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Thaisiri Watewai

ไทยศิริ เวทไว
Assistant Professor

Joined : Mar/2009
Email : thaisiri@cbs.chula.ac.th

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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
  • Bachelor of Engineering (Summa Cum Laude), Industrial Engineering, Chulalongkorn University, 2001

Employment History

  • Assistant Professor in Finance, Faculty of Commerce and Accountancy, Chulalongkorn University, 2014 - Present
  • 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.
  • 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.
  • 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

  • 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)