Chyng Wen Tee

Singapore Management University - Lee Kong Chian School of Business

50 Stamford Road

Singapore, 178899

Singapore

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 49,197

SSRN RANKINGS

Top 49,197

in Total Papers Downloads

2,079

TOTAL CITATIONS

5

Ideas:
“  Portfolio Management, Market Microstructure, Financial Data Science, Derivatives Markets  ”

Scholarly Papers (12)

1.

A Black-Scholes User's Guide to the Bachelier Model

Journal of Futures Markets, 42(5):959-980, 2022
Number of pages: 30 Posted: 19 Apr 2021 Last Revised: 02 Apr 2023
Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee and Yumeng Wang
Columbia University - Department of Mathematics, Department of Mathematics, Hankuk University of Foreign Studies, Singapore Management University - Lee Kong Chian School of Business and Bank of Communications Co. Ltd.
Downloads 961 (50,334)

Abstract:

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Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model

2.

A Unified Market Model for Swaptions and Constant Maturity Swaps

International Journal of Theoretical and Applied Finance, Vol. 24, No. 4, 2021, https://doi.org/10.1142/S0219024921500266
Number of pages: 38 Posted: 24 Aug 2019 Last Revised: 24 Feb 2022
Chyng Wen Tee and Jeroen Kerkhof
Singapore Management University - Lee Kong Chian School of Business and Solvay Brussels School of Economics and Management
Downloads 346 (179,543)

Abstract:

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interest rate market, swaptions, constant maturity swaps, derivative valuation, stochastic volatility models, fixed income market, interest rate models

3.

Cross-Section of Mini Flash Crashes and Their Detection by a State-Space Approach

Number of pages: 43 Posted: 19 Jun 2019
Chyng Wen Tee and Christopher Hian Ann Ting
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 287 (219,982)
Citation 2

Abstract:

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market microstructure, mini flash crashes, state-space model, liquidity, high speed trading, information efficiency

4.

Variance Risk Premiums of Commodity ETFs

Journal of Futures Markets, Vol. 37, No. 5, 2017. https://doi.org/10.1002/fut.21802
Number of pages: 37 Posted: 20 Jun 2019 Last Revised: 02 Apr 2023
Chyng Wen Tee and Christopher Hian Ann Ting
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 119 (482,145)
Citation 3

Abstract:

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exchange-traded funds, futures markets, variance risk premiums, commodity markets

5.

Why Commonality Persists?

Number of pages: 46 Posted: 08 Mar 2020
Raja Velu, Zhaoque (Chosen) Zhou and Chyng Wen Tee
Syracuse University - Whitman School of Management, Washington University in St. Louis - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 114 (497,812)

Abstract:

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commonality, order flow and liquidity measures, co-movement, market sentiments, investor attention, principal component analysis, canonical correlation analysis, reduced rank regression

6.

Universal Return and Factor Timing

Singapore Management University School of Business Research Paper Forthcoming
Number of pages: 22 Posted: 08 Nov 2024
Poh Ling Neo, Chyng Wen Tee and Jeroen Kerkhof
Singapore University of Social Sciences, Singapore Management University - Lee Kong Chian School of Business and Solvay Brussels School of Economics and Management
Downloads 113 (504,393)

Abstract:

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7.

Volume Information in Nikkei and TOPIX Futures Transactions

Journal of Financial Studies, Vol. 25, No. 4, 2017. http://dx.doi.org/10.6545%2fJFS.2017.25(4).1
Number of pages: 42 Posted: 20 Jun 2019 Last Revised: 01 Mar 2022
Chyng Wen Tee and Christopher Hian Ann Ting
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 81 (622,688)

Abstract:

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market microstructure, volume information, futures markets

8.

Biclustering via Mixtures of Regression Models

International Conference on Computational Science 2019. http://dx.doi.org/10.1007/978-3-030-22741-8_38
Number of pages: 8 Posted: 08 Jul 2019 Last Revised: 01 Mar 2022
Raja Velu, Zhaoque (Chosen) Zhou and Chyng Wen Tee
Syracuse University - Whitman School of Management, Washington University in St. Louis - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 58 (739,286)

Abstract:

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multivariate regression, singular value decomposition, dimension reduction, mixture models

9.

Tail Risk Hedging: The Search for Cheap Options

The Journal of Portfolio Management, November 2023, 50 (1) 106-119 DOI: 10.3905/jpm.2023.1.539
Posted: 10 Mar 2023
Poh Ling Neo and Chyng Wen Tee
Singapore University of Social Sciences and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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tail risk, portfolio insurance, risk management, portfolio management, hedging, option markets, index options, volatility risk premium

10.

Volatility Timing under Low-Volatility Strategy

Journal of Portfolio Management, Vol. 48, No. 1, 2021, https://doi.org/10.3905/jpm.2021.1.293
Posted: 24 Aug 2019 Last Revised: 24 Feb 2022
Poh Ling Neo and Chyng Wen Tee
Singapore University of Social Sciences and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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portfolio management, asset allocation, low volatility strategies

11.

Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes

Journal of Derivatives, Vol. 27, No. 2, 2019. https://doi.org/10.3905/jod.2019.1.083
Posted: 25 Jun 2019 Last Revised: 01 Mar 2022
Poh Ling Neo and Chyng Wen Tee
Singapore University of Social Sciences and Singapore Management University - Lee Kong Chian School of Business

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derivatives valuation, interest rate markets, swaptions, risk management, portfolio management, pricing and hedging, stochastic volatility models, SABR model

12.

Performance Control and Risk Calibration in the Black-Litterman Model

Journal of Portfolio Management, Vol. 43, No 3, 2017. https://doi.org/10.3905/jpm.2017.43.3.126
Posted: 20 Jun 2019 Last Revised: 01 Mar 2022
Chyng Wen Tee, Shirley J. Huang and Kian Guan Lim
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University

Abstract:

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Black-Litterman, asset pricing, asset management, asset allocation