LIM Kian Guan
Professor of Finance
Education
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1986 |
Ph.D. (Finance), Stanford University |
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1985 |
M.A. (Economics), Stanford University |
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1984 |
M.S. (Statistics), Stanford University |
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1978 |
B.S. (Management Science-1st Class Honors), University of Manchester Institute of Science and Technology |
Current Position(s) Held
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2001 - Now |
Professor of Quantitative Finance/Finance |
| 2010 - Now | OUB Chair Professorship, Term, Singapore Management University |
Awards, Recognition and Honors
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Pingat Pentadbiran Awam (Public Administration Medal) Persak (Silver) awarded by the President of Singapore, August 9, 2012 |
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SMU Distinguised Educator Award, September 2021 |
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Outstanding Paper Award, 13th International Conference on Asia-Pacific Financial Markets, Seoul, December 2-8, 2018 |
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Best Prize Journal Award, 8th Annual London Business Research Conference, Imperial College London 8-9 July 2013 |
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Best Paper Award and conferred Fellow of World Business Institute Conference 2011 |
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National Taiwan University International Conference Competitive Paper Award in Derivatives, 1998 |
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National University of Singapore Outstanding Research Award , 1998 |
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Financial Management Association USA Competitive Paper Award in Futures and Options, 1997 |
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Best Graduating Student Award, University of Manchester Institute of Science and Technology, 1978 |
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Republic of Singapore 's President Scholarship and Overseas Merit Scholarship, 1975 - 1978 |
Research Interests
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Quantitative Finance |
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Applied Econometrics |
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Data Science |
Selected Journal Articles (Refereed)
| 1. |
Cheng Hao and Lim Kian Guan, "CDS Channels of Influence on Discretionary Accruals" , Journal of Accounting, Auditing, and Finance, March 2022, https://doi.org/10.1177/0148558X221081990 |
| 2. |
Kian Guan Lim, "Endogeneity of Commodity Price in Freight Cost Models", Journal of Commodity Markets, Vol. 26, June 2022, https://doi.org/10.1016/j.jcomm.2021.100217 |
| 3. |
Kian Guan Lim and Michelle Lim, "Financial performance of shipping firms that increase LNG carriers and the support of eco-innovation," Journal of Shipping and Trade, November 2020, https://doi.org/10.1186/s41072-020-00080-0 |
| 4. |
Kian Guan Lim, "Bermudan Option in Singapore Savings Bonds," Review of Derivatives Research, July 2020, Doi: 10.1007/s11147-020-09168-y |
| 5. |
Ying chen, Thorsten Koch, Kian Guan Lim, Xiaofei Xu, and N. Zakiyeva, " A review study of functional autoregressive models with application to energy forecasting," Wiley Interdisciplinary Reviews Computational Statisitcs (WIREs Computional Statistics Journal), July 2020 https://doi.org/10.1002/wics.1525 |
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6. |
Kian Guan Lim, Nikos Nomikos, Nelson Yap, " Understanding the Fundamentals of Freight Markets Volatility", Transportation Reseach Part E : Logistic and Transportation Review, 2019, Vol 130, 1-15 |
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7. |
Lim Kian Guan, Chen Ying, and Nelson Yap, "Intraday Information from S&P 500 Index Futures Options", Journal of Financial Markets, 2019, Vol 42, 29-55. |
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8. |
Ying Chen, Stefan Klotz, Kian Guan Lim, and Jiejie Zhang, " International Yield Curve Prediction with Common Functional Principal Component Analysis", refereed paper published in 'Robustness in Econometrics' Vol 692, Springer Verlag, January 2017, pp. 287-304 |
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9. |
C.W.Tee, Huang S., Kian-Guan Lim, " Performance Control and Risk Calibration in the Black-Litterman Model", Journal of Portfolio Management, Winter issue, January 2017 |
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10. |
Nelson Yap, Kian-Guan Lim, and Yibao Zhao, "Hedging Derivative Securities with Volatility Futures", International Journal of Financial Markets and Derivatives, Vol.5, 2016, 111-127 |
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11. |
Koh, B, F.Koh, D.Kuo, K.G.Lim, D.Ng, and K.F. Phoon, "A Risk and Complexity Rating Framework for Investment Products", Financial Analysts Journal, Vol, 71, Issue 6, Nov/Dec2015, 10-28 |
| 12. |
Kian-Guan Lim and Christopher Ting, "The Term Structure of S&P 100 Model-Free Volatilities," Quantitative Finance, Vol. 13, Issue 7, 2013. |
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13. |
Carolyn Chang, Jack Chang, Kian Guan Lim, "Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones," ASTIN Bulletin, The Journal of the International Actuarial Association, Vol.42, May 2012 |
| 14. |
Joel Goh, Kian-Guan Lim, Melvyn Sim, and Weina Zhang, "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset," European Journal of Operational Research Volume 221, Issue 2, September 2012, 397-406 |
