KAIST 경영대학 경영공학부 교수 > 교수 & 연구 >KAIST COLLEGE OF BUSINESS
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변석준 교수 사진
변석준 교수
Contact Information
  • Office.S388
  • Tel.02-958-3352
  • E-mail.sjbyun99@kaist.ac.kr
Research Areas Financial Engineering, Derivatives, Numerical Method
Biography

학력

    ▶KAIST, Ph.D. in Management Science 1996
    (Ph.D Thesis : Numerical Procedures for Valuing American Options)
    ▶KAIST, MS in Management Science 1992
    ▶KAIST, BS in Management Science 1990

주요경력

    ▶2018-Present, Professor, KAIST
    ▶2012-2018, Associate Professor, KAIST
    ▶2006-2012, Assistant Professor, KAIST
    ▶2001-2006, Visiting Professor, KAIST
    ▶1999-2001, KorAm Bank
    ▶1998-1999, PriceWaterhouse
Publications & Research

주요논문 (특허등)

    << INTERNATIONAL JOURNAL PUBLICATIONS >>

    [1] "Estimation of Stochastic Volatility and Option Prices", (with Jung-Soon Hyun and Woon Jun Sung) Journal of Futures Markets, 41(3), 349-360, March 2021.

    [2] "The Role of Psychological Barriers in Lottery-Related Anomalies", (with Jihoon Goh and Da-Hea Kim) Journal of Banking and Finance, 114, 1-11, May 2020.

    [3] "Index Options Open Interest and Stock Market Returns", (with Sung Won Seo and Jun Sik Kim) Journal of Futures Markets, 40(6), 989-1010, June 2020.

    [4] "Downside Uncertainty Shocks in the Oil and Gold Markets", (with Tai-Yong Roh and Yahua Xu) International Review of Economics and Finance, 66, 291-307, 2020.

    [5] "A Comprehensive Look at the Return Predictability of Variance Risk Premia", (with Bart Frijns and Tai-Yong Roh) Journal of Futures Markets, 38(4), 425-445, 2018.

    [6] "Ad Hoc Black and Scholes Procedures with the Time-to-Maturity", (with Sol Kim and Dongwoo Rhee) Review of Pacific Basin Financial Markets and Policies, 21(1), 1-21, 2018.

    [7] "Informed Trading in the Options Market and Stock Return Predictability", (with JoongHo Han and Da-Hea Kim) Journal of Futures Markets, 37(11), 1053-1093, 2017.

    [8] "Continuing Overreaction and Stock Return Predictability", (with Sonya Lim and Sang Hyun Yun) Journal of Financial and Quantitative Analysis, 51(6), 2015-2046, 2016.

    [9] "Gambling Preference and Individual Equity Option Returns", (with Da Hea Kim) Journal of Financial Economics, 122, 155-174, 2016.

    [10] "Overreactions in the Foreign Currency Options Market", (with JoongHo Han, Byung Jin Kang and Ki Cheon Chang) Asia Pacific Journal of Financial Studies, 45, 380-404, 2016.

    [11] "The Role of the Variance Premium in Jump-GARCH Option Pricing Models", (with Byoung Hyun Jeon, Byungsun Min, and Sun-Joong Yoon) Journal of Banking and Finance, 59, 38-56, 2015.

    [12] "Volatility Risk Premium in the Interest Rate Market: Evidence from Delta-Hedged Gains on USD Interest Rate Swaps", (with Ki Cheon Chang) International Review of Financial Analysis, 40, 88-102, 2015.

    [13] "Time-varying Expected Momentum Profits," (with Dongcheol Kim, Tai-Yong Roh, and Byoung-Kyu Min) Journal of Banking and Finance, 49, 191-215, 2014.

    [14] "Forecasting Carbon Futures Volatility Using GARCH Models with Energy Volatilities," (with Hangjun Cho) Energy Economics, 40, 207-221, 2013.

    [15] "The Information Content of Risk-neutral Skewness for Volatility Forecasting," (with Jun Sik Kim) Journal of Empirical Finance, 23, 142-161, 2013.

