- Home
- Faculty
- Thaisiri Watewai
Areas of Interest
Financial engineering; financial modeling; stochastic optimization and control; robust optimization
Education
-
Doctor of Philosophy,
Operations Research and Industrial Engineering,
University of California, Berkeley,
2006
-
Master of Arts,
Statistics,
University of California, Berkeley,
2005
-
Master of Science,
Operations Research,
Georgia Institute of Technology,
2002
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Bachelor of Engineering (Summa Cum Laude),
Industrial Engineering,
Chulalongkorn University,
2001
Employment History
-
Associate Professor in Finance, Faculty of Commerce and Accountancy, Chulalongkorn University,
2017 -
Present
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Assistant Professor in Finance, Faculty of Commerce and Accountancy, Chulalongkorn University,
2014 -
2017
-
Lecturer in Finance, Faculty of Commerce and Accountancy, Chulalongkorn University,
2009 -
2014
-
Research Associate, Barclays Global Investors, CA, USA,
2007 -
2008
-
Research Associate, Morgan Stanley, MSCI Barra, CA, USA,
2006 -
2007
Refereed Publications
-
IEICE Electronics Express,
2016,
13,
1-10,
"Fast Bidirectional Shortest Path on GPU":
Tangjittaweechai, L., Ekpanyapong, M., Watewai, T., Athukulwongse, K., Lim, S.K., and Tavares, A.
-
Review of Asset Pricing Studies,
2016,
6,
221-260,
"International Correlation Asymmetries: Frequent-but-small and Infrequent-but-large Equity Returns":
Solnik, B. and Watewai, T.
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Insurance: Mathematics and Economics,
2012,
51,
551-566,
"Optimal Investment and Consumption when Regime Transitions Cause Price Shocks":
Lim, A.E.B. and Watewai, T.
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Mathematical Finance,
2011,
21,
643-679,
"Robust Asset Allocation with Benchmarked Objectives":
Lim A.E.B., Shanthikumar J.G., and Watewai, T.
-
IEEE Transaction on Computer-Aided Design of Integrated Circuit and Systems,
2006,
25,
1289-1300,
"Profile-Guided Microarchitectural Floorplanning for Deep Submicron Processor Design":
Ekpanyapong, M., Minz, J., Watewai, T., Lee, H.H., and Lim, S.K.
Other Publications
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IEEE Conference on Decision and Control,
2010,
,
4305-4310,
"Robust Intensity Control with Multiple Levels of Model Uncertainty and The Dual Risk-Sensitive Problem":
Lim, A.E.B., Shanthikumar, J.G., Watewai, T.
[Referred Conference Proceedings]
-
IEEE/ACM Asia South Pacific Design Automation Conference,
2006,
,
959-964,
"Statistical Bellman-Ford Algorithm with an Application to Statistical Retiming":
Ekpanyapong, M., Watewai, T., and Lim, S.K.
[Referred Conference Proceedings]
-
ACM Design Automation Conference,
2004,
,
634-639,
"Profile-Guided Microarchitectural Floorplanning for Deep Submicron Processor Design":
Ekpanyapong, M., Minz, J., Watewai, T., Lee, H.H., and Lim, S.K.
[Referred Conference Proceedings]
Working Papers
-
"Robust Multi-product Pricing":
(with A.E.B. Lim and J.G. Shanthikumar)
Teaching
| Number |
Name |
| 2104523 |
Introduction to Stochastic Models |
| 2104663 |
Time-Series Analysis for Financial Engineering |
| 2143420 |
Introduction to Stochastic Modeling |
| 2604293 |
Mathematical Techniques for Finance |
| 2604313 |
Financial Econometrics |
| 2604465 |
Credit Management |
| 2604495 |
Introduction to Financial Engineering |
| 2604611 |
Stochastic Calculus |
| 2604614 |
Advanced Stochastic Processes |
| 2604620 |
Credit Risk Modeling |
| 2604654 |
Fixed-income Security Analysis |
| 2604690 |
Fixed-income Securities |
| 2604852 |
Mathematics for Finance |
| 2604853 |
Optimization Techniques in Finance |
| 2604859 |
Advanced Financial Theories |
| 2604861 |
Financial Asset Modeling |
| 2604862 |
Advanced Business Economics |
| FE8709 |
Credit Risk: Measurement and Management (Nanyang Technological University) |
