Welcome to my home!


Quantitative Finance, Stochastic Analysis, Market Microstructure, Actuarial Sciences


Associate Editor, the Journal of Statistical Planning and Inference

Associate Editor, the Journal of Applied Mathematics and Computing

Associate Editor, Management Sciences and Financial Engineering

Associate Editor, the Journal of Korean Association of Financial Engineering

Associate Editor, Applicable Analysis

Review Editor, Frontiers of Financial Engineering

Kiseop Lee
Associate Professor
Department of Statistics
Purdue University

542 Mathematical Sciences Building,
150 N. University St,
West Lafayette, IN 47907, USA
phone: (765) 496-3698
fax: (765) 496-9570
List of Publications

[1](with S.Park) Hedging with Information Asymmetry, submitted

[2](with S.Park) Asymptotic Computation of the Greeks under Stochastic, submitted

[3](with S.Park) Hedging with Liquidity risk under CEV diffusion, submitted

[4](with R.Jayasekera and R.Gill) Modeling Discrete Stock Price Changes using a Mixture of Poisson Distributions, submitted

[5](with J. Figueroa-Lopez) Estimation of a noisy subordinated Brownian Motion via two-scale power variations, submitted

[6](with M.Kim and T. Ha) Comparison of Numerical Methods on Hedging Claims with Feedback Jumps in the Pricing, forthcoming to Journal of Applied Mathematics and Computing

[7](with J. Park and J. Hyun) The Effect of Limit Order Flows at The Best Quotes on Price Changes, forthcoming to Risk and Decision Analysis

[8](with S.Ha, K.Kim) A Mathematical Model for Multi-name Credit Based on Community Flocking, forthcoming to Quantitative Finance

[9](with W.Kang) Information on Jump Sizes and Hedging, forthcoming to Stochastics

[10](with S.Park) Insiders' Hedging in a stochastic volatility model, forthcoming to IMA Journal of Management Mathematics

[11] Market Microstructure, New Trends in Financial Engineering, IOS Press, ISBN 978-1-60750-834-2, pages 89-106

[12](with J.Lim, D.Yu, H, Liu and M.Sherman) Parameter Estimation in the Spatial Auto-Logistic Model with Varying Independent Subblocks, Computational Statistics and Data Analysis, 56 (2012) 4421-4432

[13](with H.Ku and H.Zhu) Discrete Time Hedging with Liquidity Risk, Financial Research Letters, 2012, vol. 9, issue 3, pages 135-143

[14](with R.Christie-David, A. Chatrath and B.Adrangi) Dominant markets, staggered openings, and price discovery, Journal of Futures Markets, Volume 31, Issue 10, pages 915946, October 2011

[15](with J.Figueroa-Lopez, S.Lancette and Y.Mi) Estimation of NIG and VG models for high frequency financial data, Handbook of Modeling High-Frequency Data in

Finance, J. Wiley, 2011. ISBN: 978-0-470-87688-6

[16](with Y.Zeng) Risk minimization for a filtering micromovement model of asset price, forthcoming, Applied Mathematical Finance, vol 17 (2), 177-199, 2010

[17](with R.Christie-David, A. Chatrath and W.Moore) Competitive Inventory Management in Treasury Markets, Journal of Banking and Finance, vol. 33, issue 5,

pages 800-809, 2009

[18](with S.Ha and D.Levy) Flocking in a Stochastic Cucker-Smale System, Communication on Mathematical Sciences, vol 7 (2), 453-469, 2009

[19]Risk minimization under budget constraints, Journal of Risk Finance, vol 9, (1) 71-80, 2008

[20](with J.Lim and H.Song) Estimation of Liquidity Cost in Financial Markets, Communication of the Korean Statistical Society, 15, 117-124, 2008

[21](with P.Protter) Hedging Claims with Feedback Jumps in the Price Process, Communication on Stochastic Analysis, vol 2, (1), 2008

[22](with R.Chrisite-David and A. Chatrath) How potent are news reversals?: Evident from Futures Markets, Journal of Futures Markets, vol 29, (1), 42-73, 2009

[23](with M.Xu) Parameter Estimation from Multinomial Trees to jump diffusions with K Means Clustering, Cutting Edge, Risk, vol 21, 82-86, 2008

[24] (with S.Song) A note on convergence of an approximate hedging portfolio with liquidity risk , Stochastics, vol 79 (5), 419-429, 2007.

[25](with S.Song and R.Gill) Computation of estimates in segmented regression and a liquidity effect model, Computational Statistics and Data Analysis, vol 51 (5) 6459-6475, 2007

[26](with S.Song) Insiders Hedging in a Jump Diffusion Model, Quantitative Finance, vol 7 (5) 537-545, 2007

[27] (with L.Goldberg and A.Kercheval) t-statistics for weighted means in credit risk modelling, Journal of Risk Finance 6 (4), 349-365, 2005

BOOK REVIEW (published)

Actuarial Mathematics for Life Contingent Risks, Second Edition by Dickson, Hardy, and Waters, The American Statisticians, vol 69, (2), page 149, 2015


Rasitha Jayasekera(2013, assistant professor at Butler University)

Yueyun Zhang