Shirley Huang

Education

• 2005 Ph.D. in Mathematics University of Auckland
• 1998 Master in Applied Mathematics University of Western Ontario
• 1993 B.Sc. in Mathematics Wuhan University

Companies

• Associate Professor of Quantitative Finance Singapore Management University (2006)
• Adjunct Professor Singapore Management University (2004 — 2006)

Research Interests

• Numerical Methods
• Risk Management
• Financial Engineering

Selected Journal Articles (Refereed)

• On stiffness in affine asset pricing models (with Yu, J.), Journal of Computational Finance, 2007, 10, 99-123
• Realized daily variance of S&P 500 cash index: A revaluation of stylized facts (with Liu, Q. and Yu, J.), Annals of Economics and Finance, 2007, 8, 33-56
• An efficient method for maximum likelihood estimation of a stochastic volatility model (with Yu, J.), Statistics and Its Interface, 2008, 1, 289-296
• Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises (with Yu, J), Journal of Economic Dynamics and Control, 2010, 34, 2259-2272.
• Skewness and Option Bounds: Short Variance Swaps and Variance Risk Premium, (with S. Jordan), Review of Quantitative Finance and Accounting, forthcoming.
• Performance control and risk calibration in the Black-Litterman model (with Tee CW and Lim, KG.), Journal of Portfolio Management, 2017, 43, 126-151.