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   Á¦¸ñ: [¿¬ÇÕÀÎÆ÷¸Æ½º] ´ëÇѱÝÀ¶°øÇÐȸ, 29ÀÏ °í´ë¼­ ù Çмú´ëȸ °³ÃÖ
±¹³»¿¡¼­´Â À¯ÀÏÇÏ°Ô ±ÝÀ¶°øÇÐ Àü°ø ÇÐÀÚ¿Í ±ÝÀ¶±â°ü, °¨µ¶±â°ü, Á¤ºÎ Á¤Ã¥ ´ã´ç µî Àü¹®°¡µéÀÌ È¸¿øÀ¸·Î °¡ÀÔÇØÀÖ´Â ´ëÇѱÝÀ¶°øÇÐȸ°¡ ù ¹ø° ´ë±Ô¸ð Çмú´ëȸ¸¦ °³ÃÖÇÑ´Ù.

¿À´Â 29ÀÏ(Åä) °í·Á´ëÇб³¿¡¼­ ¿­¸®´Â À̹ø ´ëȸ´Â Á¤°è¿Í Çаè, ±ÝÀ¶°è¿Í ¾ð·Ð°è ÀλçµéÀÌ ´ë°Å Âü¼®ÇØ '¼¼°è±ÝÀ¶À§±â ¼ÓÀÇ Çѱ¹ ±ÝÀ¶½ÃÀå ÇöȲ°ú ´ëÃ¥'À» ³õ°í ÁÖÁ¦¹ßÇ¥¿Í Åä·ÐÀ» ¹úÀÏ ¿¹Á¤ÀÌ´Ù. ¿ÀÀü ¼¼¼ÇÀº ¾îÀ±´ë Àü °í·Á´ë ÃÑÀåÀÇ È¯¿µ»ç¿Í ±è¿µ¼± Çѳª¶ó´ç ±¹È¸ÀÇ¿øÀÇ ÃàÇÏ ¸Þ½ÃÁö·Î ½ÃÀÛÇØ ÀÌâ¿ë ±ÝÀ¶À§¿øȸ ºÎÀ§¿øÀåÀÌ ¹ßÁ¦¿¡ ³ª¼±´Ù.

ÀÌÈÄ ±è±ÔÇü Áß¾Ó´ë ¹«¿ªÇаú ±³¼ö, ±è¹Î¼® Çѱ¹Áõ±Ç¿¬±¸¿ø ¿¬±¸À§¿ø, À±¸¸È£ »ê¾÷ÀºÇà ºÎÇàÀå, À±Ã¢Çö ¼­¿ï½Ã¸³´ë °æ¿µÇаú ±³¼ö, ÃÖ±â¾ï ¿¬ÇÕÀÎÆ÷¸Æ½º ±ÝÀ¶.Áõ±ÇºÎÀå, È«¼º±¹ ´ë¿ìÁõ±Ç »ó¹« µîÀÌ ÆгΠÅä·ÐÀÚ·Î ³ª¼­ ÇмúÀûÀÎ ³»¿ëÀ» ºñ·ÔÇØ ½Ç¹«ÀûÀÎ ³»¿ë±îÁö Æø³Ð°Ô Åä·ÐÀ» ¹úÀÏ ¿¹Á¤ÀÌ´Ù.

¿ÀÈÄ ¼¼¼ÇÀº ±ÝÀ¶°øÇÐ ºÐ¾ßÀÇ ±¹³» Àú¸í ±³¼öµéÀÇ ³í¹® ¹ßÇ¥¿Í Åä·ÐÀ¸·Î ÁøÇàµÈ´Ù.

³í¹® ¹ßÇ¥ ÁÖÁ¦´Â ÆÄÀ̳½¼È ÄÄÇ»ÆÃ(Financial Computing), ½Å¿ëÀ§Çè(Credit Risk), ±ÝÀ¶¸ðµ¨¸µ(Financial Modeling), °øÁ¤°¡°Ý »êÁ¤°ú ÇìÁö(Pricing & Hedging), ¿É¼Ç°¡°Ý°áÁ¤°ú Àû¿ë(Option Pricing & Application) µîÀ¸·Î ±ÝÀ¶ °øÇÐ ºÐ¾ßº°·Î ¼¼¼ÇÀÌ ÁøÇàµÈ´Ù.

À̳¯ Çмú´ëȸ ÇöÀå¿¡¼­´Â ¿¬ÇÕÀÎÆ÷¸Æ½ºÀÇ ±ÝÀ¶µ¥ÀÌÅÍ È°¿ë¹ýµµ ½Ã¿¬µÉ ¿¹Á¤ÀÌ´Ù.

ÇÑÆí À̹ø Çà»ç´Â ´ëÇѱÝÀ¶°øÇÐȸ°¡ ÁÖÃÖÇÏ°í °í·Á´ë ±ÝÀ¶°øÇÐ ´ëÇпøÀÌ ÁÖ°üÇß°í, ¿¬ÇÕÀÎÆ÷¸Æ½º, ¼­¿ï½ÃÁ¤°³¹ß¿¬±¸¿ø, F1ÄÁ¼³ÆÃÀÌ °øµ¿ ÈÄ¿øÇÑ´Ù.

