송준모 교수(자연과학대학 통계학과)

o (2000) B.S.., Seoul National Univeristy
o (2008) Ph.D., Seoul National Univeristy

o (2018~Present) Associate Professor, Full Professor, Department of Statistics, Kyungpook National University
o (2011~2018) Full-time Lecturer, Assistant, Associate Professor, Department of Statistics, Jeju National University
o (2010~2011) Manager (Quant), OTC Derivatives Team, Kyobo Securities
o (2009~2010) Assistant Manager (Quant), Risk Management Team, Hyundai Motor's Company Investment Securities
o (2008~2009) Postdoctoral Researcher, Department of Statistics, Seoul National University

Time series analysis and stochastic processes

Change point analysis

Robust inference

Valuation of financial derivatives

Song, J. (2021). Sequential change point test in the presence of outliers: the density power divergence based approach. Electronic Journal of Statistics, 15, 3504-3550.
Song, J. (2020). Robust test for dispersion parameter change in discretely observed diffusion processes. Computational Statistics & Data Analysis, 142,106832.
Song, J. and Kang, J. (2018). Parameter change tests for ARMA-GARCH models. Computational Statistics & Data Analysis, 121, 41-56
Song, J. (2017). Robust estimation of dispersion parameter in discretely observed diffusion processes. Statistica Sinica, 27, 373-388.
Lee, J.-H. and Song, J. (2014). Valuation of long-maturity KIKO options under the stochastic volatility model. Asia-Pacific Journal of Financial Studies, 43, 492-529.
Song, J. and Lee, S. (2009). Test for parameter change in discretely observed diffusion processes. Statistical Inference for Stochastic Processes, 12, 165-183.

https://sites.google.com/view/stopknu/cveng