Professor Sol Kim

• Associate Professor, College of Business Administration, Hankuk University of Foreign Studies
• Chair, Department of International Finance, Graduate School of Business
• (130-791) Faculty Office Building #410, Hankuk University of Foreign Studies, 270, Imun-dong, Dongdaemun-Gu, Seoul, Korea.
• Tel: 02-2173-3124
• Fax: 02-959-4645
• E-mail: solkim@hufs.ac.kr
• Twitter: @romancesol
• Facebook: @solkim
• CV (in English)

• Ph.D., KAIST Business School, 2004.02
• M.S., KAIST Business School, 1999.02
• B.S., KAIST Business School, 1997.02
• Gwangju Science High School, 1993.02

• Hankuk University of Foreign Studies, College of Business Administration Associate Professor, 2010.03 - Present
• Hankuk University of Foreign Studies, College of Business Administration Assistant Professor, 2008.03 - 2010.02
• Seoul Women's University, Department of Business Administration Full-time Lecturer, 2006.09 - 2008.02
• KAIST Business School Adjunct Professor, 2005.09 - 2007.08
• KAIST Financial Engineering Center, Research Fellow, 2006.03 - 2006.08
• SAMSUNG SDS Manager, 2004.02 - 2006.02
• Intetrated Financial Solutions, Consultant, 2001.05 - 2003.10

• "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)
• "Intraday Volatility Forecasting from Implied Volatility," (with Dongwoo Rhee and Suk Joon Byun) International Journal of Managerial Finance, 7(1), 83-100, 2011.
• "The Performance of Traders' Rules in Options Market," Journal of Futures Markets, 29, 999-1020, 2009. (SSCI)
• "Lead-Lag Relationship between Stock Index Options and Stock Index Market: Model, Moneyness, and News" (with In Joon Kim and Seung Oh Nam) International Journal of Managerial Finance 5, 311-332, 2009.
• "Pricing Options with Extreme Events: Using Camara and Heston(2008)'s Model" Asia-Pacific Journal of Financial Studies, 38, 187-209, 2009. (SSCI)
• "The Role of Stochastic Volatility and Return Jumps: Reproducing Volatility and Higher Moments in Equity Returns Dynamics" (with In Joon Kim, In Suk Baek, and Jae Sun Noh) Review of Quantitative Finance and Accounting 29, 69-110, 2007.
• "Is it Important to Consider the Jump Component for Pricing and Hedging Short-term Options?" (with In Joon Kim) Journal of Futures Markets 25, 989-1009, 2005. (SSCI)
• "Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models: Evidence from Korean KOSPI 200 Index Options Market," (with In Joon Kim) Pacific Basin Finance Journal 12, 117-142, 2004. (SSCI) (lead article)
• "On the Usefulness of Implied Risk Neutral Distributions: Evidence from Korean KOSPI 200 Index Options Market," (with In Joon Kim) Journal of Risk 6, 93-110, 2003.(SSCI)

• "The Modern Option Pricing Theory: A Review," (이글 공저) Trends in Mathematics - New Series, 13(1), 35-59, 2011.
• "지수옵션의 변동성 스프레드가 갖는 정보효과," (이글 공저) 선물연구, 19(1), 59-90, 2011.
• "주요국의 부동산 파생상품 규제연구 및 시사점," (채지윤 공저) 규제연구, 19(2), 1-17, 2010.
• "기초자산의 자기상관을 고려한 옵션가격결정모형의 성과," 금융공학연구, 9(3), 1-17, 2010. (lead article)
• "Heston(1993) 모형을 이용한 옵션 내재변동성의 미래 변동성 예측," 금융안정연구, 11(1), 1-25, 2010. (lead article)
• "전통적 회귀분석 모형의 보완을 통한 동적헤징의 효율성 혁신: 시뮬레이션 연구," (이글 공저) 산업혁신연구, 26, 77-97, 2010.
• "CFMA 도입이 美 금융기관의 경영성과에 미치는 영향에 대한 연구," (채지윤 공저) 국제지역연구, 13, 103-128, 2010.
• "옵션시장의 과잉반응에 관한 연구: 1997-1998년 외환위기를 전후하여," 산업혁신연구, 24, 25-63, 2008.
• "위험중립분포 왜도첨도의 상대적 중요성: Corrado and Su(1996) 모형을 이용한 옵션 가격 예측," 선물연구, 16, 1-20, 2008.
• "콜/풋옵션 거래금액 비율의 정보효과," 선물연구, 15, 31-53, 2007.
• "위험중립분포 왜도, 첨도의 옵션가격결정에 대한 영향력," 선물연구, 14, 31-56, 2006.
• "주가지수선물과 주가지수의 가격발견기능에 관한 실증연구: 공적분과 오차수정모형," (김동석 공저) 선물연구 7, 87-115, 2000.

