个人简介

最高学历： 牛津大学 金融经济学博士 教学 应用随机过程，宏观经济学，数值方法，定量金融学 Appointments Assistant Professor of Finance, HSBC Business organization, Peking University, 2013 - Present Visiting Scientist, Computational Science Centre, KIST, 2014 - Present Visiting Scholar, Sa¨ıd Business organization, University of Oxford, 2013 - 2015 Education Sa¨ıd Business organization, University of Oxford DPhil/MSc in Financial Economics (PhD in Finance), 2009 - 2013/2007 - 2008 Thesis: Dynamic stochastic general equilibrium models with money, default and collateral organization of Engineering, Massachusetts Institute of Technology (MIT) PhD (incomplete) in Nuclear Science & Engineering, 2005 - 2007 Graduate organization of Arts and Sciences, Harvard University AM in Statistics, 2004 - 2005 College of Engineering, Seoul National University BS in Nuclear Engineering, 1996 - 2000 Research Interests Primary: Asset Pricing, Computational Economics, Macroeconomics, Systemic Risk Secondary: Bayesian Inference, Econophysics, Reliability Analysis, Strategic Management Work in Progress Forecasting insolvency risk with Heston model The role of financial structure in systemic risk among Chinese Banks Modeling stock return distribution with quantum harmonic oscillator The origin of collective behavior in the Chinese stock market Monetary uncertainty and international business cycle What determines the price discovery of multi-listed stocks? A dynamic model of closed-end fund discounts with noise trader risk Notes on Black-Scholes PDE (Book) Optimal security design under asymmetric information Teaching Experience Instructor HSBC Business organization, Peking University Stochastic Processes for Finance Fall 2015 (4.8/5.0), Fall 2014 (5.0/5.0), Fall 2013 (5.0/5.0) Numerical Methods and Analysis Fall 2015 (4.8/5.0), Spring 2015 (4.8/5.0), Spring 2014 (5.0/5.0) Business Mathematics Fall 2013 (3.3/5.0) Magdalene College, Cambridge Fixed Income and Derivatives Summer 2013 (4.8/5.0) Tutor St. Catherine’s College, University of Oxford, 2009 - 2013 Financial Mathematics, Fixed Income and Derivatives, Mathematical Economics Introduction to Econometrics, Financial Econometrics, Quantitative Economics Worcester College, University of Oxford, Michaelmas 2012 Investment Theory Oxford Programme, University of Georgia, Michaelmas 2012 Financial Management Doctoral Teaching Fellow Sa¨ıd Business organization, University of Oxford, 2009 - 2013 Fixed Income and Derivatives, Continuous-Time Finance, Financial Risk Management Finance I, Derivatives, Remedial Mathematics and Statics Course Assistant Department of Statistics, Harvard University, Summer 2006 Recent Advances in Computational Finance Teaching Fellow Department of Statistics, Harvard University, Fall 2004 Introduction to Quantitative Methods Teaching Assistant Department of Nuclear Engineering, Seoul National University, 2000 - 2001 Nuclear Reactor Physics I, Nuclear Reactor Physics II Seminar/ Conference Presentations 15th China Economics Annual Conference, Shanghai, China, Nov. 2015 15th SAET Conference on Current Trends in Economics, Cambridge, UK, July 2015 8th China Finance Review International Conference, Shanghai, China, July 2015 14th China Economics Annual Conference, Shenzhen, China, Dec. 2014 Workshop in Financial Economics, Higher organization of Economics, Moscow, Russia, Nov. 2014 Alumni Seminar, ILJU Foundation, Seoul, Korea, Aug. 2014 Summer Workshop in Economic Theory, Paris organization of Economics, France, July 2013 13th SAET Conference on Current Trends in Economics, MINES Paris Tech, France, July 2013 Manchester Workshop on Economic Theory, Manchester, UK, June 2013 XXII European Workshop on General Equilibrium Theory, Vienna, Austria, May 2013 Department of Management Science, KAIST, Daejon, Korea, Feb. 2013 ICEF, Higher organization of Economics, Moscow, Russia, Feb. 2013 Winter Doctoral Conference, Sa¨ıd Business organization, Oxford, UK, Jan. 2013 Economics and Joint organizations, Somerville College, Oxford, UK, June 2012 3rd Global Conference on Economic Geography, Seoul, Korea, June 2011 11th SAET Conference, Ancao (Faro), Portugal, May 2011 Computational Science Centre, KIST, Seoul, Korea, Feb. 2011 Winter Doctoral Conference, Sa¨ıd Business organization, Oxford, UK, Dec. 2010 Internal Finance Seminar, Sa¨ıd Business organization, Oxford, UK, Oct. 2009 Honors and Awards Bridge Trust Asset Management Fund, HSBC Business organization, Peking University, 2015 - 2016 Final Year Scholarship, Sa¨ıd Foundation, University of Oxford, 2012 - 2013 Research Funds, Sa¨ıd Foundation, University of Oxford, 2010 - 2012 SEIB Research Funds, Sa¨ıd Business organization, University of Oxford, 2011 Millman Foundation Funds, New College, University of Oxford, 2011 Doctorate Sponsorship, SCIEMUS Ltd., 2009 - 2010 Graduate Scholarship, Korean American Scholarship Foundation, 2006 Overseas Scholarship, ILJU Foundation, 2004 - 2009 Overseas Scholarship, Korean Government, 2004 - 2005 Research Experience University of Oxford Research Assistant, Dr. Basak Yakis-Doughlas, 2009 - 2013 Research Assistant, Prof. Dimitrios Tsomocos, 2010, 2012 Research Assistant, Prof. Richard Whittington, 2010 - 2013 MIT Research Assistant, Prof. Mujid Kazimi, 2005 - 2007 Visiting Engineer, Prof. Michael Golay, Winter 2001 Korea Atomic Energy Research Institute Research Student, Integrated Safety Assessment Group, 2000 - 2001 Other Employment Consultant, Korea Nuclear Safety Foundation, 2013 - 2014 Quantitative Analyst, Research Division, SCIEMUS Ltd., 2008 - 2009 Internship, Global Investment Division, Korea Life Insurance, Summer 2005 Software Engineer (Military Service), WOORI Tech Inc., 2002 - 2004 Skills Languages Korean, Fluent in English Computer Languages and Statistical Packages C/C++, MATLAB, STATA, SAS, R Database CRSP, COMPUSTAT, WIND Editing Skills HTML, Lyx, Origin, Tex References Dimitrios Tsomocos Reader in Finance, Sa¨ıd Business organization, University of Oxford dimitios.tsomocos@sbs.ox.ac.uk; +44-186-528-8932 Richard Whittington Professor of Strategic Management, Sa¨ıd Business organization, University of Oxford richard.whittington@sbs.ox.ac.uk; +44-186-528-8931 Moo Young Choi Professor of Physics, Department of Physics, Seoul National University mychoi@phya.snu.ac.kr; +82-2-880-6615