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The IEOR Department will like to congratulate their doctoral students who received prestigious awards at the annual INFORMS conference:
Xianhua Peng came in first place in the Financial Services Student Research Paper Competition for "Connecting the Top-down to the Bottom-up: Pricing CDO under a Conditional Survival (CS) Model".
Kun Soo Park came in second place in the Financial Services Student Research Paper Competition for "Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups". A copy of his paper can be found here.
Yu Hang Kan came in first place in the Best Presentation Competition for "Dynamic Hedging of Portfolio Credit Derivatives".
Romain Deguest received an honorable mention in the Best Presentation Competition for "Robustness and Sensitivity Analysis of Risk Measurement Procedures". A copy of his paper can be found here.
Also, Dr. Ning Cai, won honorable mention in the George E. Nicholson Student Paper Competition for his paper "Option Pricing Under a Hyper-Exponential Jump Diffusion Model".
Ning Cai received his Ph.D. this year under the supervision of Professor Steve Kou, and is now an Assistant Professor in the Department of Industrial Engineering and Logistics Management at the Hong Kong University of Science and Technology.
The IEOR Department will also like to extend their appreciation to Professor Kou who worked with Xianhau Peng, Professor Emanuel Derman and Professor Ward Whitt for assisting Kun Soo Park, and Professor Rama Cont for working with Yu Hang Kan and Romain Deguest.
A list of all 2008 Winners for the INFORMS Subdivision and Awards Competition can be found here.
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