Topics in Financial Mathematics like Credir Risk Analysis and Pricing of financial market instruments are mainly included in my research interests and applications of stochastic analysis to Bio-science are also important parts of my research field. The development of numerical methods and algorithms to improve accuracy and speed of convergence established theoretically in the procedure of research investigation can be added for opulent and fruitful study results.
학력
(PhD) 1995
약력/경력
2015 Visiting Scholar, Stony Brook University, USA
2004~2005 Visiting Scholar, Carnegie Mellon University, USA
1997~Present Professor, Department of Mathematics, Sungkyunkwan University
1995~1996 PostDoc in GARC at Seoul National University
2012~2013 Chairman, Department of Mathematics
2007~2008 Program Manager, Korea Research Foundation
학술지 논문
(2015)
Digital Option Pricing based on Copulas with Stochastic Simulation.
순수 및 응용수학.
22,
3
(2015)
On Interest Rate Option Pricing with Jump Processes.
International Journal of Engineering and Applied Sciences.
2,
7
(2014)
Estimation and simulation of Bond Option Pricing on the Arbitrage-free Model with Jump.
Journal of Applied & Computational Mathematics.
3,
2
(2014)
PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION.
순수 및 응용수학.
21,
1
(2009)
New Approach for the pricing of Bond Option Using the Relation between the HJM model and the BGM Model.
LNCS.
5593,
(2008)
난수 생성기법을 이용한 채권 가격의 정확한 예측.
한국시뮬레이션학회논문지.
17,
3
(2008)
On Sharp Estimating of Bond Option Prices for Heath-Jarrow-Morton Model Based on Jump.
LNCS.
5073,
(2008)
Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump.
LNCS.
5073,
(2008)
Statistical Prediction for the Pricing of Bond Using Random Number Generation.
LNCS.
5073,
(2008)
Numerical Solutions of option Pricing Model with Liquidity Risk.
Communications of the Korean Mathematical Society(대한수학회논문집).
23,
1
(2006)
On comparison between the expected stock prices obtained fromthe Merton's model and the Black-Cox model.
한국산업응용수학회지(SIAM)<Journal of the Korea Society for Industrial and Apllied Mathmatics>.
10,
2
(2006)
Stochastic Simulation Method for the Term Structure Models with Jump.
LECTURE NOTES IN COMPUTER SCIENCE.
3982,
(2006)
Bond Pricing with Jumps and Monte Carlo Simulation.
LECTURE NOTES IN COMPUTER SCIENCE.
3991,
(2006)
On Monte Carlo Simulation for the HJM Model Based on Jump.
LECTURE NOTES IN COMPUTER SCIENCE.
3991,
(2004)
Mathematical and Statistical characterization of LD50 estimation.
한국독성학회지.
20,
4
(2003)
Simulations in Option Pricing Models appled to KOSPI200.
한국산업응용수학회지(SIAM)(JournaloftheKoreanSocietyforIndustrialandAplliedMathmatics).
7,
2
(2003)
Finite element modeling of high Deborah number planar contraction flows with rational function interpolation of the Leonov model.
KOREA-AUSTRALIA RHEOLOGY JOURNAL.
15,
3
(2002)
Stable low order nonconforming quadrilateral finite elements for the Stokes problem.
대한수학회지.
39,
3
(2002)
A parallel iterative Galerkin method based on nonconforming quadrilateral elements for second-order partial differential equations.
APPLIED MATHEMATICS AND COMPUTATION.
127,
(2002)
A proposed methodology of cancer risk assessment modeling uing biomarkers.
JOURNAL OF TOXICOLOGY AND ENVIRONMENTAL HEALTH-PART A.
65,
단행본
(2005)
미분적분학.
경문사.
공동
(1999)
미적분학.
성균관대학교.
공동
수상/공훈
PostDoc in GARC at Seoul National University
2012~2013
학술회의논문
(2014)
A Dynamic Prediction Algorithm for Term Structure Model.
2014 KMS Spring Meeting.
대한민국
(2009)
Estimation of the Pricing of Bond Options on the Arbitrage-free Model with Jump Using Stochastic Simulation Procedure..
The International Conference on Information Science and Engineering(iCISE2009).
중국
(2009)
New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model..
Computational Science and Its Applications-ICCSA 2009.
대한민국
(2009)
HJM 모형과 BGM 모형의 관계와 몬테칼로 시뮬레이션을 이용한 채권옵션의 가격결정에 대한 새로운 접근.
2009 춘계학술대회 논문집(.
대한민국
(2008)
Accurate prediction of the Term structure model using random number generation.
2008 한국시뮬레이션학회 춘계학술대회 논문집.
대한민국
(2008)
On the study of new approach for Box-Muller method.
대한수학회 2008 봄 연구발표회.
대한민국
(2007)
A new Approach of Box-Muller Method.
ICNAAM 2007 (International Conference of Numerical Analysis and Applied Mathematics).
그리스
(2007)
Analytic Solutions for Bond Option Prices with Heath-Jarrow-Morton Model Based on Jump.
ICCS 2007 (International Conference on Computational Science).
중국
(2007)
Bond Option Pricing for the Arbitrage-free Models with Jump.
ICCS 2007 (International Conference on Computational Science).
중국
(2006)
On the use of realized quasi-Monte Carlo method in European Option Pricing.
Proceedings of the Korean Society for Industrial and Applied Mathematics.
대한민국
(2006)
Bond Pricing with Jumps and Monte Carlo Simulation.
International Conference on Computational Science.
영국
(2006)
On Monte Carlo Simulation for the HJM Model based on Jump.
International Conference on Computational Science- ICCS 2006.
영국
(2006)
Stochastic Simulation Method for the Term Structure Models with Jump.
2006년 5개 학회 춘계 공동학술 연구 발표회 및 특별 심포지움(한국선물학회, 한국증권학회, 한국재무관리학회, 한국재무학회, 한미재무학회).
대한민국
(2001)
A proposed methodology of cancer risk assessment modeling using biomarkers.
The 1st Korean Symposium of the Journal of Toxicology and Environmental Health.
대한민국
(1999)
제19차 대우 순수수학 워크��(해석학분과)
초청 강연 (국제학술회의)..
대한민국
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