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15. |
Zhan-Yong Liu, Gang-Zhi Fan and Kian Guan Lim, "Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities," Journal of Real Estate Finance and Economics, Volume 38, Issue 3, 2009. |
| 16 |
LJ Cao, Zhang JQ, Lim Kian Guan, and Zhonghui Zhao, " An Empirical Study of Pricing and Hedging Collaterized Debt Obligation (CDO)," Advances in Econometrics, 2008, Volume 22, 15-54. Emerald Group Publishing Limited. |
| 17. |
Zhe Zhang and Kian-Guan Lim, " A Non-Lattice Pricing Model of American Options under Stochastic Volatility, " May 2006, Vol 26, No 5, Journal of Future Markets, 417-448 |
| 18. |
Cai LJ, Zhang JQ, Cai Zongwu, Lim Kian Guan, " An empirical study of dimensionality reduction in support vector machine, " June 2006, Vol. 16, Neural Network World, 177-192 |
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19. |
Lijuan Cao, Lim Kian Guan, Zhang Jingqing, "Bond Rating Using support Vector Machine," 2006, Vol 10, No 3 (May-June), Intelligent Data Analysis, IOS Press, 295-296 |
| 20 |
Lim Kian Guan, Christopher Ting, and Mitch Warachka, "The implied Jump risk of LIBOR rates," Journal of Banking and Finance, 2005, Vol 29, Issue 10, 2503-2522 |
| 21 |
T.F. Sing, S.E.Ong, G.Z.Fan, and K.G. Lim, "Pricing Credit Risk of Asset-Backed Securitization Bonds in Singapore," International Journal of Theoretical and Applied Finance, 2005, Vol. 8, No. 3, 321-338 |
| 22 |
Yuan Gao, Lim Kian Guan, and Ng Kah Hwa, "An Approximation Pricing Algorithm in an Incomplete Market: A Differential Geometric Approach", Finance & Stochastics, Vol 8, No 4, Nov 2004, 501-523 |
| 23 |
Kian Guan Lim, Fenghua Song, and Mitch Warachka, " The Effect of Taxes on the Pricing of Defaultable Debt," The Journal of Risk, Vol. 6, No. 2, Winter 2004. |
| 24 |
Lim Kian Guan, Liu Xiaoqing, and Tsui Kai Chong, "Asymptotic Dynamics and VAR of Large Diversified Portfolios in a Jump-Diffusion Market," Quantitative Finance, Journal of the Institute of Physic, 2004, Vol 4, issue 2, 129-139 |
| 25 |
Kian-Guan Lim and Eric Terry, "The Valuation of Multiple Stock Warrants," Journal of Future Markets, Vol.23, No. 6, June 2003, pp. 517-534 |
| 26 |
Kian-Guan Lim, Chang Shiwei, and Tsui Kai Chong, "Defaultable Debt Pricing in Multi-Factor Models," International Journal of Theoretical and Applied Finance, Vol. 5, No. 8, 2002, pp. 823-844. |
| 27 |
Kian-Guan Lim and Da Zhi, " Pricing Options using Implied Trees : Evidence from FTSE-100 Options," Journal of Futures Markets, Vol. 22 No.7, July 2002, pp 601-626 |
| 28 |
Kian Guan Lim and Qin Xiao, "Computing Maximum Smoothness Forward Rate Curves," Statistics and Computing, Vol.12, 2002, pp. 275-279, ISSN 0960-3174 |
| 29 |
Lim K.G. and Guo XQ, "Pricing American Options with Stochastic Volatility: Evidence from S&P 500 Futures Options," Journal of Futures Markets, Vol. 20, No. 7, 2000, pp. 625-659 |
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30 |
Wang SY, Lim K.G., and C.W. Chang, "A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures using Markov Chains," Journal of International Financial Markets, Institutions and Money, Vol. 9, pp.247-265, 1999, Elsevier-North Holland |
| 31 |
Lim K.G. and E.H. K. Ng, "A Theory of IPO Pricing using Tender Prices," Vol.9, pp. 433-442, 1999, Applied Financial Economics. |
| 32 |
C.W. Chang, J.S.K. Chang, and K.G.Lim, "Information-Time Option Pricing: Theory and Empirical Evidence," Journal of Financial Economics, Vol 48, No 2, May 1998. |
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33 |
K.G. Lim, D. How, and Eric Terry, " Information Transmission across Eurodollar Futures Markets," International Journal of Theoretical and Applied Finance, World Scientific Publisher, Vol. 1, No. 2, pp. 235-245, 1998 |
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34 |
Lim, KG and J Muthuswamy, "The Impact of Transaction Costs on Nikkei Stock Index Futures Arbitrage," The Review of Futures Markets. Vol. 12, No. 3, 1993, 717-738. |
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35 |
Lim, KG, "Arbitrage and Price Behavior of hte Nikkei Stock Index Futures," The Journal of Futures Markets, USA, Vol.12, No.2, April 1992, 151-161 |
| 36 |
Dean Corbae, KG Lim and Sam Ouliaris, "On Cointegration and Tests of Forward Market Unbiasedness," Review of Economics and Statistics, Vol 74, Issue 4, Nov 1992, 728-732 |
| 37 |
Leong SM and KG Lim, "Extending Financial Portfolio Theory for Product Management, " Decision Sciences, Vol. 22, No.1, Winter 1991, 181-193 |
| 38 |
Lim Chin and KG Lim, "Equilibrium pricing in the scrap car market," Transportation Research Part B Methodological, Vol.25B, No.4, 1991, 203-213 |
| 39 |
Lim, KG and Phoon Kok-Fai, "Tests of Rational Bubbles using Cointegration Theory. Applied Financial Economics, Vol.1, No.2, June 1991, 85-88. |
| 40 |
Lim, KG, "A new test of the three moment capital asset pricing model, "Journal of Financial and Quantitative Analysis, June 1989, Vol.24, No.2, 205-216 |
Selected Books and Monographs (Authored or Co-authored)
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1. |
"Theory and Econometrics of Financial Asset Pricing", by Kian Guan Lim, De Gruyter Publisher, Berlin/Boston 2022, 388 pp |
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2. |
"Financial Valuation and Econometrics" (2nd Edition), by Kian Guan LIM, World Scientific Press, 2015, 585 pp (3rd Edition forthcoming) |
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3. |
"Probability and Finance Theory" (2nd Edition), by Kian Guan LIM, World Scientific Press, 2016, 515 pp (3rd Edition forthcoming) |
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