Faculty Profile

TEE Chyng Wen

Full-time Faculty

Associate Professor of Quantitative Finance (Practice); Academic Director, Master of Science in Quantitative Finance; Area Coordinator, Quantitative Finance

Lee Kong Chian School of Business LKCSB

Education

2006	Ph.D in Photonic Engineering University of Cambridge
2003	B.Eng Electrical and Electronic Engineering Nanyang Technological University, Singapore

Current Position(s) Held

Jan 2018 - Now	Associate Professor of Quantitative Finance (Practice) Lee Kong Chian School of Business Singapore Management University
Jan 2018 - Dec 2021	Faculty Advisory Committee (Teaching & Learning) Singapore Management University
Jul 2012 - Dec 2017	Assistant Professor of Quantitative Finance (Practice) Lee Kong Chian School of Business Singapore Management University
Aug 2009 - Jun 2012	Executive Director Goldman Sachs, Hong Kong
Sep 2006 - Jul 2009	Associate Morgan Stanley, London

Research Interests

Effective Derivative Pricing Model

Risk Management & Hedging Strategies

Quantitative High Frequency Trading Algorithms

Machine Learning & Financial Applications

Awards, Recognition and Honors

Dean's PG Teaching Honor List, 2019 - 2023
Dean's Teaching Honor List, 2014 - 2023
Teaching Excellence in Postgraduate Professional Programmes Award 2022
Masters in Quantitative Finance Best Instructor Award 2022, 2023
26th Securities and Financial Markets Conference Research Paper Award, 2018
Dean's Impact Award, Singapore Management University, 2017
Teaching Excellence Award, Postgraduate Professional Programmes, 2017
Journal of Financial Studies Best Paper Award, 2015
Most Promising Teacher Award, Centre for Teaching Excellence, 2014

Selected Journal Articles (Refereed)

"Tail Risk Hedging: The Search for Cheap Options" by Poh Ling Neo & Chyng Wen Tee, Journal of Portfolio Management, vol. 50, no. 1, pp. 106-119, 2023
"A Black-Scholes User's Guide to the Bachelier Model" by Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, Yumeng Wang, Journal of Futures Markets, vol. 42, pp. 959-980, 2022.
"Volatility Timing under Low-Volatility Strategy" by Poh Ling Neo & Chyng Wen Tee, Journal of Portfolio Management, vol. 48, no. 1, pp. 133-146, 2021
"A Unified Market Model for Swaptions and Constant Maturity Swaps" by Chyng Wen Tee & Jeroen Kerkhof, International Journal of Theoretical and Applied Finance, vol. 24, no. 4, pp. 1-31, 2021
“ Biclustering via Mixtures of Regression Models" by Raja Velu, Zhaoque Zhou, Chyng Wen Tee, Computational Science ICCS 2019, Lecture Notes in Computer Science, vol 11537, pp. 533-549, 2019.
“ Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes" by Poh Ling Neo & Chyng Wen Tee, Journal of Derivatives, vol. 27, no.2, pp. 81-107, 2019.
“ Variance Risk Premiums of Commodity ETFs” by Chyng Wen Tee & Christopher Ting, Journal of Futures Markets, vol. 37, pp. 452-472, 2017.
“Performance Control and Risk Calibration in the Black-Litterman Model” by Chyng Wen Tee, Shirley Huang, Lim Kian Guan. Journal of Portfolio Management, vol. 43, pp. 126-135, 2017.
“Volume Information in Nikkei and TOPIX Futures Transactions” by Chyng Wen Tee & Christopher Ting. Journal of Financial Studies, vol. 4, no. 4, pp. 1–42, 2017.