Profile
Profile
LIM Kian Guan
| Designation | Professor of Finance, Seconded to Quantitative Finance Unit, Interim Dean (01Jul08-31Dec09) |
|---|---|
| Email: | kglim@smu.edu.sg |
| Phone: | +65 6828 0828 |
| Profile Type | Full-time Faculty |
Academics |
Login To |
| Designation | Professor of Finance, Seconded to Quantitative Finance Unit, Interim Dean (01Jul08-31Dec09) |
|---|---|
| Email: | kglim@smu.edu.sg |
| Phone: | +65 6828 0828 |
| Profile Type | Full-time Faculty |
|
1986 |
Ph.D. (Finance), Stanford University |
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1985 |
M.A. (Economics), Stanford University |
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1984 |
M.S. (Statistics), Stanford University |
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1978 |
B.S. (Management Science-1st Class Honors), University of Manchester Institute of Science and Technology |
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2001 - Now |
Professor of Finance |
| 2010 - Now | OUB Chair Professorship, Term, Singapore Management University |
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2008 - 2009 |
Interim Dean |
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2006 - 2009 |
Head of Quantitative Finance |
| Pingat Pentadbiran Awam (Public Administration Medal) Persak (Silver) awarded by the President of Singapore, August 9, 2012 |
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Best Paper Award and conferred Fellow of World Business Institute Conference 2011 |
| National Taiwan University International Conference Competitive Paper Award in Derivatives, 1998 |
| National University of Singapore Outstanding Research Award , 1998 |
| Financial Management Association USA Competitive Paper Award in Futures and Options, 1997 |
| Republic of Singapore 's President Scholarship and Overseas Merit Scholarship, 1975 - 1978 |
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Financial Engineering |
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Asset Pricing |
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Estimation and Control |
| 1. | "Choice of Copulas in Explaining Stock Market Contagion", by Kian-Guan LIM, forthcoming Springer special edition of selected papers of the 6th International Conference of the Thailand Econometric Society 2013 |
| 2. | "On the Term Structure of Model-Free Volatilities and Volatility Risk Premium", by Kian-Guan LIM and Christopher TING, forthcoming Quantitative Finance, 2013 |
| 3. | "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset", by Joel GOH, Kian-Guan LIM, Melvyn SIM and Weina Zhang, European Journal of Operational Research 2012 |
| 4. | "Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach", by Carolyn CHANG, Jack CHANG, Kian Guan LIM, forthcoming ASTIN Bulletin, The Journal of the International Actuarial Association, 2012 |
| 5. | "Extreme Events and the Copula Pricing of Commerical Mortgage-Backed Securities", by Zhan-Yong LIU, Gang-Zhi FAN and Kian Guan LIM, 2009, Vol 38, Issue 3, Journal of Real Estate Finance and Economics |
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6. |
"The Asia Pacific Journal of Management Between 1992 and 1995", by Kian Guan LIM, 2007 , 24 , 4, Asia Pacific Journal of Management, 25th Anniversary Special Issue, 397-400 |
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7. |
"An Empirical Study of Pricing and Hedging Collateralized Debt Obligation", by LJ CAI, JQ ZHANG, Kian Guan LIM, and Zhonghui ZHAO, 2007 , 22, Econometrics of Risk Management , Advances in Econometrics |
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8. |
"Bond Rating Using Support Vector Machine", by Lijuan CAO, Kian Guan LIM, and Jingqing ZHANG, 2006 , 10 , 3, Intelligent Data Analysis, IOS Press, 285-296 |
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9. |
