Mathematics• Finite Difference Method : Explicit Euler, Implicit Euler, Crank-Nicolson• Numerical Linear Algebra : Positive Definite Matrix, LU decomposition, Cholesky decomposition, Iterative method• Stochastic Calculus : Brownian motion, Ito calculus, Martingale, Change of Measure, Ornstein-Uhlenbeck process• Monte Carlo Method : Random Number Generator, Variance Reduction, Quasi-Monte Carlo Finance• No-Arbitrage Asset Pricing, Binomial Trees, Black-Scholes, the Greeks and Hedging Computing• C++ experiences : Template, OOP, Inheritance, Virtual Function• C++ projects: Solving Black Scholes equation using Crank-Nicolson Method, Monte Carlo Method for plain vanilla options• Matlab Projects: Monte Carlo Method with Variance Reduction techniques(Antithetic Sampling, Control Variate, Importance Sampling), VaR calculation using Principal Component AnalysisOther • Languages : English, Japanese(very fluent), Korean(Native)
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Founder/CeoModernsmart Inc. Mar 2022 - PresentModernSmart is a platform company to accelerate the benefit of digitized interactive education. -
Vp, Corporate Model Risk(Cmor)Wells Fargo Apr 2017 - Sep 2021San Francisco, California, UsDeveloping benchmark CVA pricers on interest rates for model validation -
Vp, Cib-Quantitative ResearchJ.P. Morgan Jul 2015 - Apr 2017New York, Ny, UsQuantitative Research in Credit Derivatives(Credit QR), - Cash CDO(Collateralized Debt Obligation) model development for credit trading desk in CIB(Corporate and Investment Banking) -
Quantitative AssociateWells Fargo Jun 2012 - Jul 2015San Francisco, California, Us1. Equity Derivatives Model Validation: Validating pricing models for Quanto Vanilla Options, Quanto Barrier Options(Continuous/Discrete), Validating VaR models for various equity derivatives with the focus on Vega PnL explanation capabilities of the VaR models 2. Structured Credit Model Development: Participating in Front Office Analytics Library migration for pricing Credit Default Swap(CDS), CDS Index(CDX), Collateralized Debt Obligation(CDO). 3. Rates Derivatives Model Validation: Validating SABR model calibration for pricing European Swaption using global optimization technique(Differential Evolution)
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Summer AssociateGoldman Sachs Jun 2011 - Sep 2011New York, New York, Us2011 Summer Associate (10 weeks), Corporate Treasury Modeling Task: Global FX Roll Report, Secured Funding Report, Individual Liquidity Adequacy Assessment, FSA Liquidity Risk Management Framework (Liquidity Metric Monitor for Basel III) -
Research ScientistLg Chem Oct 2000 - Jul 2003Seoul, KrResearch: Improvement of the process simulator of Low Density PolyEthylene(LDPE) plant Diagnosis of the LDPE reactor using Computational Fluid Dynamics (CFD)
Kisun Yoon Education Details
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Harvard UniversityApplied Physics -
Nagoya UniversityChemical Engineering
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Korea UniversityChemical Engineering
Frequently Asked Questions about Kisun Yoon
What company does Kisun Yoon work for?
Kisun Yoon works for Modernsmart Inc.
What is Kisun Yoon's role at the current company?
Kisun Yoon's current role is Founder/CEO of ModernSmart Inc..
What schools did Kisun Yoon attend?
Kisun Yoon attended Harvard University, Nagoya University, Korea University.
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