연구

  • 연구관리 행정흐름도
    • 교내연구관리
    • 교외연구관리
  • 교내연구지원제도
    • 국책과제에 대한 대학대응자금 지원기준
    • 대형과제기획비(PI지원)
    • 교내 일반연구비 지원기준
    • 교내 정착연구비 지원
    • 교내 특별연구비 지원
    • 학술진흥연구비
    • 연구소활성화연구비
  • 교내학술활동지원제도
    • 국내학술회의 참가지원
    • 해외학술회의 참가지원
    • 아주연구상지원
    • 국제학술지게재논문 교정비지원
    • 학술지논문 게재료지원
    • 학술회의 개최비지원
    • 학제간연구회지원
  • 주요연구사업
    • BK21 플러스 사업
    • WCU사업
    • 국가지정 연구실사업
    • 중점연구소 지원사업
    • 경기도지역 협력연구센터
    • 대학IT 연구센터육성지원
  • 연구기관
    • 기본연구기관
    • 전문화 연구기관
    • 특성화 연구기관

WCU사업

연구책임자

  • 성재영

과제명

  • 대리인 문제와 모형 불확실성 하에서 자산 가격결정, 위험관리 및 실물옵션 가치산정에 관한 연구

총사업기간

  • 2009. 4. 1 ~ 2013. 8. 31 (4년)

총사업비

  • 5,970,000천원

Project Overview

This WCU research group aims to establish a world-class graduate program and cutting-edge research environment in financial engineering at Ajou University. Financial engineering is a multidisciplinary study of finance problems with tools from functional fields such as economics, mathematics and operations research. Currently, the WCU group is actively involved in research on information economic issues in financial engineering and on financial mathematics. On the other hand, the WCU group commits itself to educating graduate (master and doctoral) students with a globally competitive curriculum to deliver state-of-art knowledge in financial engineering. Its goal is to produce financial engineers/experts who are rigorously trained to think and analyze financial engineering problems with proper mathematical skills but without losing economic insights.

Excellent Performances

International Conferences‘

  • Ajou University-SERI Financial Engineering Form Joint Workshop (21.07.2012)

    Our WCU team and The SERI Financial Engineering Form jointly organized a workshop with the objective of

    • (1) promoting communication, interaction, and cooperation between the academic program of the Graduate Department of Financial Engineering, Ajou University and practitioners who compose the majority of the SERI Financial Engineering Forum
    • (2) dissemination of practical knowledge in financial engineering.
      The workshop was a great success. Over 200 people from both academia and industry participated and there were lively questions, answers and discussions following presentations. In particular, foreign members of our WCU team, Alain Bensoussan and Abel Cadenillas made presentations on the topics of real options and sovereign debt management, respectively, which were very well received. A number of the Forum members posted afterthoughts and comments on the workshop, which was generally encouraging.
Ajou University-SERI Financial Engineering Form Joint Workshop (21.07.2012)
  • Ajou Workshop on Financial History (20.07.2012)

    We organized a workshop on financial history with the help of Professors Tae-Seung Kim and Sung-Eul Cho of the Department of History, Ajou University, and Professor Won Hee Lee of the Law School, Ajou University.

Ajou Workshop on Financial History (20.07.2012)
  • There has been an increasing interest in history of finance since the beginning of the 21st century, and the interest is even larger after the financial crisis, since researchers began to look into history for the roots of the financial crisis. Financial researchers Sooyoung Song (Chung-Ang Unviersity) and Cheayeol Yang (Chonnam National University) made presentations about financial history and its lessons. Both graduate and undergraduate students made presentations and Professors Tae-Seung Kim and Sung-Eul Cho gave insightful comments on their research. Participants discussed the following topics: the monetary system of China, Finance in the Italian City States, The monetary and financial thoughts in Guanzi, A case study in central banking: The Bank of Amsterdam, lessons of financial history for the contemporaries.

Ajou Workshop on Financial History (20.07.2012)
  • Ajou International Workshop in Financial Economics and Mathematics (13~15.07.2012):

    Internationally renowned scholars in financial economics and mathmatics, Metin Cakanyldirim, Chiaki Hara, Arturo Kohatu-Higa, Hong Liu, John Liu, Mark Loewenstein, Kazuhiko Ohashi, Xianhua Peng, Eckhard Platen, Charles Tapiero, Zhou Yang, Xunyu Zhou, together with Korean scholars, Suchan Chae and Jinwan Cho, and our WCU members participated in the workshop and made presentations and interacted actively to share ideas and produce possibilities for joint research. Participants discussed Diverse topics on asset pricing, portfolio management, general equilibrium, and insurance.

Ajou International Workshop in Financial Economics and Mathematics (13~15.07.2012)
  • The Ajou Conference on Control Theory, Financial Mathematics and Financial Engineering in Honor of Alain Bensoussan (08~10.07.2010)

    The 10th SAET Conference (Singapore) - two Session (13~15.08.2010)

    • (1) General Equilibrium Theory
    • (2) Recent Issues in Mathematical Finance

Invited lectures by world-renowned researchers

  • Intensive Course Series
    • Prof. Eckhard Platen (UTS) - Intensive Course on Computational Finance
    • Prof. Shige Peng(Shangdong Univ.) -Backward Stochastic Differential Equation and G-Brownian Motion.
    • Prof. Freddy Delbaen (ETH) - Intensive Course for monetary utility function
    • 10 other intensive courses by domestic & international experts.

Main Research/Education Content

The main areas of research by the WCU group are Asset Pricing, Risk Management and Real Option Valuation in the Presence of Agency Problems and Model Uncertainties.
Their subareas include not only the study of moral hazard issues present in traditional financial engineering problems such as (A) credit risk, (B) model uncertainties, (C) risk management, (D) asset pricing in general equilibrium, and (E) real option problems in green finance, but also the study of financial mathematics such as backward stochastic differential equations and nonlinear expectations.

Participating Scholars

  • Total Participating Scholars
WCU사업
No. Name Affiliation Major E-mail
1 Jaeyoung Sung Ajou Univ. Mathematical Finance jaeyoungsung @ajou.ac.kr
2 Hyeng Keun Koo Ajou Univ. Mathematical Finance hkoo@ajou.ac.kr
3 Hyeong-Ohk Bae Ajou Univ. Mathematics hobae@ajou.ac.kr
4 Gyoocheol Shim Ajou Univ. Financial Mathematics gshim@ajou.ac.kr
5 Alain Bensoussan Invited Mathematics axb046100 @utdallas.edu
6 Abel Cadenillas Invited Financial Statistics acadenil @math.ualberta.ca
7 Zengjing Chen Invited Financial Mathematics zjchen@sdu.edu.cn
8 Kiseop Lee Invited Statistics kiseop@ajou.ac.kr
9 Shanjian Tang Invited Financial Mathematics sjtang@fudan.edu.cn

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