Korea University Department of Statistics

QUICK MENU
  • LOGIN
  • Sitemap
  • KUPID
  • Korean

Professors

교수세부항목
Homepage
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.