Kihun Nam

email: kn253 at math.rutgers.edu
office:
Hill Center 336, Busch Campus,
110 Frelinghuysen Rd.
Rutgers University
Piscataway, NJ 08854-8019


Current Position
Lecturer (Triennial Assistant Professor) in Financial Mathematics
Department of Mathematics, Rutgers University, 2014-2017 summer

Education
PhD in Applied and Computational Mathematics, Princeton University, June 2014
- Disseratation: Backward Stochastic Differential Equations with Superlinear Drivers
- Advisor: Patrick Cheridito

BS in Mathematical Science, Seoul National University, August 2009
BS in Biological Science, Seoul National University, August 2009
Minor in Physics

Research Interests
• Backward Stochastic Differential Equations (BSDEs)
• Stochastic Control and Optimization
• Malliavin Calculus and Funtional Ito Calculus
• Stochastic Differential Games
• Semilinear Parabolic PDE
• Stochastic PDE
• Graph-valued Stochastic Processes
• Stochastic Analysis in general

Publications
Preprint
• Path-differentiability of BSDE driven by a continuous local martingale. (submitted)
ArXiv Preprint (2016)

Published
• BSEs, BSDEs, and fixed point problems (with Patrick Cheridito).
To appear in Annals of Probability ArXiv Preprint (2016)

• Multidimensional quadratic and subquadratic BSDEs with special structure (with Patrick Cheridito).
Stochastics: An International Journal of Probability and Stochastic Processes 87 (2015), n. 5, 871-884

• BSDEs with terminal conditions that have bounded Malliavin derivative (with Patrick Cheridito).
Journal of Functional Analysis 266 (2014), no. 3, 1257–1285.

Teahing
• Mathematical Finance 1 (Graduate course), Fall 2014, Fall 2015
• Introduction to Real Analysis 1 (Undergraduate course), Fall 2016
• Multivariable Calculus (Undergraduate course), Fall 2016
• Mathematical Theory of Probability (Undergraduate course), Spring 2015, Summer 2015, Spring 2016
• Elementary Differential Equations (Undergraduate course), Spring 2015
• Introduction to Linear Algebra (Undergraduate course), Spring 2016

Awards
Academic Initiative Program Award, Department of Mathematics, Rutgers University, 2015, 2016
Samsung Scholarship for PhD Students, Fall 2009 - Spring 2014
Princeton University Fellowship, Fall 2009 - Spring 2010
Summa cum laude in Mathematics and Biology, 2009
University Mathematics Olympiad , 2005 (applied, 4th place), 2008 (pure, 4th place)
National Undergraduate Science and Technology Scholarship, 2003-2006, 2008-2009

Presentations
• BSEs, BSDEs and fixed point problems
9th World Congress,Bachelier Finance Society, New York, NY, July 2016

• BSDEs, BSEs, and fixed point theorems
Methods of Mathematical Finance, Carnegie Mellon University, Pittsburgh, PA, June 2015 (poster)

• Multidimensional quadratic BSDEs which are related to stochastic differential game
Mathematical Finance and Partial Differential Equations, Rutgers University, Piscataway, NJ, May 2015

• BSDEs, BSEs, and fixed point theorems
Rutgers University, Piscataway, NJ, Sep 2014

• BSEs, BSDEs, and fixed points
Second Young Researchers Meeting on BSDEs, Numerics and Finance, Université de Bordeaux, France, July 2014

• BSDEs, BSEs, and fixed points
Carnegie Mellon University, Pittsburgh, PA, Feb 2014

• Multidimensional quadratic and subquadratic BSDEs with special structure
University of Texas-Austin, Austin, TX, Sep 2013

• Multidimensional quadratic BSDE
Perspectives in Analysis and Probability (Workshop 3 Backward Stochastic Differential Equations), University of Rennes, Rennes, France, May 2013 (poster)

• BSDEs with terminal conditions that have bounded Malliavin derivative
Young Researchers Meeting on BSDEs, Numerics and Finance, Oxford University, Oxford, UK, July 2012

personal

last updated: Sep 4, 2016