• 2011: Korea Finance Association Joint Conference, Multinational Finance Society Conference, Asia-Pacific Association of Derivatives(APAD)
• 2010: Korea Finance Association Joint Conference, Multinational Finance Society Conference, Asia-Pacific Association of Derivatives(APAD), Hallym University, Conference on Asia-Pacific Financial Markets(CAFM), Korea Financial Engineering Society
• 2009: Ajou- KAIST-Postech Conference, Korea Finance Association Joint Conference, Multinational Finance Society Conference, Korean Corporation Management Association Conference, Korean Finance Association Conference, Korea Derivatives Association Conference
• 2008: Korean Finance Association Conference, Korea Finance Association Joint Conference, Korea Derivatives Association Conference, Korean Financial Engineering Society Conference
• 2007: Korean Academic Society of Business Administration Conference, Korea Finance Association Joint Conference
• 2006: Korea Finance Association Joint Conference, Korea Derivatives Association Conference
• 2004: Korea Derivatives Association Conference
• 2003: Korea Finance Association Joint Conference, Korea Derivatives Association Conference
• 2002: Korean Finance Association Conference
• 1999: Korean Securities Association Conference, Korea Derivatives Association Conference

• "Forecasting Future Volatility from Option Prices," (with Dongwoo Rhee and Suk Joon Byun) submitted to the Journal 2009.
• "Empirical Comparison of Options Pricing Models: Evidence from Intraday Data," submitted to the Journal 2009.
• Etc....

• NH투자증권, Volatility Smiles 구현, 2010.05 - 2010.08
• KoRei, 미래에셋증권 발전전략, 2007.07 - 2007.10
• 펜타소프트, 장외파생상품 가격결정 모형 개발, 2006.04 - 2006.08
• 한국교직원공제회, 자산운용시스템 구축, 2005.04 - 2005.12
• 삼성SDS, 원가관리 및 인별 다차원 수익성 분석, 2005.01 - 2005.03
• 삼성생명, Global Accouting 시스템 구축, 2004.10 - 2004.12
• 삼성생명, 비즈니스 아키텍처 구축, 2004.04 - 2004.09
• NICE채권평가, NICE-FN 채권성과평가모듈 개선, 2003.08 - 2004.01
• 국민연금관리공단, Value at Risk를 이용한 Risk Budgeting 모형 개발, 2003.06 - 2003.10
• 한일투자신탁운용, 혼합형/헤지 펀드의 운용전략수립, 2001.10 - 2001.12
• 동원투자신탁운용, 인덱스 펀드 운용전략 수립, 2001.09 - 2001.12
• 한국투자신탁증권, 자산분배모형의 개발, 2001.05 - 2001.08
• 한국전력공사, 원가반영전력시장 도입에 따른 재무위험의 측정 및 관리에 관한 연구, 2000.08 - 2000.12
• 교보증권, 비전 2005 전략수립, 2000.01 - 2000.03  

• 한국거래소 제1회 KRX 파생상품 논문상, 우수상, 2010.
• Asia-Pacific Journal of Financial Studies in the special "Call for Papers event, 2008, $2,000 (USD) award.
• 한국선물학회 2006년 최우수논문상, 2006.12
• KAIST 테크노경영대학원 박사과정 컨퍼런스 최우수논문상, 2003.11
• KAIST 장학생 (학사/석사/박사), 1993.09 - 2004.02

• 한국증권학회 영구회원
  • 2011.02 - 2012.01 간사
  • 2011.02 - 2013.01 한국증권학회지 편집위원
• 한국파생상품학회 영구회원
  • 2010.01 - 2011.12 APAD Managing Director
  • 2011.01 - 2013.12 선물연구 편집위원
• 한국재무학회 영구회원
• Ad hoc Referee
  • Asia-Pacific Journal of Financial Studies (SSCI), Pacific-Basin Finance Journal(SSCI), The Financial Review (SSCI), International Review of Economics and Finance (SSCI)
  • 증권학회지, 재무연구, 선물연구, 재무관리연구, 경영학연구, 대한경영학회지, 금융연구, 금융안정연구, 산업혁신연구, 금융공학연구

• FRM (Financial Risk Manager) honored by GARP.
• CJDH (KAIST Fusion Jazz Band), EWI / V. / Flute, 1993 - Present.
• Advisor, Financial Markets Society, Hankuk University of Foreign Studies, 2008 - Present.
• Advisor, POSTRADE, Hankuk University of Foreign Studies, 2008 - Present.