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NEWSLETTER
ISSUE 30 | FEBRUARY 2017
NEW FACES @ RMI

New Staff

Hitomi Nakatani, who has recently obtained her Bachelor of Science in Marketing and Psychology from University of Keele, joined RMI as a Research Analyst on 14 November 2016. Outside of academia, she is a keen traveler and has travelled extensively around the UK and Asia. Hitomi is also an avid reader and likes to engage in various voluntary activities.

Thibaud Jack Limandat joined RMI on 1 December 2016 as a Research Analyst. He graduated with a Master’s Degree of Science in Quantitative Finance at the Vrije Universiteit Amsterdam in 2015. Prior to this, he has obtained a Bachelor of Science in Economics from the University of Montpellier, France in 2011. He has experience in business development, project management, quantitative risk analysis, and applied econometrics. Jack is a fan of science fiction and synthwave music. He also likes to work on a model to predict the outcome of certain football games.

Liu Hanlei joined RMI as a Research Analyst on 21 December 2016. He graduated with a Bachelor of Social Sciences (Economics) from National University of Singapore (NUS) and has previously worked with Energy Market Authority and Phillip Securities. His interests include fundamental analysis of companies, cycling, travelling, and hiking.

Before joining RMI as a Research Analyst starting 19 December 2016, Sun Biqing completed her Graduate Diploma in Systems Analysis at NUS in September 2016. Prior to that, she obtained her Master’s Degree in Probability and Mathematical Statistics from Southeast University in China. She is interested in statistical modelling, data science, and would like to explore areas related to credit risk management with big data. During her free time, she likes badminton, hiking, and rock climbing.

Dr. Qin Cong joined RMI as a Research Fellow on 1 January 2017. He received his PhD in Financial Mathematics from the Centre for Financial Engineering of Soochow University in China, in December 2014. His primary research interests are in mathematical finance and economics, partial differential equations, and stochastic control. Currently, he is working on the several projects related to exhaustible resources, housing, and Bitcoin.

Choi Byung-Geun joined RMI as a Research Associate on 1 February 2017 and is particularly interested in data mining, portfolio optimization, and distributionally robust optimization. He obtained his Master’s Degree in Management, Technology, and Entrepreneurship from École Polytechnique Fédérale de Lausanne in 2015 and Bachelor's Degree in Electrical Engineering from Seoul National University in 2012. He also completed doctoral coursework in Industrial & Operations Engineering from University of Michigan in 2016.

Li Shuping joined RMI as a Research Analyst on 1 February 2017. She is also currently a part-time Master’s student in the Department of Statistics at NUS, expecting to graduate in May 2018. Prior to this, Shuping graduated from NUS with a Bachelor’s Degree in Statistics and minor in Economics. Her final year project is on the application of Kernel methods on big data.

Arvee Vergara received his Bachelor of Science in Computer Science from the University of Santo Tomas, Manila. Prior to joining RMI as a Research Analyst starting 1 February 2017, Arvee served as an application support lead and service level manager for Globe Telecom's Information Systems Group, managing and working on different middleware, billing, and value-added service platforms. His interests include web and mobile development, object oriented programming, and cloud computing. He is a technology enthusiast, and enjoys swimming, playing badminton, and online games.

Sheng Wenlong joined RMI as the Research Assistant starting 6 February 2017. He obtained his Bachelor’s Degree in Mathematics from Tsinghua University. He is currently pursuing a PhD in Mathematics from the same university. His research interests include stochastic control, including contingent claims pricing and investment problem. He likes tennis, reading, and jogging.

Visitors

A/P Cai Ning visited RMI from 9 to 15 January 2017 and is currently an Associate Professor at Department of Industrial Engineering & Logistics Management (IELM) at Hong Kong University of Science and Technology. He received his PhD from the Department of Industrial Engineering and Operations Research (IEOR) at Columbia University in 2008. His research interest includes financial engineering, risk management, applied probability, and stochastic modeling.

Dr. Chen Ningyuan visited RMI from 9 to 19 January 2017 is currently an Assistant Professor at Department of Industrial Engineering & Logistics Management (IELM) at Hong Kong University of Science and Technology. He received his PhD from the Department of Industrial Engineering and Operations Research (IEOR) at Columbia University in October 2015. His research interest includes dynamic pricing, market microstructure, and random networks.

Prof. Li Haitao visited RMI from 27 January to 3 February 2017. He is the Dean’s Distinguished Chair Professor of Finance and Associate Dean for the MBA Program at CKGSB. Previously, he was the Jack D. Sparks Whirlpool Corporation Research Professor in the Finance Department of the Stephen M. Ross School of Business at the University of Michigan. He also served on the faculty of the Johnson Graduate School of Management at Cornell University. Prof. Li serves on the editorial boards of Management Science (the Department of Finance) and the International Review of Finance. Prof. Li holds a PhD in Finance from Yale University.

Prof. Cheng-Der Fuh is visiting RMI from 27 January to 27 February 2017. He received his B.S. in Mathematics, from National Central University, Taiwan, in 1980, and his PhD in Statistics and Mathematics, from Iowa State University in 1989. 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. Emrah Gülay is a visitor at RMI from 1 February 2017 to 31 January 2018. He received his Bachelor’s Degree in Statistics in 2005 from Ege University in Turkey and his Master of Science degree in Econometrics and Doctor of Philosophy degree in Econometrics from Dokuz Eylul University in Turkey. He also visited the Mathematics Department in University of California, San Diego for eighteen months as academic researcher during his PhD studies. His research interests include econometrics, volatility forecasting, and nonlinear time series.

Dr. Ming-Feng Tsai is visiting RMI from 6 to 20 February 2017 and is currently an Assistant Professor in the Department of Computer Science at National Chengchi University. He received his PhD from National Taiwan University in 2009, after which he worked at NUS as a Research Fellow, participating in a research project related to machine translation. In 2010, sponsored by Taiwan National Science Council, he joined University of Illinois at Urbana-Champaign as a visiting scientist, working on a project associated with advanced Web search and mining. His research interests span the areas of information retrieval, machine learning, web search and mining, social network analysis, and natural language processing.

Dr. Chuan-Ju Wang is visiting RMI from 6 to 20 February 2017. She received her PhD in Computer Science and Information Engineering from National Taiwan University in 2011. Prior to joining the Research Center of Information Technology Innovation (CITI), Academia Sinica, as an Assistant Research Fellow in 2016, she worked as an Associate Professor at the University of Taipei in Taiwan. Her research interests include computational finance and data analytics.

Prof. Ulrich Horst is visiting RMI from 6 February to 3 March 2017. He is currently the principal investigator of Project A11 of the SFB 649 "Economic Risk" and a board member of the IRTG 1846 "Stochastic Analysis with applications to Biology, Finance and Physics" and a member of the School of Business and Economics at Humboldt University. Since April 2013, he is the Head of the Mathematics Department in the university. 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.

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