Professor  Young Ho Eom

OFFICE College of Business and Economics Yonsei University 134 Shinchon-dong, Sodaemoon-ku, Seoul, 120-749, Korea TEL : (82-2)-2123-4193 FAX : (82-2)-313-5331 E-Mail : yeom@base.yonsei.ac.kr

EDUCATION

New York University, Stern Business School, New York, Ph.D. in Finance, September 1996, Dissertation: Bond and Option Pricing Models: Theory and Econometric Tests.
New York University, New York, Finance, M. Phil, 1995.
Yonsei University, Korea, Finance, M.S., 1986.
Yonsei University, Korea, Business Administration, B.A., 1984.

Employoment

Associate Professor, School of Business, Yonsei University, 2002.9 ~ Current.
Assistant Professor, College of Business and Economics, Yonsei University, 1998.9 ~ 2002.8.
Economist, Capital Market Function, Federal Reserve Bank of New York, 1996.9 ¡­ 1998.6
Adjunct Assistant Professor, Graduate School of Business, Columbia University, 1997.1 ¡­1997.6
Research Assistant and Teaching Assistant, New York University, 1991 ¡­ 1995.
Instructor, Yonsei University, 1987.9 ¡­ 1990.7

Professional Activities

Director, Korea Finance Association, 2002-2005.
Associate editor: Korean Journal of Finance, 1999-2001.
Associate editor, The Journal of Korean Securities Associations, 2000-2002.
Associate editor, Korean Journal of Futures and Options, 2000-2002.
Associate editor, Korean Financial Management Journal, 2001-2003.
Visiting Researcher, Korea Development Bank, 1999-2000.

Academic Honors

Winner of 2001 FMA Annual Meeting Competitive Paper Award in the area of Fixed Income.
Best Paper Award, The Korean Journal of Finance, 2002.

PUBLISHED PAPERS

• ¡°Pricing Barrier Options in a Stochastic Interest Rate Model,¡± with Bonil Ku and Hyun-Joon Ji, The Korean Journal of Finance, forthcoming, 2006.
  
• ¡°Validity of PSR as a Measure of Relative Value of Stocks,¡± with Bonil Ku and Seungeun Cho, Yonsei Business Review, Vol 42, No 1, p1-37, 2005.
  
• ¡°Relative Valuations of KOSDAQ Stocks Using Multi-Factor Models,¡± with Bonil Ku and Won Kang, Yonsei Business Review, Vol 41, No 2, p455-488, 2004.
  
• ¡°Structural Models of Corporate Bond Pricing: An Empirical Analysis," with Jean Helwege, and Jing-zhi Huang, Review of Financial Studies, Vol 17, No 2, p499-544, 2004.
  
• "The Transmission of Swap Spreads and Volatilities in the International Swap Markets," with Marti Subrahmanyam and Jun Uno, The Journal of Fixed Income, Vol 12, No 1, p6-28, 2002.
  
• "New Asymmetric Volatility Models: Spline-(E)GARCH Model,¡± with Bonil Ku and Wansoo Choi, The Korean Journal of Finance, Vol 15, No 1, p109-149, 2002.
  
• ¡°An Alternative Estimation Method of GARCH Model; EF Approach,¡± with Bonil Ku and Wansoo Choi, The Korean Journal of Finance, Vol 14, No 2, p161-198, 2001.
  
• ¡°The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets,¡± with Marti Subrahmanyam and Jun Uno, Economic Theory, Dynamics and Markets, K. Mino, T. Negishi and R. Ramachandran, (eds.), Kluwer Academic Press, 2001.
  
• ¡°A Study on the Pricing and Dynamic Relationship of the Bond and the Stock Market, Korean Journal of Finance,¡± with Bonil Ku and Wansoo Choi, Korean Journal of Finance, Vol 12, No 2, p28-54, 1999.
  
• ¡°On the Estimation of Yield Curves Using KDB Bonds,¡± with Sung-hyun Kim, Seung-ghon Oh, Sungwook Choi, KDB Month Bulletin, Vol 528, p28-54, 1999.
  
• ¡°Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis,¡± with Marti Subrahmanyam and Jun Uno, The Journal of Fixed Income, Vol8(2), p69-86, 1998.
  
• ¡°Implied Foreign Exchange Rates Using Options Prices,¡± with Menachem Brenner and Yoram Landskroner, International Review of Financial Analysis, Vol5(3), p171-184, 1996.
  
• "Distress Classification of Korean Firms," with Edward I. Altman and Dong Won Kim, Journal of International Financial Management and Accounting, Vol6(3), p230-249, 1995.
  

Papers Presented at Conferences

• ¡°An Efficient GMM Estimation of Continuous-Time Asset Dynamics: Implications for the Term Structure of Interest Rates,¡± the American Finance Associating Meetings, 1997.
  
• ¡°No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property,¡± Annual Conference, Korea Securities Association, 1998.
  
• ¡°Credit Risk and Pricing of Japanese Yen Interest Rate Swap,¡± Conference on Global Integration and Competition, Shimoda, Japan, 1998.
  
• ¡°On the Estimation of Yield Curves Using KDB Bonds,¡± Annual Conference, Korea Money and Finance Association, 2000.
  
• ¡°Relative Valuations of KOSDAQ Stocks Using Multi-Factor Models,¡± Annual Conference, Korea Securities Association, 2000.
  
• ¡°Competitiveness of Korean Derivatives Securities Markets; Policy Issues, Korean Association of Futures and Options, 2000.
  
• ¡°Non-linearities in US Treasury Rates: A Semi-Nonparametric Approach.¡± 9th Annual Derivative Securities Conference; 35th Annual Conference, 1999, WFA 2000, Western Finance Association, 2000.
  
• ¡°An Alternative Estimation Method of GARCH Model; EF Approach,¡± Annual Conference, The Korea Finance Association, 2000.
  
• ¡°New Asymmetric Volatility Models: Spline-(E)GARCH Model,¡± Annual Conference, The Korea Finance Association, 2001.
  
• ¡°Structural Models of Corporate Bond Pricing: An Empirical Analysis,¡± 36th Annual Conference, WFA 2001, Western Finance Association, 2001; FMA Annual Meeting, Financial Management Association, 2001; 12 th Annual Derivative Securities Conference, 2002; European Finance Association Meetings, 2002.
  
• ¡°Generalized Swaption Pricing Models,¡± Annual Conference, The Korea Finance Association, 2003.
  
• ¡°Term Structure of Interest Rates and Monetary Policy in Korea,¡± Conference for Money Markets and Monetary Policy, The Bank of Korea, 2005
  

WORKING PAPERS

• "No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property," with Menachem Brenner, working paper series S-97-10, New York University Salomon Center, 1997.
  
• ¡°An Efficient GMM Estimation of Continuous-Time Asset Dynamics: Implications for the Term Structure of Interest Rates,¡± 1998.
  
• ¡°Nonlinearities in U.S. Treasury Yields: A Semi-Nonparametric Approach,¡± with Pierluigi Balduzzi, working paper, Boston College, 1998.
  
• ¡°Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps,¡± with Marti Subrahmanyam and Jun Uno, working paper series S-98-35, New York University Salomon Center, 1998.
  
• ¡°Generalized Swaption Pricing Models,¡± with Joon Hee Rhee, 2003.
  
• ¡°Term Structure of Interest Rates and Monetary Policy in Korea,¡± with Joon Hee Rhee, 2005
  

Updated: 2006-03-02