Kun Ph.D Candidate
822
500
West 120th Street, New York, NY 10027
Department of Industrial Engineering and
Operations Research
Columbia University in the City of New York
Operations
Management (OM-finance/ OM-accounting interface, Game Theoretic Analysis of
Operations)
Quantitative
Finance (Stochastic Methods in Finance)
·
Ph.D.,
Operations Research,
·
M.S.,
Operations Research,
·
B.S.
and M.S. Industrial Engineering, Seoul National University, 2000.
l
A Sequential Auction-Bargaining
Procurement Model.
Joint work with W. T, Huh. Forthcoming to Naval Research Logistics. [PDF]
Presented at INFORMS annual conference, Pittsburgh, 2007 (Invited/Sponsored)
Accepted and Presented at MSOM annual conference, Maryland, 2008 (Refereed)
l
Markov Chain Models to Estimate the
Premium for Extended Hedge Fund Lockups.
Joint work with E. Derman and W. Whitt. Wilmott Journal (2009), Vol 1, Issue
5-6, p263-293. [PDF]
Won
l
A Stochastic-Difference-Equation Model
for Hedge-Fund Relative Returns.
Joint work with E. Derman and W. Whitt. Forthcoming to Quantitative Finance. [PDF, SSRN]
Won SSRN Top Ten download list (Recent hits), July, August and September 2008
Presented at INFORMS annual conference,
l
Impact of Transfer Pricing Methods for
Tax Purposes on Operational Decisions of a Multinational Firm
Joint work with W. T. Huh. [Abstract]
Invited to present at International INFORMS annual conference, Toronto, 2009
(Invited/Sponsored)
Accepted to present at MSOM annual conference, Boston, 2009 (Refereed)
Invited to present at HKUST business school, 2009
l
Estimating the Premium for Hedge Fund
Lockups: Continuous-Time Markov Chain Model.
Joint work with E. Derman and W. Whitt. In preparation
l
Impact of Transfer Pricing Method on
Internal and External Markets: Retailer vs. Vendor-Managed Inventory System.
Joint work with W. T. Huh. In preparation.
l
Optimal Dividend Policy of a Firm with
Risk Management Activities.
Joint work with K. Kim. In preparation.
Teaching
Assistant,
Full-Time
Lecturer, Department of
Management
Quantitative
Analyst, Bloomberg
L.P., New York,
2009 - Present
Summer
Associate, Enterprise Valuation Group, Lehman Brothers, New York. 2008