Faculty Profile

TEE Chyng Wen's photo
Lee Kong Chian School of Business

TEE Chyng Wen

Full-time Faculty
Associate Professor of Quantitative Finance (Practice); Academic Director, Master of Science in Quantitative Finance

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 - 2021
  • Dean's Teaching Honor List, 2014 - 2021
  • 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)

  • "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.