Faculty Profile

Professor Emeritus of Quantitative Finance
Lee Kong Chian School of Business, Singapore Management University

Cheng Hao and Lim Kian Guan, "CDS Channels of Influence on Discretionary Accruals" , Journal of Accounting, Auditing, and Finance, March 2022, https://doi.org/10.1177/0148558X221081990  

Kian Guan Lim, "Endogeneity of Commodity Price in Freight Cost Models", Journal of Commodity Markets, Vol. 26, June 2022, https://doi.org/10.1016/j.jcomm.2021.100217

Kian Guan Lim and Michelle Lim, "Financial performance of shipping firms that increase LNG carriers and the support of eco-innovation," Journal of Shipping and Trade, November 2020, https://doi.org/10.1186/s41072-020-00080-0

Kian Guan Lim, "Bermudan Option in Singapore Savings Bonds," Review of Derivatives Research, July 2020, Doi: 10.1007/s11147-020-09168-y

Ying chen, Thorsten Koch, Kian Guan Lim, Xiaofei Xu, and N. Zakiyeva, " A review study of functional autoregressive models with application to energy forecasting," Wiley Interdisciplinary Reviews Computational Statisitcs (WIREs Computional Statistics Journal), July 2020 https://doi.org/10.1002/wics.1525

Kian-Guan Lim and Christopher Ting, "The Term Structure of S&P 100 Model-Free Volatilities," Quantitative Finance, Vol. 13, Issue 7, 2013.

Joel Goh, Kian-Guan Lim, Melvyn Sim, and Weina Zhang, "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset," European Journal of Operational Research Volume 221, Issue 2, September 2012, 397-406

LJ Cao, Zhang JQ, Lim Kian Guan, and Zhonghui Zhao, " An Empirical Study of Pricing and Hedging Collaterized Debt Obligation (CDO)," Advances in Econometrics, 2008, Volume 22, 15-54. Emerald Group Publishing Limited.

Zhe Zhang and Kian-Guan Lim, " A Non-Lattice Pricing Model of American Options under Stochastic Volatility, " May 2006, Vol 26, No 5, Journal of Future Markets, 417-448

Cai LJ, Zhang JQ, Cai Zongwu, Lim Kian Guan, " An empirical study of dimensionality reduction in support vector machine, " June 2006, Vol. 16, Neural Network World, 177-192

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Lijuan Cao, Lim Kian Guan, Zhang Jingqing, "Bond Rating Using support Vector Machine," 2006, Vol 10, No 3 (May-June), Intelligent Data Analysis, IOS Press, 295-296

Lim Kian Guan, Christopher Ting, and Mitch Warachka, "The implied Jump risk of LIBOR rates," Journal of Banking and Finance, 2005, Vol 29, Issue 10, 2503-2522

T.F. Sing, S.E.Ong, G.Z.Fan, and K.G. Lim, "Pricing Credit Risk of Asset-Backed Securitization Bonds in Singapore," International Journal of Theoretical and Applied Finance, 2005, Vol. 8, No. 3, 321-338

Yuan Gao, Lim Kian Guan, and Ng Kah Hwa, "An Approximation Pricing Algorithm in an Incomplete Market: A Differential Geometric Approach", Finance & Stochastics, Vol 8, No 4, Nov 2004, 501-523

Kian Guan Lim, Fenghua Song, and Mitch Warachka, " The Effect of Taxes on the Pricing of Defaultable Debt," The Journal of Risk, Vol. 6, No. 2, Winter 2004.

Lim Kian Guan, Liu Xiaoqing, and Tsui Kai Chong, "Asymptotic Dynamics and VAR of Large Diversified Portfolios in a Jump-Diffusion Market," Quantitative Finance, Journal of the Institute of Physic, 2004, Vol 4, issue 2, 129-139

Kian-Guan Lim and Eric Terry, "The Valuation of Multiple Stock Warrants," Journal of Future Markets, Vol.23, No. 6, June 2003, pp. 517-534

Kian-Guan Lim, Chang Shiwei, and Tsui Kai Chong, "Defaultable Debt Pricing in Multi-Factor Models," International Journal of Theoretical and Applied Finance, Vol. 5, No. 8, 2002, pp. 823-844.

Kian-Guan Lim and Da Zhi, " Pricing Options using Implied Trees : Evidence from FTSE-100 Options," Journal of Futures Markets, Vol. 22 No.7, July 2002, pp 601-626

Kian Guan Lim and Qin Xiao, "Computing Maximum Smoothness Forward Rate Curves," Statistics and Computing, Vol.12, 2002, pp. 275-279, ISSN 0960-3174

Lim K.G. and Guo XQ, "Pricing American Options with Stochastic Volatility: Evidence from S&P 500 Futures Options," Journal of Futures Markets, Vol. 20, No. 7, 2000, pp. 625-659

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Wang SY, Lim K.G., and C.W. Chang, "A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures using Markov Chains," Journal of International Financial Markets, Institutions and Money, Vol. 9, pp.247-265, 1999, Elsevier-North Holland

Lim K.G. and E.H. K. Ng, "A Theory of IPO Pricing using Tender Prices," Vol.9, pp. 433-442, 1999, Applied Financial Economics.

C.W. Chang, J.S.K. Chang, and K.G.Lim, "Information-Time Option Pricing: Theory and Empirical Evidence," Journal of Financial Economics, Vol 48, No 2, May 1998.

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K.G. Lim, D. How, and Eric Terry, " Information Transmission across Eurodollar Futures Markets," International Journal of Theoretical and Applied Finance, World Scientific Publisher, Vol. 1, No. 2, pp. 235-245, 1998

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Lim, KG and J Muthuswamy, "The Impact of Transaction Costs on Nikkei Stock Index Futures Arbitrage," The Review of Futures Markets. Vol. 12, No. 3, 1993, 717-738.

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Lim, KG, "Arbitrage and Price Behavior of hte Nikkei Stock Index Futures," The Journal of Futures Markets, USA, Vol.12, No.2, April 1992, 151-161

Dean Corbae, KG Lim and Sam Ouliaris, "On Cointegration and Tests of Forward Market Unbiasedness," Review of Economics and Statistics, Vol 74, Issue 4, Nov 1992, 728-732

Leong SM and KG Lim, "Extending Financial Portfolio Theory for Product Management, " Decision Sciences, Vol. 22, No.1, Winter 1991, 181-193

Lim Chin and KG Lim, "Equilibrium pricing in the scrap car market," Transportation Research Part B Methodological, Vol.25B, No.4, 1991, 203-213

Lim, KG and Phoon Kok-Fai, "Tests of Rational Bubbles using Cointegration Theory. Applied Financial Economics, Vol.1, No.2, June 1991, 85-88.

Lim, KG, "A new test of the three moment capital asset pricing model, "Journal of Financial and Quantitative Analysis, June 1989, Vol.24, No.2, 205-216