Machine Learning and Finance Lab.
Career History
- 2012: B.S. Industrial Engineering, KAIST
- 2014: M.S. Industrial Engineering, KAIST
- 2019: Ph.D. Industrial Engineering, KAIST
- 2019-2020: Data Scientist, Samsung Fire & Marine Insurance, Seoul
- 2020-2022: Marie Sklodowska-Curie Fellow, School of Mathematics, The University of Edinburgh, UK
- 2022-Present: Assistant Professor, Industrial Engineering, UNIST
- 2024.6-2024.8: Visiting Researcher, Alan Turing Institute, London, UK
Intro
Machine Learning and Finance Lab. is focused on stochastic optimization algorithms, nonconvex optimization, and their applications in finance and insurance. In particular, we are interested in the development of efficient algorithms for large-scale nonconvex optimization, the study of theoretical properties of such algorithms, and quantitative risk management in financial markets. Some of our current research projects are diffusion-based algorithms for score-based generative models, physics-informed neural networks, sharpness-aware minimization, and AI applications in finance and insurance.
Research Field
Stochastic Optimization, Multi-Objective Optimization, Inverse Optimization, Physical Simulation, Stochastic Analysis