Kiseop Lee

Curriculum Vitae

 

Department of Mathematics, University of Louisville

246 Natural Sciences Building

Louisville, KY 40292

(502)852-6292

email : kiseop.lee@louisville.edu

 

 

POSITION

 

2002- present   Assistant Professor, Mathematics Department, University of Louisville

 

EDUCATION

 

2002                Ph.D. in Statistics, Purdue University

2002                M.S. in Statistics-Computational Finance Specialization, Purdue University

1997                Completion of M.S. in Statistics, Seoul National University

1995                B.S. in Mathematics, Seoul National University, Seoul, Korea

 

AWARDS 

 

2002                I.W.Burr Award for Outstanding Ph.D Student, Statistics Department,

                        Purdue University

2001                Outstanding Teaching Award, Statistics Department, Purdue University

 

FELLOWSHIPS

 

1999                Purdue Research Foundation Summer Fellowship

1998                Purdue Research Foundation Summer Fellowship

1991-92,94      Exemption of Tuition, Seoul National University, Korea

1993                Seoul National University Alumni Fellowship, Korea

    

RESEARCH INTEREST

 

Financial Mathematics, Stochastic Analysis, Stochastic Optimal Control

 

PROFESSIONAL ACTIVITIES

 

Nov 2005        Conference on Probability, University of Florida, FL

                        Invited talk at Stochastic Analysis session

Oct 2005         SAMSI Credit Risk Workshop, RTP, NC

                        Invited talk

Sep 2005         SAMSI Financial Mathematics Kickoff Workshop, RTP, NC

                        Poster Presentation

Sep 2005         Conference on Stochastic Control and Numerics, Milwaukee, WI

                        Poster presentation

Jun 2005          30th conference on Stochastic Processes and their Applications,

                        University of California at Santa Barbara, CA

                        Contributed talk at Mathematical Finance session

Oct 2004         Department of Mathematics, Louisiana State University, Baton Rouge, LA

                        Invited talk at Probability Seminar

May 2004        IMA Workshop, Minneapolis, MN

Poster presentation at Financial Data Analysis session

Apr 2004         Department of Mathematics, North Carolina State University, Raleigh,NC

                        Invited talk at Mathematical Finance Seminar

Apr 2004         IMA Workshop, Minneapolis, MN

Poster presentation at Risk Management and Model Specifications Issues in Finance session

Mar 2004        Cornell Finance Seminar, Ithaca, NY

                        Invited talk at Cornell Finance Seminar

Mar 2004        AMS Southern Sectional Meeting, Tallahassee, FL

                        Invited talk at Financial Mathematics session

Dec 2003         Department of Mathematics, Florida State University, Tallahassee, FL

                        Invited talk at Department Colloquia

Dec 2003         Department of Mathematics, Florida State University, Tallahassee, FL

                        Invited talk at Financial Mathematics Seminar

Jun-Aug           Probability Intern Program, Mathematics Department,

2003                University of Wisconsin at Madison

Jun 2003          AMS-IMS-SIAM Summer Research Conference, Snowbird, UT

                        Poster Presentation at Mathematics of Finance session

Apr 2003         AMS Midwest Sectional Meeting, Bloomington, IN

                        Invited talk at Stochastic Analysis with Applications session.

Mar 2003         Department of Statistics, Purdue University, IN

                        Invited talk at Computational Finance Seminar

Nov 2002        AMS Southern Sectional Meeting, Orlando, FL

                        Invited talk at Financial Mathematics session.

Jan  2002         Joint Mathematical Meetings, San Diego, CA,

                        Invited talk at Stochastic Process and Functional Analysis session.

May 2001        Applied Management Principles Certificate Program,

                        Krannert School of Management, Purdue University

 

REFEREE AND REVIEW

 

  • NSF DMS-Applied Mathematics (2003)
  • NSA Probability (2003)
  • International Journal of Theoretical and Applied Finance (2004)
  • IEEE Transactions on Automatic Control (2004)

 

PAPERS

 

  •  (with J.Lim) Semi-parametric Shape Constraint Function Estimation with Application to Illiquid Financial Market, working paper

 

  • (with S.Song) Approximation of Black-Scholes strategy with Liquidity Risk , submitted

 

  •  (with Y.Zeng) Pricing and Hedging of Options in a Partially Observed Model for Micromovement of Asset Price, submitted

 

  • Portfolio Optimization  with Budget Constraint, submitted

 

  • Hedging Claims with Feedback Jumps in the Price Process,  submitted

 

  • (with S.Song and R.Gill) Estimation of Liquidity Effect with Multiple Change Point Model, submitted

 

  • (with S.Song) Insider’s Hedging in Jump Diffusion Model, under review

 

  • (with L.Goldberg and A.Kercheval) t-statistics for weighted means and application to Risk Factor Models,  Journal of Risk Finance6 94), 349-365, 2005

 

  • (with S.Song) Local Risk Minimization with Jumps : An Asymptotic Approach, Department of Statistics Technical Report #03-02 

 

  • Hedging of Options When the Price Process Has Jumps Whose Arrival Rate Depends on the Price History, Ph.D dissertation, Purdue University, May 2002

 

TEACHING EXPERIENCE

 

  • Teaching Assistant

-         1996, Seoul National University  : Statistical Data Analysis Computer Lab  (SAS)

-         1997-1999, Purdue University : Statistics and Society Recitation TA (STAT 113)

 

  • Instructor

-         2000-2002, Purdue University : Introduction to Statistics(STAT 301, 301T, 501), Linear Models(STAT 502), Probability Models(STAT 225)

 

  • Assistant Professor

-         2002-2004, University of Louisville : Statistical Data Analysis(MATH 560), College Algebra(MATH 111), Calculus (MATH 205), Probability Models(MATH 561), Stochastic Calculus with Application to Mathematical Finance(MATH 670)