50 Stamford Road
Singapore, 178899
Singapore
Singapore Management University - Lee Kong Chian School of Business
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Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model
interest rate market, swaptions, constant maturity swaps, derivative valuation, stochastic volatility models, fixed income market, interest rate models
market microstructure, mini flash crashes, state-space model, liquidity, high speed trading, information efficiency
exchange-traded funds, futures markets, variance risk premiums, commodity markets
commonality, order flow and liquidity measures, co-movement, market sentiments, investor attention, principal component analysis, canonical correlation analysis, reduced rank regression
market microstructure, volume information, futures markets
multivariate regression, singular value decomposition, dimension reduction, mixture models
tail risk, portfolio insurance, risk management, portfolio management, hedging, option markets, index options, volatility risk premium
portfolio management, asset allocation, low volatility strategies
derivatives valuation, interest rate markets, swaptions, risk management, portfolio management, pricing and hedging, stochastic volatility models, SABR model
Black-Litterman, asset pricing, asset management, asset allocation