Sang Bin Lee is a Visiting Professor of Finance at NYU Shanghai. Before joining NYU Shanghai, he was a Professor of Finance at Hanyang University and KAIST (Korea Advanced Institute of Science and Technology) in Korea. Outside of academia, Professor Lee held positions as a commissioner of the Securities & Futures Commission, president of the Korean Securities Association, and was an independent director & member of the risk management committee at Hana Holding Company, which owns Hana Bank as well as Korean Exchange Bank. Professor Lee was also previously a member of the Presidential Economic Advisory Council in Korea. He is the co-author of the Ho-Lee Model, the first and a widely cited arbitrage-free interest rate model.
Term Structure Movements
"Term Structure Movements and Pricing Interest Rate Contingent Claims", Journal of Finance, Vol. No.41, pp.1011-1029, December 1986, U.S.A.
"Generalized Ho-Lee Model: A Multi-Factor State-Time Dependent Implied Volatility Function Approach", Journal of Fixed Income, Vol. 17, No.3, pp.18-37, 2007, U.S.A.
"A Unified Credit and Interest Rate Arbitrage-Free Contingent Claim Model", Journal of Fixed Income, Vol. 18, No.3, pp. 5-17, 2009, U.S.A.
"Equity Indices’ Returns: Contingent Claims on GDP Stochastic Movements", Journal of Investment Management, Vol. 13, No.2, pp. 41-57, 2015, U.S.A.
Oxford Guide to Financial Modeling: Applications for Capital Markets, Corporate Finance, Risk Management and Financial Institutions at Oxford University Press