Kun Soo Park successfully defended his thesis in October, 2009, after which he received his Ph.D. from the IEOR Department at Columbia. We conducted research on stochastic models in finance jointly with Professor Emanuel Derman. Kun Soo also was co-advised and did research with Professor Tim Huh, now at the University of British Columbia. Kun Soo is now on the faculty of the College of Business in the the Korean Advanced Institute for Science and Technology (KAIST) in Seoul.

Here are our completed papers:

1. Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups. Wilmott Journal, vol. 1, No. 5-6, October-December 2009, pp. 263-293 (with Emanuel Derman). [PDF].
2. A Stochastic-Difference-Equation Model for Hedge-Fund Relative Returns. Quantitative Finance, vol. 10, 2010, pp. 701-733, (with Emanuel Derman) [PDF].
3. Continuous-Time Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups. Annals of Operations Research, vol. 211, No. 1, 2013, pp. 357-379. [PDF].