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Kang, Wanmo (강완모)
교수, (수리과학과)

https://sites.google.com/site/wanmokang/

Research Area
Applied Probability and Stochastic Simulation, Optimization, Applications in Risk Analysis
Co-researchers
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    1
    Sequential Likelihood-Free Inference with Neural Proposal

    Kim, Dongjun; Song, Kyungwoo; Kim, Yoon-Yeong; et al, PATTERN RECOGNITION LETTERS, v.169, pp.102 - 109, 2023-05

    2
    Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes

    Kang, Wanmo; Lee, Jong Mun, MATHEMATICS OF OPERATIONS RESEARCH, v.44, no.1, pp.334 - 353, 2019-02

    3
    Exact simulation of the wishart multidimensional stochastic volatility model

    Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun, OPERATIONS RESEARCH, v.65, no.5, pp.1190 - 1206, 2017-09

    4
    Analysis and design of microfinance services: a case of ROSCA

    Ahn, Deung Geon; Kang, Wanmo; Kim, Kyoung-Kuk; et al, ENGINEERING ECONOMIST, v.62, no.3, pp.197 - 230, 2017-07

    5
    Risk Propagation Through a Platform: The Failure Risk Perspective on Platform Sharing

    Kang, Chang Muk; Hong, Yoo S.; Huh, Woonghee Tim; et al, IEEE TRANSACTIONS ON ENGINEERING MANAGEMENT, v.62, no.3, pp.372 - 383, 2015-08

    6
    Stress scenario selection by empirical likelihood

    Glasserman, Paul; Kang, Chulmin; Kang, Wan-Mo, QUANTITATIVE FINANCE, v.15, no.1, pp.25 - 41, 2015-01

    7
    Information on jump sizes and hedging

    Kang, Wan-Mo; Lee, Kiseop, STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, v.86, no.6, pp.889 - 905, 2014-11

    8
    OR Forum-Design of Risk Weights

    Glasserman, Paul; Kang, Wanmo, OPERATIONS RESEARCH, v.62, no.6, pp.1204 - 1220, 2014-11

    9
    Robustness of Order-Up-to Policies in Lost-Sales Inventory Systems

    Bijvank, Marco; Huh, Woonghee Tim; Janakiraman, Ganesh; et al, OPERATIONS RESEARCH, v.62, no.5, pp.1040 - 1047, 2014-09

    10
    Large deviations for affine diffusion processes on R-+(m) x R-n

    Kang, Wan-Mo; Kang, Chulmin, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.124, no.6, pp.2188 - 2227, 2014-06

    11
    Fairing the gamma: an engineering approach to sensitivity estimation

    Kang, Wanmo; Kim, Kyoung-Kuk; Shin, Hayong, IIE TRANSACTIONS, v.46, no.4, pp.374 - 396, 2014-04

    12
    Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices

    Kang, Chul-Min; Kang, Wan-Mo, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.123, no.6, pp.2419 - 2445, 2013-06

    13
    Denoising Monte Carlo sensitivity estimates

    Kang, Wanmo; Kim, Kyoung-Kuk; Shin, Hayong, OPERATIONS RESEARCH LETTERS, v.40, no.3, pp.195 - 202, 2012-05

    14
    서비스 혁신 연구：프레임워크와 연구이슈

    김광재; 홍유석; 신동민; et al, 대한산업공학회지, v.35, no.4, pp.226 - 247, 2009-12

    15
    Fast Simulation of Multifactor Portfolio Credit Risk

    Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez, OPERATIONS RESEARCH, v.56, no.5, pp.1200 - 1217, 2008-09

    16
    Large deviations in multifactor portfolio credit risk

    Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez, MATHEMATICAL FINANCE, v.17, no.3, pp.345 - 379, 2007-07

    17
    Exploiting regenerative structure to estimate finite time averages via simulation

    Kang, Wanmo; Shahabuddin, Perwez; Whitt, Ward, ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, v.17, no.2, pp.113 - 120, 2007-04

    18
    Linear convergence of Tatonnement in a Bertrand oligopoly

    Gallego, Guillermo; Huh, Woonghee Tim; Kang, Wanmo; et al, COMPUTATIONAL SCIENCE AND ITS APPLICATIONS - ICCSA 2006, PT 3 BOOK SERIES: LECTURE NOTES IN COMPUTER SCIENCE, v.3982, pp.822 - 831, 2006

    19
    Price competition with the attraction demand model: Existence of unique equilibrium and its stability

    Gallego, Guillermo; Huh, Woonghee Tim; Kang, Wanmo; et al, MSOM-MANUFACTURING SERVICE OPERATIONS MANAGEMENT, v.8, no.4, pp.359 - 375, 2006

    20
    Optimization problems in the simulation of multifactor portfolio credit risk

    Kang, Wanmo; Lee, K, COMPUTATIONAL SCIENCE AND ITS APPLICATIONS - ICCSA 2006, PT 3 BOOK SERIES: LECTURE NOTES IN COMPUTER SCIENCE, v.3982, pp.777 - 784, 2006
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