"Estimating Credit Risk Premia", by Kian Guan LIM, 09/2006 , Vol.III , 3, ICFAI Journal of Financial Risk Management, 7-29 |
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10. |
"An empirical study of dimensionality reduction in support vector machine", by LJ CAI, JQ ZHANG, Zongwu CAI, and Kian Guan LIM, 06/2006 , 16 , Neural Network World, 177-192 |
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11. |
"A Non-Lattice Pricing Model of American Options under Stochastic Volatility", by Zhang ZHE and Kian Guan LIM, 05/2006, 26, 5, Journal of Futures Markets, 417-448 |
| 12. | " Bond Rating using Support Vector Machine", by Lijuan CAO, Kian Guan LIM and Jingqing ZHANG, 2006, Vol 10, No. 3 (May-June), Intelligent Data Analysis, IOS Press, 285296 |
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13. |
"Pricing Credit Risk of Asset-Backed Securitization Bonds in Singapore ", by T.F. SING, S.E. ONG, G.Z. FAN, and Kian Guan LIM, 2005, Vol. 8, No. 3, International Journal of Theoretical and Applied Finance, 321-338 |
| 14. | "An Approximation Pricing Alogrithm in an Incomplete Market: A Differential Geometric Approach", by Yuan GAO, LIM Kian Guan and NG Kah Hwa, Vol 8, No 4, Nov 2004, Finance & Stochastics, 501-523 |
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15. |
"The Implied Jump Risk of LIBOR Rates", by Kian Guan LIM, Christopher TING, and Mitch WARACHKA, 2005, 29, 10, Journal of Banking and Finance, 2503-2522 |
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16. |
"The Effect of Taxes on the Pricing of Defaultable Debt", by Kian Guan LIM, F. SONG, and Mitch WARACHKA, Winter, 2004, Vol. 6, 2, Journal of Risk Research, 1-29 |
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17. |
"Asymptotic Dynamics and VAR of Large Diversified Portfolios in a Jump-Diffusion Market", by Kian Guan LIM, Xiaoqing LIU, and Kai Chong TSUI, 2004, Vol 4, issue 2, Quantitative Finance, 129-139, United Kingdom |
| 18. | "The Valuation of Multiple Stock Warrants", by Kian-Guan LIM and Eric TERRY, Vol 23, No. 6, June 2003, Journal of Futures Markets, 517-534 |
| 19. | "Computing Maximum Smoothness Forward Rate Curves", by Kian Guan LIM, Qin XIAO, 2002, Vol 12, Statistics and Computing, 275-279, ISSN 0960-3174 |
| 20. | " Information-Time Option Pricing: Theory and Empirical Evidence", by C.W. CHANG, J.S.K. CHANG, K.G. LIM, May 1998, Vol 48, No. 2, USA, Journal of Financial Economics |
| 21. | "Arbitrage and Price Behaviour of the Nikkei Stock Index Futures" by KG LIM, Vol 12, No.2, April 1992, USA, The Journal of Futures Markets, 151-161 |
| 22. | "On Cointegration and Tests of Forward Market Unbiasedness", by Dean CORBAE, Kian Guan LIM, Sam OULIARIS, Nov 1992, Vol 74, Issue 4, Review of Economics and Statistics, 728-732 |
| 23. | "Extending Financial Portfolio Theory for Product Management". by SM LEONG and KG LIM, Vol 22, Winter 1991, Decision Sciences, 181-193 |
| 24. | "Equilibrium pricing in the scrap car market", by Chin LIM and KG LIM, Vol 25B, No. 4, 1991, Transportation Research Part B Methodological, 203-213 |
| 25. | "A new test of the three moment capital asset pricing model", KG LIM , Vol 24, No. 2, June 1989, Journal of Financial and Quantitative Analysis, 205-216 |
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1. |
"Proabaility and Finance Theory", by Kian Guan LIM, World Scientific Press, 2011, 390 pp |
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2. |
"Financial Valuation and Econometrics", by Kian Guan LIM, World Scientific Press, 2011, 481 pp |
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3. |
"Investment and Financial Data Analysis", by Kian Guan LIM, Mc-Graw hill Publisher (ACE), 2007 |
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4. |
"Risk Management of Derivative Trading in Banks" Draft under review |
Last updated on 3 May 2013.