Education

▶KAIST management engineering, Ph.D 1996
▶KAIST management engineering, master 1992
▶KAIST management engineering, bachelor 1990

Career

▶1998-1999, PricewaterhouseCoopers(PwC)
▶1999-2001, Koram Bank

Publications (patents, etc.)

<< INTERNATIONAL JOURNAL PUBLICATIONS >>

[1] "Conditional Volatility and the GARCH Option Pricing Model with Non-normal Innovations," (with Byungsun Min) Journal of Futures Markets, forthcoming, 2012.

[2] "Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility", (with Dongwoo Rhee and Sol Kim) Asia Pacific Journal of Financial Studies, 41(1), 103-124, 2012.

[3] "Implied Risk Aversion and Volatility Risk Premiums," (with Sun-Joong Yoon) Applied Financial Economics, 22(1), 59-70, 2012.

[4] "Intraday Volatility Forecasting from Implied Volatility", (with Dongwoo Rhee and Sol Kim) International Journal of Managerial Finance, 7, 83-100, 2011.

[5] "Foreign Investors and Corporate Governance in Korea", (with In Joon Kim, Jiyeon Eppler Kim, and Wi Saeng Kim) Pacific Basin Finance Journal, 18, 390-402, 2010.

[6] "An Examination of Affine Term Structure Models," (with Jin-Tae Lee) Asia Pacific Journal of Financial Studies, 38, 491-519, 2009.

[7] "Is Volatility Risk Priced in the KOSPI 200 Index Options Market?," (with Sun-Joong Yoon) Journal of Futures Markets, 29, 797-825, 2009.

[8] "Properties of the Integral Equation Arising in the Valuation of American Options," Asia Pacific Management Review, 10, 315-320, 2005.

[9] "Valuing and Hedging American Options under Time-Varying Volatility," (with In Joon Kim and Sonya Seongyeon Lim) Journal of Derivatives Accounting, 1, 195-204, 2004.

[10] "Valuation of Arithmetic Average Reset Options," (with In Joon Kim and Geun Hyuk Chang) Journal of Derivatives, 11, 70-80, 2003.

[11] "Optimal Exercise Boundary in a Binomial Option Pricing Model," (with In Joon Kim) Journal of Financial Engineering, 3, 137-158, 1994.


<< INTERNATIONAL CONFERENCE >>

[1] Present at Bachelier Finance Society 5th world congress, London, U.K., July 2008.

[2] Present at 2008 China International conference in Finance, Dalian, China, July 2008.

[3] Present at 5th Asia-Pacific Association of Derivatives conference, Busan, Korea, June 2008

[4] Present at Bachelier Finance Society 4th world congress, Tokyo, Japan, August 2006.

[5] Present at 17th Asian Finance Association conference, Auckland, New Zealand, July 2006

[6] Present at 12th Multinational Finance Society conference, Athens, Greece, July 2005.

[7] Present at 14th European Financial Management conference, Milan, Italy, June 2005.

[8] Present at 15th Asian Finance Association conference, Taipei, Taiwan, July 2004.

Research Areas