Probability and Optimization with Applications

Wanmo Kang (강완모)

Associate Professor
Department of Mathematical Sciences
Korea Advanced Institute of Science and Technology (KAIST)
Daejeon, Republic of Korea
wanmo DOT kang AT kaist DOT edu

Ph.D. in Operations Research 
Columbia University, 2005


Research Interests
  • Applied Probability and Stochastic Simulation
  • Optimization in Stochastic Environments
  • Applications in Risk Analysis and Machine Learning

Papers
  1. Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (with Chulmin Kang and Jong Mun Lee), To appear in Operations Research [link]
  2. Design of Informal Finance System: A Case of ROSCA (with Deung-Geon Ahn, Kyoung-Kuk Kim, and Hayong Shin), The Engineering Economist , 62(3):197-230, 2017 [link]
  3. Risk Propagation through a Platform: the Failure Risk Perspective on Platform Sharing (with Yoo S. Hong, Woonghee Tim Huh, and Changmuk Kang),  IEEE Transactions on Engineering Management, 62(3):372-383, 2015 [link]
  4. Stress Scenario Selection by Empirical Likelihood (with Paul Glasserman and Chulmin Kang), Quantitative Finance , 15(1):25-41, 2015 [link], also available at OFR Working Paper Series
  5. Design of Risk Weights (with Paul Glasserman), Operations Research, 62(6):1204-1220, 2014 [link], also available at OFR Working Paper Series. See also an article introducing this paper by Edieal J. Pinker [pdf]. Comment by Darrell Duffie [pdf] and Jean-Charles Rochet [pdf]
  6. Information on Jump Sizes and Hedging (with Kiseop Lee), Stochastics, 86(6):889-905, 2014 [link]
  7. Robustness of Order-up-to Policies in Lost Sales Inventory Systems  (with Marco Bijvank, Woonghee Tim Huh, and Ganesh Janakiraman),  Operations Research, 62(5):1040-1047, 2014 [link]
  8. Large Deviations for Affine Diffusion Processes on R+× Rn (with Chulmin Kang), Stochastic Processes and their Applications, 124(6):2188–2227, 2014 [link]
  9. Fairing the Gamma: An Engineering Approach to Sensitivity Estimation (with Kyoung-Kuk Kim and Hayong Shin),  IIE Transactions, 46(4):374-396, 2014 [link]
  10. Transform Formulae for Linear Functionals of Affine Processes and their Bridges on Positive Semidefinite Matrices (with Chulmin Kang), Stochastic Processes and their Applications123(6):2419–2445, 2013 [link]
  11. Denoising Monte Carlo Sensitivity Estimates (with Kyoung-Kuk Kim and Hayong Shin), Operations Research Letters40(3):195–202, 2012 [link]
  12. Fast Simulation of Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin), Operations Research56(5):1200–1217, 2008 [link]
  13. Large Deviations in Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin),  Mathematical Finance17(3):345–379, 2007 [link]
  14. Exploiting Regenerative Structure to Estimate Finite Time Averages Via Simulation (with Perwez Shahabuddin and Ward Whitt), ACM Transactions on Modeling and Computer Simulation (TOMACS), 17(2):Article 8, 2007 [link]
  15. Price Competition with the Attraction Demand Model: Existence of Unique Equilibrium and Its Stability (with Guillermo Gallego, Woonghee Tim Huh,  and Robert Phillips), Manufacturing and Service Operations Management (M&SOM)8(4):359–375, 2006 [link]
  16. Inverse Conic Programming with Applications (with Garud Iyengar), Operations Research Letters, 33(3):319–330, 2005 [link]
  17. Fast Simulation of Multifactor Portfolio Credit Risk in the t-Copula Model (with Perwez Shahabuddin), Proc. Winter Simulation Conf.1859–1868, 2005 [link]

Working Papers
  1. Unbiased Sensitivity Estimation under One-Dimensional Diffusion Processes (with Jong Mun Lee)
  2. Exact simulation for first passage time times of Brownian bridges and application to diffusion bridges (with Jong Mun Lee)

Coauthors

Industrial Collaborations