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  Issue 25 | Archive November 2015

Joint Research Seminar
5 October 2015

On 5 October 2015, Prof. Wang Neng, Chong Khoon Lin Professor from Department of Real Estate at Columbia Business School, spoke about his paper on ¡°Investment under Uncertainty and the Value of Real and Financial Flexibility.¡± Prof. Wang discussed the model, developed by him and his fellow researchers, that features investment timing under uncertainty for a financially constrained firm and their findings on research related to this model. This seminar was organized by RMI jointly with the Institute of Real Estate Studies, as part of the interdisciplinary seminar series in the finance research cluster. Prof. Wang is a researcher at the National Bureau of Economic Research (NBER) and holds editorial positions on journals such as Management Science and Journal of Finance.

RMI Research Seminars
August 2015

RMI conducted three research seminars in the month of August. Prof. Matthias Fengler of University of St. Gallen held a seminar on 11 August 2015. Entitled ¡°Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from Intra-Day Data,¡± his presentation compared the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset as a means of validating an option pricing model. His paper looks at three models; the Black and Scholes, the Heston, and the Bates model.

Prof. Fuh Cheng-Der of Taiwan¡¯s National Central University, in his research seminar on 19 August 2015, described, analysed, and evaluated an algorithm for estimating Asian options and value-at-risk (VaR). The talk was titled, ¡°Efficient Simulations for Estimating Asian Options and Value-at-Risk.¡±

Another seminar, ¡°LQ Control without Time Consistence ¨C Existence and Uniqueness¡± was held at RMI by Associate Professor Jin Hanqing of the University of Oxford, on 27 August 2015. His research adds to existing literature on LQ, or Linear-Quadratic, control problem without time consistence that focuses mostly on the framework and ad hoc construction of solutions for special cases.

MFE Orientation
25 July & 1 September 2015

RMI¡¯s two Master¡¯s programs the MFE and PKU DDP welcomed a new batch of students on 25 July and 1 September 2015 respectively. The orientation sessions were organized to get students familiar with the courses they have undertaken as well as a student¡¯s life at NUS. Incoming students learned about the various academic and other resources available to them on campus. Current MFE and PKU students present also shared their advice and tips with the new students to make the transition a little easier for them.

PE Review Issue 2
November 2015

RMI will launch the second issue of the Private Equity Review (PER), a collaborative publication with the Hong-Kong based GOSS Institute of Research Management, by the end of this year. The PER aims to update its readers on the latest views and ideas about private equity and other current happenings in the financial sector. The overall aim of the magazine is to promote interactive research and practical innovations in private equity and the financial sector.

The content of the PER combines and presents works form a mix of academics, researchers, and industry people. The latest issue features discussions, interviews, and research on topics such as the Shanghai-Hong Kong Stock connect, anti-money laundering, and separating skilled versus unskilled fund managers.

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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)