Jiwook Jang Macquarie University, Australia Abstract : In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps following a homogeneous Poisson process and two separate self-excited jumps, which are two Poisson cluster processes. A constant rate of exponential decay is included in this process장지욱 교수(호주 맥쿼리 대학)
Hyeng-Keun Koo Professor / Ajou University Abstract I will discuss optimal stopping problems arising from the theory of consumption and portfolio choice, political economy, and game theory. I will also show how an optimal stopping problem, in general, is related to a backward stochastic partial differential variational inequality(BSPDVI).
Tae-Hyung Pyo School of Business State University of New York at New Paltz Abstract The Bass Model has been used extensively and globally to forecast first purchases of new products. Most models for the diffusion of innovation are deeply rooted in the work of Bass(1969). Potential customers may be connected to
Hong Kee Sul / Ph.D. Research Support Director, WRDS Abstract: 1.Discuss recent additions to datasets, new research applications and analytics at WRDS. 2. Introduce upcoming analytics tools that are in development. 3. Measuring the impact of WRDS on Research.
Sangmook Lee Assistant Professor of Finance / Penn State Great Valley School of Graduate Professional Studies Abstract Prior literature has documented that analysts engage in valuable information discovery and information interpretation. Our contribution is to introduce and document a third role that analysts play that is also valuable to investors, which we
Inmoo Lee Professor / KAIST Abstract We investigate whether the availability of options for trading affects corporate actions using convertible bond offerings as an example. A significant percentage of convertible bond issuers simultaneously announces share repurchases (combined offerings) to help arbitrageurs take short positions without causing much negative impacts on share prices. Since
Jae Kyu Lee(Chair Professor, KAIST) President, Association for Information Systems Abstract Global societal knowledge infrastructures and communication platforms have made life and business more efficient and effective. However, many serious side effects have emerged alongside these ICT platforms, imperiling the foundation of future not only in a particular country, but also across borders.