LIM Tiong Wee

LIM Tiong Wee
 
  • Office:
  • S16-06-103
  • Phone:
  • (65) 6516 7857
  • Fax:
  • (65) 6872 3919
  • E-mail:
  • Address:
  • Department of Statistics and Applied Probability
    National University of Singapore
    6 Science Drive 2
    Singapore 117546
    Republic of Singapore
 
Academic Qualifications
  • B.Sc.(Hon), ARCS (1992) Imperial College of Science, Technology and Medicine
  • Ph.D. (1998) Stanford University
 
Appointments at NUS
  • Associate Professor (since 2010); Assistant Professor (1998-2009)
  • Deputy Head (Academic) (since July 2008)
  • Deputy Director, Computational Finance Program (Nov 2000-Jun 2001)
  • Principal Associate, Centre for Financial Engineering (2000-2006)
 
Teaching Experience in NUS
  • ST3236 Statistical Models for Actuarial Science: 13/14 Sem 1
  • ST4245 Statistical Methods for Finance: 12/13 Sem 2, 07/08 Sem 2, 06/07 Sem 2
  • ST3233 Applied Time Series Analysis: 12/13 Sem 1, 11/12 Sem 1, 02/03 Sem 2
  • ST2132 Mathematical Statistics: 10/11 Sem 2, 10/11 Sem 1, 05/06 Sem 1, 00/01 Sem 1, 99/00 Sem 2
  • ST2334 Probability and Statistics (co-taught with Wong Yean Ling): 09/10 Sem 2, 08/09 Sem 2
  • SP1201S Freshman Seminar (in Statistics): 09/10 Sem 1
  • ST5198 Graduate Seminar Module (in Statistics): 08/09 Sem 2
  • ST3235 Statistical Quality Control: 08/09 Sem 1, 06/07 Sem 1, 04/05 Sem 1, 03/04 Sem 1, 02/03 Sem 1
  • ST4240 Data Mining: 04/05 Sem 2, 03/04 Sem 2
  • ST4234 Decision Theory (renamed Bayesian Statistics): 01/02 Sem 2
  • ST4231 Statistical Inference Using the Bootstrap: 01/02 Sem 1
  • MFE5010 Exotic Options (incorporated into FE5103 Equity Products and Exotics): 00/01 Sem 3, 99/00 Sem 3
  • MA4246 / ST4204 / ST4236 Multivariate Statistical Analysis (now defunct): 00/01 Sem 2
  • MQ3205 Statistical Methods (now defunct): 99/00 Sem 1
  • MQ2205 Introduction to Statistics (now defunct): 98/99 Sem 2
 
Graduate Students Supervised
  • ZHU Yong Ting, M.Sc. (2010): On Quantiles of Brownian Motion and Quantile Options
  • LIM Pei Ling, M.Sc. (2008): Pricing and Hedging Barrier Options with Transaction Costs
  • TING Jeum Ngit, M.Sc. (2006): A Radial Basis Function Approach to Pricing and Hedging Options Incorporating Transaction Costs
  • ANG Sook Chen, M.Sc. (2005): Pricing Finite Horizon Fund Protection with Early Withdrawal Option
  • Florence BOUTEMY, M.Sc. (2004): Valuation and Optimal Lapsation of Protected Variable Annuities
  • YEO Keng Leong, M.Sc. (2003): American Option Valuation Using Monte Carlo Simulation
  • LIM Teck Leong, M.Sc. (2002): A Stochastic Volatility Approach to Value-at-Risk
 
Current Research Interests
  • Application of math/probability to finance: option pricing problems
  • Term structure models for interest rates
 
Invited Conference Presentations
  • Sixteenth International Congress on Insurance: Mathematics and Economics, June 2012 (Hong Kong)
  • Third International Workshop in Sequential Methodologies, June 2011 (Stanford, CA, U.S.A)
  • 2010 Annual Meeting of Chinese Statistical Society and International Statistical Conference (sponsored), December 2010 (Taipei, R.O.C.)
  • Fourteenth International Congress on Insurance: Mathematics and Economics, June 2010 (Toronto, Canada)
  • Quantitative Methods in Finance 2009, December 2009 (Sydney, NSW, Australia)
  • SIAM Conference on Control and Its Applications, June 2009 (Denver, CO, U.S.A)
  • Fifth World Congress of the Bachelier Finance Society, July 2008 (London, U.K.)
  • First International Workshop in Sequential Methodologies, July 2007 (Auburn, AL, U.S.A)
  • Stanford Conference on Quantitative Finance, August 2006 (Stanford, CA, U.S.A.)
  • International Conference on Financial Engineering, March 2006 (Gainesville, FL, U.S.A.)
  • Quantitative Methods in Finance 2005, December 2005 (Sydney, NSW, Australia)
  • The 2002 Taipei International Statistical Symposium and Bernoulli Society EAPR Conference, July 2002 (Taipei, R.O.C.)
  • The Fifth ICSA International Conference, August 2001 (Hong Kong)
  • The Third World Congress of Nonlinear Analysts, July 2000 (Catania, Italy)
  • Other presentations and seminars >>>
 
Publications
  • Option prices and pricing theory: combining financial mathematics with statistical modeling (2011), (with L. Chen and T.L. Lai). Wiley Interdisciplinary Reviews: Computational Statistics, 3 (Issue 6), 566-576. [Article available at Wiley Online Library.]
  • Option hedging theory under transaction costs (2009), (with T.L. Lai). Journal of Economic Dynamics and Control, 33 (No. 12), 1945-1961. [Article available at ScienceDirect.]
  • Optimal early withdrawal and valuation of finite-horizon fund protection options (2008). Journal of Risk, 10 (Winter 07/08), 101-130
  • Optimal stopping for Brownian motion with applications to sequential analysis and option pricing (2005), (with T.L. Lai). Journal of Statistical Planning and Inference, 130 (Nos. 1-2), 21-47. [Article available at ScienceDirect.]
  • Exercise regions and efficient valuation of American lookback options (2004), (with T.L. Lai). Mathematical Finance, 14 (No. 2), 249-269. [Article available at Ingenta.]
  • Singular stochastic control in optimal investment and hedging in the presence of transaction costs (2003), (with T.L. Lai). In: Probability, Statistics and their Applications: Papers in Honor of Rabi Bhattacharya (eds. K. Athreya, M. Majumdar, M. Puri, E. Waymire), IMS Lecture Notes – Monograph Series, 41, 209-227. Inst. Math. Statist., Beachwood, OH. [Article available at JSTOR.]
  • A new approach to solving singular stochastic control problems with applications to investment theories and queueing networks (2008), (with T.L. Lai and K.J. Ross). In preparaton.
  • A new approach to hedging and pricing options with transaction costs (2008), (with T.L. Lai and L. Chen). In preparation.
  • Fund protection options with random lifetimes and proportional fees (2008). Revised for the North American Actuarial Journal.
  • Efficient valuation of American floating-strike lookback options (2004), (with T.L. Lai). Submitted.
  • Performance of recursive integration for pricing European-style Asian options (2002). Revised for Journal of Computational Finance.
  • Optimal stopping problems in Asian option valuation (2002). In preparation.

 

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Last Modified: September 18, 2013