delta.

19 Nov 2024

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