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  Issue 27 | Archive May 2016

New Faces @ RMI

New Staff

Cheng Shantian joined RMI as a Research Associate on 21 March 2016. He is currently working towards his PhD in Mathematical Sciences from Nanyang Technological University (NTU). Prior to that, he obtained his Master’s Degree in Natural Science from University of Chinese Academy of Sciences. He also gained valuable experience from his days as a project officer/manager at his graduate school’s student club. In his spare time, he likes jogging and hiking.

Zou Qiqi joined RMI as a Research Associate on 30 March 2016. Qiqi is a fifth-year Ph.D. candidate in Department of Finance at National University of Singapore (NUS) Business School. Her research interest is in the areas of empirical asset pricing and credit risk. Prior to her Ph.D. study, Qiqi graduated from NUS Science Faculty with First Class Honors in Quantitative Finance in 2011. In her spare time, Qiqi devotes her time to her 17-month-old daughter, but she loves hanging out with friends, watching drama, and hiking as well.

Visitors

Dr. Marius Hofert visited RMI from 18 January to 1 March 2016. Dr. Hofert, an Assistant Professor at Department of Statistics and Actuarial Science, University of Waterloo, taught a module for RMI's Master of Science in Financial Engineering (MFE) Program titled “Risk Analyses and Management”. Dr. Hofert obtained his PhD in Mathematics from University of Ulm in 2010. His research interests include development of mathematical, statistical and computational tools in copula modeling.

Prof. Fuh Cheng-Der visited RMI from 1 to 18 February 2016. He received his Bachelor of Science Degree in Mathematics from National Central University in Taiwan, in 1980, and his Ph.D. in Statistics and Mathematics from Iowa State University in USA, in 1989. After graduation, he joined Academia Sinica in Taiwan. Currently he is a chair professor at National Central University, where he has worked since 2006. His research interests are generally in the areas of change point detection, hidden Markov models, and quantitative finance.

Dr. Xu Yuhong is a Visiting Research Fellow at RMI from 12 February 2016 to 11 February 2017. He received his PhD from Shandong University in 2013, followed by a year of post doctorate at Université de Brest, France. His research interests include several topics in the field of mathematical finance and economics, such as risk measurement under uncertainty, economic models with incomplete information, utility theory, game theory, and general equilibrium theory of two price economy. His latest interests lie in dynamic portfolio selection and statistics under model uncertainty.

Prof. Michael Sobel visited RMI from 15 February to 25 March 2016. He is a professor in the Statistics Department at Columbia University. He has published extensively in the area of social statistics, particularly on structural equation models and categorical data analysis, and is a past Editor of Sociological Methodology. His more recent work is in the area of causal inference, where he has published papers on mediation, compliance, interference, and longitudinal data analysis using fixed effects models. His most recent work takes up the subject of making causal inferences for fMRI data.

Prof. Ulrich Horst visited RMI from 28 February to 24 March 2016. He was a Deutsche Bank Professor of Applied Mathematical Finance at Humboldt-Universität and the Scientific Director of the Deutsche Bank sponsored Quantitative Products Laboratory. He is currently the Head of the Mathematics Department at the Humboldt-Universität since 2013. His research interests include backward (partial) stochastic differential equations, stochastic control theory, limit order book modelling, optimal trading in illiquid markets, and dynamic principal-agent games.

Dr. Andrew Carverhill visited RMI from 4 March to 17 April 2016. Dr. Carverhill visited RMI to teach a module on credit risk in the MFE Program. He was awarded a PhD in Mathematics from University of Warwick in 1983, and has been an Adjunct Professor at the City University of Hong Kong since 2013. His research interests include derivatives pricing, term structure of interest rates, econometrics, and corporate finance.

Prof. Thaleia Zariphopoulou visited RMI from 11 to 15 April 2016. She is the holder of the Presidential Chair of Mathematics and the V.H. Neuhaus Professorship of Finance at The University of Texas at Austin. Her area of expertise is Financial Mathematics and Stochastic Optimization. She has published extensively in the areas of portfolio choice and pricing in incomplete markets. She has served very actively in the community of Financial Mathematics. She sits on the editorial board of eight academic journals, she is the Editor of the SIAM Book Series in Financial Mathematics and has served in various prize committees.

A/P Xiao Weilin is a Visiting Scholar at RMI from 19 April 2016 to 18 April 2017. He is an Associate Professor in Finance at School of Management, Zhejiang University. His research focuses on theoretical and empirical asset pricing, derivatives, and econometrics. His recent research focuses on robust estimation of the volatility using high-frequency financial data as well as the identification and modeling of jump risk premium combining information from options markets. He is also interested in pricing options under long memory stochastic volatility models. He has a PhD in Managerial Decision and System Theory from South China University of Technology.

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