 Recent Lectures and Seminars
Oct 2009 Department of Mathematics, University of Missouri at Kansas City Invited talk at the Department Colloquium Sep 2009 Department of Statistics, Purdue University Invited talk at the Department Colloquium Jul 2009 Department of Mathematics, KAIST, Korea Invited talk at Special Probability Seminar Jul 2009 Korea Institute of Advanced Studies, Korea Invited talk at Special Mathematical Finance Seminar Jun 2009 Department of Mathematics, Yonsei University, Korea Invited talk at Mathematical Finance Seminar Jun 2009 IMS-APRM, Korea Contributed Talk talk at Stochastic Model session Mar 2009 AKP symposium on Mathematical Finance, Ajou University, Korea Invited tutorial on Mathematical Finance Mar 2009 Department of Mathematics, University of North Carolina at Charlotte Invited talk at Probability Seminar Mar 2009 Department of Statistics, Seoul National University, Korea Invited talk at Department Colloquium Mar 2009 Department of Mathematics, Postech, Pohang, South Korea Invited talk at Department Colloquium Mar 2009 Department of Mathematics, KAIST, Korea Invited talk at Special Probability Seminar Feb 2009 Department of Mathematics, Yonsei University, Korea Invited talk at Special Probability Seminar
| Dr. Kiseop Lee
Associate Professor
Louisville, KY, 40292, USA
phone: (502) 852-6292
fax: (502) 852-7132
Here is my Current CV
List of Publications
[1] (with L.Goldberg and A.Kercheval) t-statistics for weighted means in credit risk modelling, Journal of Risk Finance 6 (4), 349-365, 2005
[2] (with S.Song) A note on convergence of an approximate hedging portfolio with liquidity risk , Stochastics, vol 79 (5), 419-429, 2007.
[3](with S.Song and R.Gill) Computation of estimates in segmented regression and a liquidity effect model, Computational Statistics and Data Analysis, vol 51 (5) 6459-6475, 2007
[4](with S.Song) Insider’s Hedging in a Jump Diffusion Model, Quantitative Finance, vol 7 (5) 537-545, 2007
[5]Risk minimization under budget constraints, Journal of Risk Finance, vol 9, (1) 71-80, 2008
[6](with J.Lim and H.Song) Estimation of Liquidity Cost in Financial Markets, The Korean Communications in Statistics Vol. 15, No. 1, 2008, pp. 117-124
[7](with P.Protter) Hedging Claims with Feedback Jumps in the Price Process, Communication on Stochastic Analysis, vol 2, (1), 2008
[8](with R.Chrisite-David and A. Chatrath) How potent are news reversals?, Journal of Futures Market, vol 29, (1), 42-73, 2009
[9](with R.Christie-David, A. Chatrath and W.Moore) Competitive Inventory Management in Treasury Markets, forthcoming to Journal of Banking and Finance
[10](with M.Xu) Parameter Estimation from Multinomial Trees to jump diffusions with K Means Clustering Risk Magazine, vol 21, 82-86, Nov 2008
[11](with Y.Zeng) Risk minimization for a filtering micromovement model of asset price, forthcoming to Applied Mathematical Finance
[12](with S.Ha and D.Levy) Flocking in a Stochastic Cucker-Smale System, Communication on Mathematical Sciences, vol 7 (2), 453-469, 2009
[13](with R.Chrisite-David) The Arrival of Public Information, Stock Market Responses, and Trading Activity, submitted
[14](with R.Christie-David, A. Chatrath) Staggered Market Openings, Trading, and Price Discovery, submitted
[15](with J.Lim) Parameter Estimation in the Spatial Auto-Logistic Model with Varying Independent Subblocks, submitted
[16](with S.Ha) A Mathematical Model for Multi-name Credit Based on Community Flocking, submitted
[17](with W.Kang) Information Effect on Hedging and Trading, working paper
[18](with R.Gill, M.Xu ) K Means Clustering and the Change Point Detection, working paper
[19](with S.Ha) A Multi-Asset Model with Interactions Based on Community Flocking, working paper
[20](with with R.Christie-David) Good News, Bad News and Price Innovation, working paper
[21](with Y.Zeng) Minimal Entropy Martingale Measure and Market Microstructure, working paper
[22](with J.Lim) Two Stage Estimation of the Partially Linear Model with Shape Constraints, working paper
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