Chyng Wen Tee

Research Interests

• Effective Derivative Pricing Model
• Risk Management & Hedging Strategies
• Quantitative High Frequency Trading Algorithms
• Machine Learning & Financial Applications

Education

• Doctor of Philosophy - PhD University of Cambridge (2003 — 2006)
• Bachelor of Engineering Nanyang Technological University (1999 — 2003)

Current Position(s) Held

• Jan 2018 - Now
  Associate Professor of Quantitative Finance (Practice)
  Lee Kong Chian School of Business
  Singapore Management University

• Jan 2018 - Now
  Faculty Advisory Committee (Teaching & Learning)
  Singapore Management University

• Jul 2012 - Dec 2017
  Assistant Professor of Quantitative Finance (Practice)
  Lee Kong Chian School of Business
  Singapore Management University

• Aug 2009 - Jun 2012
  Executive Director
  Goldman Sachs, Hong Kong

• Sep 2006 - Jul 2009
  Associate
  Morgan Stanley, London

Awards, Recognition and Honors

• Dean's PG Teaching Honor List, 2019 - 2021
• Dean's Teaching Honor List, 2014 - 2021
• 26th Securities and Financial Markets Conference Research Paper Award, 2018
• Dean's Impact Award, Singapore Management University, 2017
• Teaching Excellence Award, Postgraduate Professional Programmes, 2017
• Journal of Financial Studies Best Paper Award, 2015
• Most Promising Teacher Award, Centre for Teaching Excellence, 2014

Selected Journal Articles (Refereed)

• "A Black-Scholes User's Guide to the Bachelier Model" by Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, Yumeng Wang, Journal of Futures Markets, vol. 42, pp. 959-980, 2022.
• "Volatility Timing under Low-Volatility Strategy" by Poh Ling Neo & Chyng Wen Tee, Journal of Portfolio Management, vol. 48, no. 1, pp. 133-146, 2021
• "A Unified Market Model for Swaptions and Constant Maturity Swaps" by Chyng Wen Tee & Jeroen Kerkhof, International Journal of Theoretical and Applied Finance, vol. 24, no. 4, pp. 1-31, 2021
• “ Biclustering via Mixtures of Regression Models" by Raja Velu, Zhaoque Zhou, Chyng Wen Tee, Computational Science ICCS 2019, Lecture Notes in Computer Science, vol 11537, pp. 533-549, 2019.
• “ Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes" by Poh Ling Neo & Chyng Wen Tee, Journal of Derivatives, vol. 27, no.2, pp. 81-107, 2019.
• “ Variance Risk Premiums of Commodity ETFs” by Chyng Wen Tee & Christopher Ting, Journal of Futures Markets, vol. 37, pp. 452-472, 2017.
• “Performance Control and Risk Calibration in the Black-Litterman Model” by Chyng Wen Tee, Shirley Huang, Lim Kian Guan. Journal of Portfolio Management, vol. 43, pp. 126-135, 2017.
• “Volume Information in Nikkei and TOPIX Futures Transactions” by Chyng Wen Tee & Christopher Ting. Journal of Financial Studies, vol. 4, no. 4, pp. 1–42, 2017.