Kun Soo Park

PhD. Candidate
822 Morris A. Shapiro Building

Department of Industrial Engineering and Operations Research                     
Columbia University in the City of New York

kp2143@columbia.edu   [CV]

 

Research Interests

·         Financial Engineering (Stochastic Methods in Finance)

·         Operations Management (OM-finance/ OM-accounting interface)

 

Education

·         Ph.D., Departiment of Industrial Engineering and Operations Research, Columbia University, 2005 - 2009 (Expected)

·         M.S., Department of Industrial Engineering and Operations Research, Columbia University, 2006

·         B.S. and M.S. Department of Industrial Engineering, Seoul National University, 2000.

 

Research Papers

l          Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups. 
Emanuel Derman, Kun Soo Park, and Ward Whitt. Submitted (under revision). [Abstract]
- Finalist, Student paper competition at INFORMS Financial Services Section, 2008

l          A Stochastic Model for Hedge Fund Relative Returns. 
Emanuel Derman, Kun Soo Park, and Ward Whitt. Submitted (under review). [Abstract, SSRN]
- Won SSRN Top Ten download list (Recent hits)

l          A Sequential Auction-Bargaining Procurement Model. 
Woonghee Tim Huh and Kun Soo Park. Submitted (under 2nd review).  [Abstract]
- INFORMS annual conference, 2007 (Invited/Sponsored)
- MSOM annual conference, 2008

l          Joint Pricing and Quantity Decisions of a Multinational Firm: Impact of Transfer Pricing Methods for Tax Purposes. 
Woonghee Tim Huh and Kun Soo Park. Submitted (under review). [Abstract]

Teaching Experience

Teaching Assistant, Columbia University, New York, 2005-Present

Full-Time Lecturer, Department of Management Science, Korea Naval Academy, Korea, 2001-2004

  • Taught the undergraduate courses to midshipmen majoring in management science
  • Courses: Operations Research (Deterministic and Stochastic Modeling),
                     Experimental Design, Reliability Engineering, Applied Statistics

Professional Experience

Summer Associate, Enterprise Valuation Group, Lehman Brothers, New York. 2008

  • Analyzed change of option prices around a firm’s earnings announcement dates (EADs) 
  • Estimated risk-neutral stock-movement distributions on EADs from option prices
  • Applied the stock-movement distributions on EADs for risk management and proprietary trading purposes for a portfolio of options around EADs.

Academic Service

  • Referee for Journal of Pricing and Revenue Management

Certificates and Skills

  • Passed CPA exam for the state of Maine.
  • Proficient in Matlab, SAS, and R. Working knowledge in C/C++, MS Excel/Access with VBA, SPSS

References

  • Ward Whitt, Wai T. Chang Professor,
    Department of Industrial Engineering and Operations Research, Columbia University
  • Woonghee Tim Huh, Assistant Professor,
    Department of Industrial Engineering and Operations Research, Columbia University
  • Emanuel Derman, Professor,
    Department of Industrial Engineering and Operations Research, Columbia University