University of Rochester, Ph. D. (Finance)
서울대학교 경영학 석사
서울대학교 경영학 학사 (summa cum laude)
International Review of Financial Analysis 편집위원 (2008- )
American Journal of Industrial and Business Management 편집위원 (2011- )
KAIST 금융대학원 교수 (2006- )
KAIST 테크노경영대학원 교수 (2002 - 2005)
서울시립대학교 교수 (1997-2001)
금융공학연구센터장 (2009-2010 )
선물연구 편집위원장 (2008-2010 )
재무관리연구 편집위원장 (2005)
재무연구, 증권학회지, 선물연구 편집위원 역임.
"Implied pricing kernels: An alternative approach for option valuation," with Doojin Ryu and Sangwon Suh, Journal of Futures Markets, forthcoming.
"Do the production-based factors capture the time-varying patterns in stock returns?" with Hankil Kang and Changjun Lee, Emerging Markets Review, forthcoming.
"Liquidity risk and expected stock returns in Korea: A new Approach," with Jeewon Jang and Changjun Lee, Asia-Pacific Journal of Financial Studies, 41:6, 704-738, 2012.
"An Interrelation of time preference and risk attitude: An application to the equity premium puzzle, " with Hwa-Sung Kim, Applied Economics Letters,19:5, 483-486, 2012.
"Comment to "A new simple square root option pricing model"," with Hwa-Sung Kim and Jeongwoo Shin, Journal of Futures Markets, 32:2, 191-198, 2012.
"Equity fund performance persistence with investment style: Evidence from Korea," with Changjun Lee and Doowon Lee, Emerging Markets Finance and Trade, 41:3, 111-135, 2011.
"Macroeconomic risk and the cross-section of stock returns," with Tong Suk Kim, Changjun Lee, and Byoung-Kyu Min, Journal of Banking and Finance, 35, 3158-3173, 2011.
"Pricing Basket and Asian Options under the Jump-Diffusion Process," with Kwangil Bae and Hwa-Sung Kim, Journal of Futures Markets, 31:9, 830-854, 2011.
"Tick size, market structure, and market quality," with Kee H. Chung and Joon-Seok Kim, Review of Quantitative Finance and Accounting, 36:1, 57-81, 2011.
"Which trades move asset prices? An analysis of futures trading data," with Doojin Ryu, Emerging Markets Finance and Trade, 46:S1, 7-22, 2010. (Best Paper Award in Eurasia Business and Economic Society (EBES))
"Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," with Keunho Hwang and Doojin Ryu, International Review of Financial Analysis 19, 35-46, 2010.
"The Information Effects of Trade Size and Trade Direction:Evidence from the KOSPI 200 Index Options Market," with Hee-Joon Ahn and Doojin Ryu, Asia-Pacific Journal of Financial Studies 39, 301-339, 2010.
"An extended CreditRisk+ framework for portfolio credit risk management," with Chulwoo Han, Journal of Credit Risk, 63-80, 4:4, Winter 2008/2009.
" Informed trading in the Index Option Market: the Case of KOSPI 200 Options," with Hee-Jun Ahn and Doojin Ryu, Journal of Futures Markets, 28:12, 1118-1146, 2008.
"The dynamics of trades and quote revisions across stock, futures, and option markets," with Hyoung-Jin Park, Review of Pacific Basin Financial Markets and Policies, 11:2, 227-254, 2008.
"The information content of net buying pressure: Evidence from the KOSPI200 index option market," with Hyoung-Jin Park, Journal of Financial Markets, 11:1, 36-56, 2008.
"Efficient value-at-risk estimation for mortgage-backed securities," with Chulwoo Han and Frank C. Park, Journal of Risk, 9:3, 37-61, 2007.
"An efficient approximation method for American exotic options," with Geunhyuk Chang, Hwa-Sung Kim, and In Joon Kim, Journal of Futures Markets, 27:1, 29-59, 2007.
"An empirical investigation of the lead-lag relations of returns and volatilities among the KOSPI200 spot, futures, and options markets and their explanations," with Soonhee Lee and Chang Joo Lee, Journal of Emerging Market Finance, 5:3, 236-261, 2006.
"Private benefits of control and firm leverage: An analysis of Korean firms," with Joon-Seok Kim, Review of Quantitative Finance and Accounting 27:4, 439-463, 2006.
"Tests of alternative models for the pricing of Korean Treasury Bond futures contracts," with Hyoung-Jin Park, Pacific Basin Finance Journal, 14:4, 410-425, 2006.
"Pricing counterparty default risks: Applications to FRNs and vulnerable options," with Hwa-Sung Kim, International Review of Financial Analysis, 14:3, 376-392, 2005.
"The effects of jump risks of the default rate on credit spreads," with Chang Mo Ahn and Hwa-Sung Kim, Journal of Risk, 7:3, 95-110, 2005.
"Pricing credit spread options under a Markov chain model with stochastic default rate," with Hwa-Sung Kim, Journal of Futures Markets, 24:7, 631-648, 2004.