Chyng Wen Tee

Singapore Management University - Lee Kong Chian School of Business

50 Stamford Road

Singapore, 178899

Singapore

  • Singapore Management University - Lee Kong Chian School of Business

SCHOLARLY PAPERS

11

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

  • Singapore Management University - Lee Kong Chian School of Business

Scholarly Papers (11)

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1.

Tail Risk Hedging: The Search for Cheap Options

Number of pages: 24 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
Downloads 1,442 (22,673)

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

2.

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
Peking University HSBC Business School, Department of Mathematics, Hankuk University of Foreign Studies, Singapore Management University - Lee Kong Chian School of Business and Bank of Communications Co. Ltd.
Downloads 694 (63,113)

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

3.

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 256 (199,045)

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

4.

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 198 (253,937)
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market microstructure, mini flash crashes, state-space model, liquidity, high speed trading, information efficiency

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 96 (448,327)

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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.

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 82 (494,504)
Citation 1

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

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 57 (600,229)

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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 46 (659,819)

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

9.

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

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portfolio management, asset allocation, low volatility strategies

10.

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

11.

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

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