“Judge your success by the degree that you’re enjoying peace, health, and love.”

– in life’s Little Instruction Book

 

Jaewook Lee, Ph.D.

Director of Statistical Learning & Computational Finance (SLCF) Laboratory
Professor

Department of Industrial Engineering Seoul National University
1 Gwanak-ro, Gwanak-gu, 
Seoul, 151-744, Korea (R.O.K.)
Office: 402 Bldg 39
Phone: 7176(Office)
Email: jaewook-at-snu.ac.kr

Education
 
Ph.D., Cornell University, August 1999
  – B.S., Seoul National University , August 1993

Research Interest
My research focuses on the design and analysis of efficient algorithms for learning, optimization, and inference problems, with a recent emphasis on their applications to data mining and business analytics. My works were built around the three basic pillars of theory: global optimization, dynamical systems, and statistical learning. During the period of years from 1999 to 2004, I started to work on global optimization algorithms and stability analysis for nonlinear control and power systems. My research progress has best been made by means of strong links between optimality and equilibrium, for example, by applying dynamical system approach to solve optimization or learning problems or by utilizing optimization or topology theory to analyze nonlinear dynamical systems. After a year of 2005, I have broadened this set of theoretical and computational tools to design new statistical learning algorithms (mostly kernel-based algorithms such as support vector machines and Gaussian processes), and to develop novel model calibration, pricing, and prediction techniques for financial derivatives. Recently I’m applying those developed techniques to solve real-world problems in data mining and business analytics. My research works can be classified into four areas; statistical learning, computational finance, global optimization & stability analysis, and data mining and business analytics, which is briefly described below.

Research Area

Stable Machine Learning: (2005-present)
– Support vector machines and kernel machines, Neural networks and deep learning, Gaussian processes, Clustering, Ranking, Sparse learning, Representation learning, Multivariate data analysis, Collaborative filtering..

Computational Finance: (2007-present)
– Derivatives pricing and hedging, Credit risk management, Volatility estimation, Model calibration under Levy processes, Numerical pricing for multi-asset and path-dependent payoffs in more complex option models, MCMC & Bayesian filtering.

Stability Analysis and Global Optimization: (- 2007)
– Multi-basin search methods, Homotopy methods, Trajectory-based method for global optimization, Differential and algebraic topology for multi-dimensional potential surfaces, Non-hyperbolic dynamical systems and homology, Stability analysis of nonlinear control and power systems

Professional Activities
– Guest Editor: Journal of Intelligent Manufacturing, Jan. 2015 – present. (SCI)

– Board member: the Asia Pacific Industrial Engineering and Management Society (APIEMS), Dec. 2012 – present.
– Contacting Associate Editor: Decision Sciences, July. 2013 – present. (SSCI)
– Associate Editor: Applied Stochastic Models in Business and Industry, Mar. 2010 – present. (SCI)
– Manuscript Editor: Journal of Industrial Engineering and Management Systems, Feb. 2009 – present.
– Editor-in-Chief: Management Science and Financial Engineering, Jan. 2012 – Feb. 2014.
– Associate Editor: International Journal of Management Science, Feb. 2005 – Dec. 2011.
– Organizing Chair for Asia Pacific Industrial Engineering and Management Systems Conference (APIEMS 2014)
– General Organizing Chair for the international workshop on learning, computations, and finance (LCF 2010)
– Programme Committee for the 7th & 8th international conference on data mining.
– Paper Reviewer for Journal of Machine Learning Research, IEEE Transactions on Pattern Analysis and Machine Intelligence, IEEE Transactions on Neural Networks, IEEE Transactions on Automatic Control,  IEEE Transactions on Circuits and Systems, Pattern Recognition, Pattern Recognition Letter, IEEE Transactions on Knowledge Discovery and Data Engineering, IEEE Transactions on System, Man, and Cybernetics, Electronics Letters, Journal of banking and Finance, International Review of Economics and Finance, Journal of Industrial Engineering and Management Systems, International Journal of Management Science, Annals of Operations Research, Expert Systems with Applications, Applied Soft Computing, Asia-Pacific Journal of Financial Studies, Journal of the Korean Operations Research and Management Science Society, Journal of the Korean Institute of Industrial Engineers, Journal of Korean Mathematics Society, etc.

Academic Supervision (as a chair)
– Sujin Pyo (Ph.D. 2018) Mirae Asset Daewoo Securities Co.
– Huisu Jang (Ph.D. 2018) Professor at Soongsil University
– Saerom Park (Ph.D. 2018) Professor at Sungshin University
– Youngdoo Son (Ph.D. 2015) Professor at Dongguk University

– Kyoungok Kim (Ph.D. 2013) Professor at Seoul National University of Science & Technology
– Hyejin Park (Ph.D. 2013) Samsung Electronics Co.
– Namhyoung Kim (Ph.D. 2013) Professor at Gachon University
– Seung-Ho Yang (Ph.D. 2011) CEO at Incisor Co.
– Kyu-Hwan, Jung (Ph.D. 2010) CFO at Vuno Co
– Gyu-Sik, Han (Ph.D. 2009) Professor at Chonbuk National University
– Daewon Lee (Ph.D. 2007) Professor at University of Ulsan

In truth, it is not knowledge, but learning, not possessing, but production, not being there, but traveling there, which provides the greatest pleasure. When I have completely understood something, then I turn away and move on into the dark; indeed, so curious is the insatiable man, that when he has completed one house, rather than living in it peacefully, he starts to build another.
C.F.Gauss
Statistical Learning & Computational Finance Laboratory, Dept. of Industrial Engineering, Seoul National University,1 Gwanak-ro, Gwanak-gu Seoul, 151-744, South Korea. Tel : 054-279-8258 copyright ¨I 2012 SLCF Lab. All rights reserved