Kim, Sol (김솔) 교수 상세 프로필

Kim, Sol (김솔) 사진
Kim, Sol (김솔)
Affiliation
Hankuk University of Foreign Studies
Areas of Interest
Derivatives
Empirical Options Pricing
Financial Econometrics
Courses
Risk Management
Statistics & Decision Models
Education
Ph.D. 2004, KAIST
M.S. 1999, KAIST
B.S. Industrial Management, KAIST
Experience
Associate Professor of Finance, Hankuk University of Foreign Studies
Published Journals
[1] “Can the Indicative Price System Mitigate Expiration-Day Effects?" (with Jong-Bom Chay and Hyeuk Sun Ryu) Journal of Futures Markets, 33(10), 891-910, 2013. (SSCI)
[2] “An Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility,” (with Dongwoo Rhee and Suk Joon Byun) Asia-Pacific Journal of Financial Studies, 41(1), 103-124, 2012. (SSCI)
[3] "Effects of Macroeconomic News Announcements on the Risk-Neutral Distribution: Evidence From KOSPI200 Intraday Options Data," (with Geul Lee) Asia-Pacific Journal of Financial Studies, 40, 403-432, 2011. (SSCI)
[4] "Intraday Volatility Forecasting from Implied Volatility," (with Dongwoo Rhee and Suk Joon Byun) International Journal of Managerial Finance, 7(1), 83-100, 2011.
[5] "The Performance of Traders\' Rules in Options Market" Journal of Futures Markets, 29, 999-1020, 2009. (SSCI) (lead article)
Authored Books
“Empirical Comparison of Alternative Options Pricing Models: Evidence from Intraday Data,” submitted to the Journal, 2012.
“An Empirical Comparison of Ad Hoc Black and Scholes Models,” with with Dongwoo Rhee and Suk Joon Byun, 2nd round in the International Journal of Managerial Finance, 2012
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