Kun Soo
Park
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
Research Interests
Operations
Management (OM-finance/ OM-accounting interface, Game Theoretic Analysis of
Operations)
Quantitative
Finance (Stochastic Methods in Finance)
Education
·
Ph.D.,
Operations Research,
·
M.S.,
Operations Research,
·
B.S.
and M.S. Industrial Engineering, Seoul National University, 2000.
Publication
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,
Working Papers
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 Experience
Teaching
Assistant,
- Introduction to Volatility Smile
(Prof. Emanuel Derman)
Full-Time
Lecturer, Department of
Management
- 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
Quantitative
Analyst, Bloomberg
L.P., New York,
2009 - Present
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.
Award
Academic Service
- Referee for Management Science,
Journal of Pricing and Revenue Management
Certificates and Skills
- Passed CPA exam for the state of
- 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, - Woonghee Tim Huh, Assistant Professor,
Department of Industrial Engineering and Operations Research, - Emanuel Derman, Professor,
Department of Industrial Engineering and Operations Research,