Professors
| Homepage | |
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Name : Song, Seongjoo (송 성 주) |
| Position : Professor | |
| TEL : (02) 3290-2244 | |
| E-mail : sjsong@korea.ac.kr | |
| Office : 511 CPSE Bldg. | |
| Research Interests : Financial Statistics | |
| Education |
Ph.D. in Statistics, 2001, The University of Chicago, Chicago, IL, U.S.A. M.S. in Statistics, 1995, Seoul National University, Seoul, Korea B.S. in Computer Science and Statistics, 1993, Seoul National University, Seoul, Korea |
| Books | 수리통계학 (2015, 송성주, 전명식) 자유아카데미 |
| Positions Held |
March 2012 ~ present, Professor of Statistics, Korea University March 2008 ~ February 2012, Associate professor of Statistics, Korea University August 2006 ~ February 2008, Assistant professor of Statistics, University of Seoul August 2001 ~ May 2006, Assistant professor of Statistics, Purdue University Spring 1998 ~ summer 1999, Instructor, University of Chicago Fall 1995 ~ spring 2001, Course Assistant, University of Chicago 1994, Course Assistant, Seoul National University |
| Research Papers |
International Academic Journals
• Lee, Y., Song, S., and Lee, E-K.(2014), “The delta expansion for the transition density of diffusion models”, Journal of Econometrics, Vol. 178, pp 694-705.
• Song, J. and Song, S.(2012), "A quantile estimation for massive data with generalized Pareto distribution", Computational Statistics and Data Analysis, Vol. 56, pp 143-150.
• Song, S., Jeong, J. and Song, J.(2011), "Asymptotic option pricing under pure-jump Levy processes via nonlinear regression", Journal of the Korean Statistical Society, Vol. 40, pp 227-238.
• Song, S. (2010), "Levy density estimation via information projection onto wavelet subspaces", Statistics and Probability Letters, Vol. 80, pp 1623-1632.
• Song, S, Nicolae, D. and Song, J. (2010), "Estimating the mixing proportion in a semiparametric mixture model", Computational Statistics and Data Analysis, Vol. 54, pp 2276-2283.
• Song, S., and Song, J. (2008), "Nonlinear regression for an asymptotic option price", the Korean Journal of Applied Statistics, Vol.21, No. 5, pp755-763.
• Lee, K., and Song, S. (2007), "Insiders' hedging in a jump diffusion model", Quantitative Finance, Vol. 7, No. 5, pp 537-545.
• Gill, R., Lee, K., and Song, S. (2007), "Computation of estimates in segmented regression and a liquidity effect model", Computational Statistics and Data Analysis, Vol. 51, No. 12, pp 6459-6475.
• Song, S., and Lee, K. (2007), "A Note on convergence of an approximate hedging portfolio with liquidity risk", Stochastics : An international journal of probability and stochastic processes, (formerly stochastics and stochastics reports) Vol. 79, No. 5, pp 419-429.
Domestic Academic Journals
• 이재중, 송성주 (2016), “Comparison of methods of approximating option prices with Variance gamma processes”, The Korean Journal of Applied Statistics, 게재예정.
• 이지은, 송성주 (2016), “모의실험을 통한 2015년 공무원 연금제도 개정안의 효과분석”, journal of the Korean Data and Information Science Society, 게재예정.
• 장철원, 송성주 (2015), “공무원 연금재정의 파산확률과 임금피크제”, Journal of the Korean Data Analysis Society, Vol. 17, No. 2, pp 687-695.
• Kang, M., Kim, J., Song, J., and Song, S. (2013), “Value at Risk with Peaks over Threshold: Comparison Study of Parameter Estimation”, The Korean Journal of Applied Statistics, Vol. 26, No. 3, pp 483-494.
• Song, S. and Song, J. (2013), “A Note on the History of the Gambler’s Ruin Problem”, Communications for Statistical Applications and Methods, Vol. 20, No. 2, pp157-168.
• 김치훈, 송성주 (2012), “블랙-숄즈 모형과 Variance Gamma 모형을 이용한 지수연동예금 수익률 예상”, Journal of the Korean Data Analysis Society, Vol. 14, No. 5, pp 2463-2475.
• 이현의, 송성주 (2012), “Variance Gamma과정을 이용한 옵션 가격의 결정 연구", 응용통계연구, Vol. 25, No. 1, pp 55-66.
• 김태우, 송성주 (2011), “NIG분포와 VG분포를 이용한 Value-at-Risk의 추정”, Journal of the Korean Data Analysis Society, Vol. 13, No. 4, pp 1775-1788.
• 이대수, 송성주 (2011), "Value at Risk의 사후검증을 통한 다변량시계열자료의 차원축소 방법의 비교: 사례분석", 응용통계연구, Vol. 24, No. 4, pp 1-11.
• 권인영, 송성주 (2010), "수익률 기반 스타일 분석을 이용한 국내 주식형 펀드의 스타일 지속성 검증", 응용통계연구, Vol. 23, No. 5, pp 783-797.
• Song, S. and Song, J. (2010), "Option pricing with Bounded expected loss under Variance-gamma processes", 한국통계학회 논문집, Vol. 17, No. 4, pp 575-589.
• 김건소, 송성주(2010), "최신 개정안을 적용한 공무원연금의 파산확률 고찰'', Journal of the Korean Data Analysis Society, Vol. 12, No.1, pp319-332.
• 김주유, 송성주(2009), "공무원 연금제도에 대한 확률적 고찰", 한국통계학회 논문집, Vol. 16, No.4, pp557-572
• Song, S, and Song, J. (2008), "Asymptotic Option Price with Bounded Loss", Journal of the Korean Statistical Society, Vol. 37, No. 4, pp 323-334.
• Song, S. (2007), "Asymptotic Option Pricing Under a Pure Jump Process", Journal of the Korean Statistical Society, Vol. 36, No. 2, pp237-256.
• Song, S., and Mykland, P. A. (2006), "An Asymptotic Decomposition of Hedging Errors", Journal of the Korean Statistical Society, Vol, 35, No. 2, pp115-142.
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