Á¤µ¿¸í ´ëÇѱÝÀ¶°øÇÐȸ ȸÀåÀº "¹Ì±¹ ¼­ºêÇÁ¶óÀÓ »çÅ·ΠÃË¹ßµÈ ±ÝÀ¶À§±â°¡ ±Û·Î¹ú °æÁ¦¿¡ ½É°¢ÇÑ ¾Ç¿µÇâÀ» ¹ÌÄ¡°í ÀÖ´Ù"¸é¼­ "ÀÌ·¯ÇÑ ±¹Á¦È¯°æ ¼Ó¿¡¼­ ¿ì¸®³ª¶ó°¡ ³ª¾Æ°¡¾ß ÇÒ ¹æÇâÀ» ¸ð»öÇϱâ À§ÇØ À̹ø ¼¼¹Ì³ª¸¦ ±âȹÇß´Ù"°í ¸»Çß´Ù.

<Çмú´ëȸ ³í¹® ¹ßÇ¥ ÁÖÁ¦¿Í Åä·Ð ³»¿ë> ¥°-1. Financial Computing (Room1), ÁÂÀå: ±èÁ¤ÈÆ(¿¬¼¼´ë ¼öÇаú) - "An Indexed Executive Stock Option: Design, Pricing and Incentive Effects" ±èÈ­¼º(±¤¿î´ë °æ¿µÇкÎ) - "Option Pricing under Stochastic Volatility Models" ¹®°æ¼÷(°æ¿ø´ë ¼öÇÐÁ¤º¸Çаú), À§Àμ÷(°í·Á´ëÇб³ ¼öÇаú) - "Adaptive finite difference approximation for the Black-Scholes equations" ±èÁؼ®(°í·Á´ë ¼öÇаú), ¹®°æ¼÷(°æ¿ø´ë ¼öÇÐÁ¤º¸Çаú) ¥°-2. Credit Risk (Room2), ÁÂÀå: ¼Û¼ºÁÖ(°í·Á´ë Åë°èÇаú) - "¹ÙÁ© ¥± ½Å¿ë¸®½ºÅ© ÃøÁ¤ ¸ðÇüÀÇ ÀûÇÕ¼º °ËÁõ¿¡ °üÇÑ ¿¬±¸" ±è¿ìȯ(¿¬¼¼´ë °æÁ¦Çаú) - "±¸Á¶¸ðÇüÀ» ÀÌ¿ëÇÑ ³»ÀçºÎµµ½Ã¼Õ½ÇÀ²ÀÇ ÃßÁ¤°ú ±× °áÁ¤¿äÀÎÀÇ ºÐ¼®" Àå¿í(Çѱ¹Áõ±Ç¿¬±¸¿ø) - "±¹³» ±ÝÀ¶½Ã½ºÅÛÀÇ ¸®½ºÅ© ÃøÁ¤¸ðÇü" ±èÁÖö, ±è»ïÇö(¿¬¼¼´ë °æÁ¦Çаú) ¥°-3. Financial Modeling 1 (Room3), ÁÂÀå: ÀÌ»ó¿­(¼­¿ï´ë Åë°èÇаú) - "The CUSUM test for parameter change in ARMA-GARCH model and its application to the daily exchange rate for the Korean Won-Japanese Yen" ¼ÛÁظð, ÀÌ»ó¿­(¼­¿ï´ë Åë°èÇаú) - "Persistent Threshold GARCH Processes: model specification" J. A. Park, J. S. Baek, S. Y. Hwang(¼÷¸í¿©´ë Åë°èÇаú) - "Using Genetic Algorithm to forecast implied volatility in the options market" ÀÌÇѼ®, ±èµ¿ÇÏ, ¼ÛÄ¡¿ì, ¿À°æÁÖ(¿¬¼¼´ë Á¤º¸»ê¾÷°øÇаú) ¥±-1. ±ÝÀ¶µ¥ÀÌÅÍÀÇ È°¿ë (¿¬ÇÕÀÎÆ÷¸Æ½º) (Room1) - ÀÎÆ÷¸Æ½º ±ÝÀ¶µ¥ÀÌÅÍ ±¸¼º ¹× »ç¿ë¹ý - Â÷Æ®¸¦ È°¿ëÇÑ ±ÝÀ¶½ÃÀå ºÐ¼® - ±ÝÀ¶Àü¹®°¡µéÀÇ ½ÇÁ¦ µ¥ÀÌÅÍ È°¿ë »ç·Ê ¥±-2. Pricing & Hedging (Room2), ÁÂÀå: À§Àμ÷(°í·Á´ë ¼öÇаú) - "Switching Grids : an efficient and accurate finite difference scheme for the multi -dimensional Black-Scholes equation" ¾ç±â¼º(°í·Á´ë ±ÝÀ¶°øÇÐÇùµ¿°úÁ¤), À§Àμ÷, ±èÁؼ®(°í·Á´ë ¼öÇаú) - "Optimal Hedging with Coherent Measure of Risk" ±èÁÖÈ«(¼º½Å¿©´ë ¼öÇаú) - "±¹³» ÆÄ»ý°áÇÕÁõ±Ç(DLS)ÀÇ °¡Ä¡Æò°¡" ÀåºÀ±Ô(Æ÷Ç×°ø´ë »ê¾÷°æ¿µ°øÇаú), ÀÓ»ó±Ô(±ÝÀ¶°¨µ¶¿ø), ÀÌÈ£¼®(KAIST ¼ö¸®°úÇаú) ¥±-3. Financial Market View (Room3), ÁÂÀå: ±è»ï¿ë(Áß¾Ó´ë Åë°èÇаú) - "±ÝÀ¶°æÀï·Â °áÁ¤¿äÀο¡ ´ëÇÑ °è·®°æÁ¦ÇÐÀû ºÐ¼®" ÇÑâȣ(QuantGlobal) - "KOSPI200 ¼±¹°½ÃÀåÀÇ ÅõÀÚÀÚ À¯Çüº° °Å·¡¿Í KOSPI200 ÁÖ°¡Áö¼ö ½ÃÀå°úÀÇ °ü°è¿¡ °üÇÑ ¿¬±¸" À¯½Ã¿ë, ±ÇÅÂÈÆ(Áß¾Ó´ë °æ¿µÇаú) - "¾Æ½Ã¾ÆÁö¿ª ÅëÈ­ÀÇ ´Þ·¯¿¡ ´ëÇÑ À§»ó°ú ±×ÀÇ º¯È­¿¡ °üÇÑ ¿¬±¸" ±è±ÔÇü(Áß¾Ó´ë ¹«¿ªÇаú) - "±¹³»±ÝÀ¶È¸»çÀÇ ¸®½ºÅ©°ü¸®Ã¼°è ÇöȲ°ú ¹®Á¦Á¡" ÀÌÁÖ¿±(f1 ÄÁ¼³ÆÃ) ¥²-1. Option Pricing & Applications (Room1), ÁÂÀå: ÃÖ¿µ¼ö(Çѱ¹¿Ü´ë ¼öÇаú) - "Numerical methods for pricing barrier options under Levy processes" ÇÑ»óÀÏ(Çѱ¹±â¼ú±³À°´ë »ê¾÷°æ¿µÇкÎ), ÀüÀÎÅÂ(°¡Å縯´ë ¼öÇаú) - "Option Pricing under Stochastic Volatility with Regime Switching" À¯Çö°ï, ±èÁ¤ÈÆ (¿¬¼¼´ë ¼öÇаú) - "Matched Asymptotics for Lookback Option ¹Ú»óÇö*, ±èÁ¤ÈÆ(¿¬¼¼´ë ¼öÇаú) ¥²-2. Asset Allocation & Portfolio Optimization (Room2), ÁÂÀå: Àå ¿í(Çѱ¹Áõ±Ç¿¬±¸¿ø) - "Optimal Annuity Planning and Longevity Risk: Evidence from Korea" ¿©À±°æ(ÀÌÈ­¿©´ë °æ¿µÇаú), ¾çÀçȯ(¼­¿ï½Ã¸³´ë °æ¿µÇаú) - "Real OptionÀ» È°¿ëÇÑ ¾ÆÆÄÆ®Àç°ÇÃà»ç¾÷ÀÇ Å¸´ç¼º Æò°¡ ¹®¼ºÁÖ(°æ»ó´ë ¼ö»ê°æ¿µÇаú) - "Portfolio Optimization Using Random Matrix Theory" ¾ööÁØ(ºÎ»ê´ë °æ¿µÇкÎ), ¹ÚÁ¾¿ø(¼­¿ï½Ã¸³´ë °æ¿µÇаú) ¥²-3. Financial Modeling 2 (Room3), ÁÂÀå: ±¸Çü°Ç(¾ÆÁÖ´ë °æ¿µÇаú) - "Consistent and Efficient Calibration of Affine Term Structure Models" ¼ºÇѱâ(Çѱ¹Ã¤±ÇÆò°¡), ÃÖÀ±¼®(³óÇùÁß¾Óȸ) - "Nonlinear Effects in the Determinants of capital structure in Australian Firms" Á¤Çüö(¼ö¿ø´ë Åë°èÇаú), Joshua Bahng - "Valuation of Range Notes under an Affine Term Structure Model" À±ÁöÈñ(KAIST ¼ö¸®°úÇаú), ÀåºÀ±Ô(Æ÷Ç×°ø´ë »ê¾÷°æ¿µ°øÇаú) - "The Return of Black and Scholes Model : Using the Trader's Rule" ±è¼Ö(Çѱ¹¿Ü´ë °æ¿µÇаú) jslim@yna.co.kr


2008-11-27 / (¼­¿ï=¿¬ÇÕÀÎÆ÷¸Æ½º) ÀÓÁ¤¼ö ±âÀÚ
¿ø¹® : http://news.naver.com/main/read.nhn?mode=LSD&mid=sec&sid1=101&oid=013&aid=0001968430
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