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 Full CV
Education
1986 |
Ph.D. (Finance), Stanford University |
1985 |
M.A. (Economics), Stanford University |
1984 |
M.S. (Statistics), Stanford University |
1978 |
B.S. (Management Science-1st Class Honors), University of Manchester Institute of Science and Technology |
Current Position(s) Held
2001 - Now |
Professor of Finance
Lee Kong Chian School of Business, Singapore Management University |
2008 - Now |
Interim Dean
Lee Kong Chian School of Business, Singapore Management University |
2006 - Now |
Head of Quantitative Finance
Lee Kong Chian School of Business, Singapore Management University |
Awards, Recognition and Honors |
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 |
Financial Engineering |
Asset Pricing |
Estimation and Control |
Selected Journal Articles (Refereed) |
1. |
"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 |
2. |
"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 |
3. |
"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 |
4. |
"Estimating Credit Risk Premia", by Kian Guan LIM, 09/2006 , Vol.III , 3, ICFAI Journal of Financial Risk Management, 7-29 |
5. |
"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 |
6. |
"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 |
7. |
"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 |
8. |
"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 |
9. |
"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 |
10. |
"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, pp 129-139, United Kingdom |
Selected Books and Monographs (Authored or Co-authored) |
1. |
"Investment and Financial Data Analysis", by Kian Guan LIM, Mc-Graw hill Publisher (ACE), 2007 |
Selected Chapters in Books |
1. |
"The efficient markets hypothesis: A developmental perspective", by Kian Guan LIM, Pioneers of Financial Economics Vol 2, Twentieth-Century Contributions, Geoffery Poitras, Edward Elgar Publisher, 2007 |
2. |
"Cross-track betting: Is the grass greener on the other side?", by S M LEONG and Kian Guan LIM, Efficiency of Racetrack Betting Markets, Donald B Hausch, Victor S Y Lo, and William T Ziemba, Academic Press, USA, 1994 |
3. |
"1992 Economic Forecasts for Asian Industrializing Region, The Singapore Economy: Review and Outlook", by K B CHOW, Kian Guan LIM, K C TSUI, and C C LEE, Chapter 5, in Institute of Developing Economies, 03/1992 |
4. |
"Pricing of pure warrants in Singapore ", by Kian Guan LIM and S F BOON, In Securities Pricing in Singapore , Singapore : Longmans Publications, 1990 |
5. |
"Pricing of warrants with an option to exercise with loan stocks", by Kian Guan LIM and C C GOH, In Investment Analysis and Management, S H Saw and C P Lim, Longman Singapore Publishers and Singapore Stock Exchange, Singapore, 1990 |
6. |
"A generalised method of moments test of the capital asset pricing model", by Kian Guan LIM, Investment Analysis and Management, S H Saw and C P Lim, Longman Singapore Publishers and Singapore Stock Exchange, Singapore, 1990 |
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