    [16] "Conditional Volatility and the GARCH Option Pricing Model with Non-normal Innovations," (with Byungsun Min) Journal of Futures Markets, 33(1), 1-28, 2013.

    [17] "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.

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

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

    [20] "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.

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

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

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

    [24] "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.

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

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


    << DOMESTIC JOURNAL PUBLICATIONS >>

    [1] "KIKO 사례를 통해서 본 금융거래의 공정성에 관한 연구", (변석준, 백윤석) 공정거래연구 1(1), 1-16, 2016.

    [2] "EUA 선물옵션 시장에 내재된 적절한 모형 탐색", (김다혜, 노태용, 변석준, 현정순) 선물연구 24(1), 97-118, 2016.

    [3] "노출 기반 CFaR 위험헤지기법의 비금융기업 위험관리에의 활용 가능성 검증: POSCO 사례를 중심으로", (최현우, 조항준, 변석준) 대한경영학회지 26(10), 2755-2768, 2013.

    [4] "WKB 근사 방법을 이용한 몬테 카를로 시뮬레이션 민감도 계산", (변석준, 김준식) 선물연구 19(4), 389-426, 2011.

    [5] "A Survey on the Optimal Exercise Boundary of American Options", (변석준) Trends in Mathematics 13(1), 61-66, 2011.

    [6] "KOSPI 200 지수 옵션 시장의 변동성 스프레드와 위험회피도", (변석준, 윤선중, 강병진) 선물연구 20(3), 97-126, 2007.

    [7] "부도 상관관계를 고려한 채권 담보부 증권(CBO) 가격 결정의 실증 연구", (김인준, 변석준, 박윤정) 선물연구 10(1), 113-142, 2002.

    [8] "옵션에 대한 수치해법상의 초기값 불연속성 문제에 관한 연구", (김동석, 변석준) 선물연구 7, 21-39, 2000.

    [9] "Relationships between American Puts and Calls on Futures Contracts", (변석준, 김인준) Journal of KSIAM (Korean Society for Industrial and Applied Mathematics) 4(2), 11-20, 2000.

    [10] "역외펀드를 이용한 파생금융상품기법에 대한 분석: 다이아몬드 펀드를 중심으로", (김인준, 변석준, 윤창현) 재무관리연구 15(2), 55-80, 1998.

    [11] "미국식 외환옵션의 효율적 가격결정법", (변석준, 김인준) 증권금융연구 2(2), 115-132, 1996.

    [12] "주가지수선물을 이용한 포트폴리오 보험전략과 주식시장 변동성의 관계에 관한 연구", (김인준, 신동국, 변석준) 선물연구 4, 45-68, 1996.


    << INTERNATIONAL CONFERENCE >>

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

    [2] China International Conference in Finance, Dalian, China, July 2008.

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

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

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

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

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

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

연구분야

    << 박사졸업생 >>

    [1] 2009년, 도원탁, 삼성자산운용
    [2] 2009년, 윤선중, 동국대학교
    [3] 2010년, 이동우, ADB(Asian Development Bank), Philippines
    [4] 2011년, 한진규, 유리자산운용
    [5] 2011년, 민병선, 우리은행
    [6] 2013년, 윤상현, 전업투자자
    [7] 2014년, 김준식, 인천대학교
    [8] 2015년, 황소영, KPMG
    [9] 2015년, 조항준, 자산운용
    [10] 2015년, 장기천, 산업은행
    [11] 2015년, 노태용, Liaoning University, China
    [12] 2015년, 김다혜, 성균관대학교
    [13] 2018년, 정현식, 삼성전자
    [14] 2019년, 고지훈, 삼성전자
    [15] 2019년, 전병현, Marquette University, USA
    [16] 2020년, 유은규
    [17] 2021년, 김응빈

    << 박사과정학생 >>
    [1] 김창하
    [2] 유승현
    [3] 조상흠
    [4] 홍서준
    [5] 김동훈

    << 경영공학 석사과정학생 >>
    [1] 한명훈
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