CV


Professional Career

  • Assistant Professor of Finance, Olin School of Business, Washington University in St. Louis, 1992-1996

  • Assistant and Associate Professor, Division of Humanities and Social Sciences & Department of Mathematics, POSTECH, 1996-1999

  • Associate and Full Professor of Finance, School of Business Administration, Ajou University, 1999-2010

  • Professor of Financial Engineering, Department of Financial Engineering, School of Business Administration, Ajou University, 2010-present

  • Adjunct Professor, KAIST (Korea Advanced Institute of Science and Technology), Department of Applied Mathematics, 2003-4, Department of Mathematics, 2008-10

  • President, Korean Association of Financial Engineering(KAFE), 2014

  • Founder, FIST(Future Intelligence System Technology) Global, Inc. , which is succeed by Metanet Fintech, Juro Instruments, and Tria.

Designer of RiskCraft, which has been evolved to R3, the most widely used software package for market risk management of financial institutions in Korea.

Education

  • BS, Department of Mathematics, Seoul National University, 1980

  • MS, Department of Mathematics, Seoul National University, 1982 (Advisor: Dong Pyo Chi)

  • Ph.D., Department of Mathematics, University of Texas at Austin, 1988 (Advisor: Late Professor Efraim P. Armendariz)

  • Ph.D., Department of Economics, Princeton University, 1992 (Advisor: John Y. Campbell, Committee: Avinash Dixit, Giuseppe Bertola)

Professional Activities

  • Conference Presentations as a plenary/keynote speaker

The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 2021, October 30,

"Asset Pricing with Consumption Frictions."

Tianfu International Conference on Financial Mathematics, 2019, July 21, Southwestern University of Finance and Economics, Chengdu, China, "Consumption Ratcheting and Loss Avetsion."

QMF(Quantitative Methods in Finance) 2018, December 11, Sydney, Australia, ``Long-Term Asset Management and Continuous-Time Portfolio Selection Models."

The JAFEE-Columbia-NUS, The 2nd KAFE-JAFEE Conference, Japanese Association of Financial Econometrics and Engineering, Tokyo, Japan, August 2018

The 2nd, 4th, 5th, 6th Asian Quantitative Finance Conference, 2014(Weihai, China), 2015(Hong Kong, China), 2016(Osaka, Japan), 2017(Seoul, Korea), 2018(Guangzhou, China), 2019(Hanoi, Vietnam).

NIMS(National Institute for Mathematical Sciences) International Conference on Mathematical Finance, Daejeon, Korea, August 2018

  • Invited Talks (Selected)

Sungkyunkwas University, Department of Economics, Korea, Septemter 2022, ``Sustainable Consumption and Long-Term Asset Management."

University of Reading, Department of Economics, UK, August 2022, ``Sustainable Consumption and Long-Term Asset Management."

Purdue University, Department of Mathematics, US, October 2019, ``Continuous-Time Portfolio Selection."

UNIST. Department of Mathematical Sciences, Ulsan, Korea, May 2019, ``Long-Term Asset Management and Asset Pricing ."

Peking University HSBC Business School, Shenzhen, China, May 2019, ``Long-Term Asset Management and Asset Pricing ."

London School of Economics and Political Economy, Department of Statistics, London, UK, March 2019, ``Duesenberry, Long-Term Wealth Management, and Asset Pricing."

South China Normal University, School of Mathematical Sciences, Guangzhou, China, November 2018, ``Duesenberry's Theory of Consumption and Portfolio Selection."

Southwestern University of Finance and Economics, Institute for Financial Studies, Chengdu, China, July 2015, ``Endogenous Credit Constraints and Household Portfolio Choices."

City University of Hong Kong, Hong Kong, China, April 2014, ``Are Enterpreneurs Risk Loving?"

Kyoto University, Institute for Economic Research, Kyoto, Japan, May 2013, ``Learning How To Consume Effectively."

Université Paris Nord, Paris, France, January 2013, ``Learning How To Consume Effectively."

Xiamen University, Wang Yanan Institute for Studies in Economics, Xiamen, China, June 2012, ``A Friedman-Savage Consumer."

Fudan University, School of Management, Shanghai, May 2011, ``Optimal Hedging under Knightian Uncertainty."

National University of Singapore, Risk Management Institute, Singapore, 2009, October 2009, ``Longevity Risk."

Shandong University, School of Mathematical Sciences, Jinan, China, August 2008, ``Consumption and Portfolio Selection: A Survey."

  • Member of The Organizing Committee

The 1st Seoul-London Workshop on Mathematical Finance, Seoul, Korea, September 2022.

NIMS Conference on Mathematical Finance, Daejeon, Korea, August 2018

Session Organizer, Mathematical Finance, Asian Meeting of The Econometric Society, Kyoto, Japan, April 2016

Session Organizer, Derivative Securities, The 2014 China International Conference in Finance, Chengdu, China, July 2014

Session Organizer (with Dong Chul Won), Mathematical Finance I,II, Asian Meeting of The Econometric Society, Singapore, April 2013

International Conference on Applied Statistics and Financial Mathematics, Hong Kong Polytechnic University, Hong Kong, China, December 2010

The Ajou Conference on Mathematical Finance in Honor of Alain Bensoussan on His 70th Birthday, Suwon, Korea, July 2010

Session Organizer (with Dong Chul Won), Recent Issues in Mathematical Finance, The 10th Society for Advancement of Economic Theory(SAET) Conference,

Singapore, June 2010

The Seoul-Tokyo Conference on Mathematical Finance, Korea Institute for Advanced Study, Seoul, Korea, November 2008