Alliant School of Management
San Diego Campus
Alliant International University San Diego
10455 Pomerado Road
San Diego CA 92131
Courses, Research Interests, Publications
International Economics and Trade (IBA6030)
Financial Trading and Market Micro-Structure (FIN6999)
International Financial Markets (FIN6025)
Investment Fund Asset Management (FIN6015)
Investments and Valuation (FIN6010)
Financial Engineering for IT Managers (FIN8750 IS)
Seminar in International Finance (FIN8050)
Strategic Investments and Real Options (FIN8750 IS)
Seminar in Investments (FIN8040)
Modern Portfolio Theory and Investment Analysis (FIN8020)
Market Microstructure (FIN8750 IS)
Money and Capital Markets (FIN4040)
Principles of Economics (ECO3000)
Financial and commodity markets; market micro-structures; financial risk measurement, analysis and management; derivatives; financial engineering; computational finance; real options; strategic investment management; noisy system identification; realization of financial trading rooms.
Computational Finance: A Scientific Perspective, World Scientific Publishing Co., Ltd, Singapore, 2000, 336 pages (Currently in its 2nd print. Expanded 2nd edition under preparation for 2012).
Solutions Manual to Accompany Financial Market Risk: Measurement & Analysis, Taylor & Francis Books Ltd, London, UK, 2004, 293 pages (co-authored with Sutthisit Jamdee and Rossitsa Yalamova).
Financial Market Risk: Measurement & Analysis, Routledge International Studies in Money and Banking, Vol. 24, Taylor & Francis Books, Ltd, London, UK, 2003, 460 pages. (Expanded 2nd edition under preparation for 2013).
Solutions Manual to Accompany Computational Finance: A Scientific Perspective, World Scientific Publishing Co., Ltd, Singapore, 2004, 113 pages. (co-authored with Milen Kassabov).
"Measuring the Degree of Financial Market Efficiency," Finance India, Publications Vol. 22, No. 4, December, 2008, 1281 - 1308.
"Measuring Financial Cash Flow and Term Structure Dynamics in Turbulent Global Markets," ICFAI Journal of Financial Risk Management, Vol. 5, No. 4, December 2008, 7 - 37.
"Persistence Characteristics of the Chinese Stock Markets," International Review of Financial Analysis, Vol. 17, No. 1, January, 2008, 64 - 82. (co-authored with Bing Yu).
"Long Memory Options: LM Evidence and Simulations," Research in International Business and Finance, Vol. 21, No. 2, June, 2007, 260-280. (co-authored with Sutthisit Jamdee)
"Persistence Characteristics of European Stock Indices," ICFAI Journal of Financial Risk Management, Vol. 4, No. 4, December, 2007, 13 - 40. (co-authored with Joanna M. Lipka).
"Dynamic Risk Profile of the U.S. Term Structure by Wavelet MRA," International Research Journal of Finance and Economics, Vol 1, No. 5, September, 2006, 19 - 47. (co-authored with Sutthisit Jamdee).
"Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," International Research Journal of Finance and Economics, Vol 1, No. 4, July, 2006, 106 - 133. (coauthored with Rossitsa Yalamova).
"System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets," Journal of Banking and Finance, Vol. 30, No. 7, July, 2006, 1997 - 2024.
"Persistence Characteristics of Latin American Financial Markets," Journal of Multinational Financial Management, Vol 16, No. 3, July, 2006, 269 - 290. (coauthored with NyoNyo A. Kyaw and Sijing Zong).
"Visualization of the Road to Chaos for Finance and Economics Majors," The ICFAI Journal of Financial Economics, Vol. 4, No. 4, December, 2006, 7 - 34.
Consultant, EMEPS Associates:
- Gerson Lehrman Group, New York
- Singapore Press Holdings Ltd, Singapore
- Tecity Management Pte Ltd, Singapore
- OUB Asset Management Ltd, Singapore
- Asian Commerce & Economic Studies Center (ACES), Singapore
- FSVC/Ministry of Finance of the Slovak Republic, Bratislava
- Wyser-Pratte & Co, Inc, New York
- Asset Management Services, Inc, Darien, CT
Financial risk management; liquidity measurement; financial arbitrage linkages; realization of financial trading simulation laboratories (4 x trading rooms)
Academic History and Background
BA (Cum Laude) - Groningen University, 1974
MPhil - Groningen University, 1976
Fulbright-Hays Exchange Scholar, 1977
Post-Graduate Diploma in Development Policy and Economic Planning - Institute of Social Studies, The Hague, 1977
PhD in Economics - Columbia University, 1984
Bio in Marquis' Who's Who in America, Who's Who in Asia and Who's Who in the World
Fellow of the American College of Forensic Examiners
Member of the International Association of Financial Engineers
Member of the Bachelier Finance Society
Member of the Financial Management Association
Life Fellow of the Australian Institute of Banking and Finance
Member of the American Finance Association
Member of the American Economic Association
Member of the American Statistical Association
Member of the Econometric Society
Senior Member of IEEE
Professional Practice and Community Service
Chief US Economist and Economic Advisor - ING Bank, 1991-1993
Senior Economist - Nomura Research Institute America, Inc, 1987-1990
Economist/Senior Economist - Federal Reserve Bank of New York, 1981-1987
"Strategic Investments and Competition Under Uncertainty in the ASEAN/AEC: Real Options and Game Theory" defended by Klaangjai Sangwichitr at School of Management, Alliant International University, April 9, 2014 (Chair)
"The CS Model - A Flow of Funds Based Framework for Analyzing Sovereign Credit Risks in an International Credit Chain Economy: An Adaptation, Extension and Empirical Analysis," defended by Minet Mucka at Peter F. Drucker and Masatoshi Ito Graduate School of Management, Claremont Graduate University, March 28, 2008 (Committee member).
"Multi - Fractal Modelling and Simulations of the US Term Structure" defended by Sutthisit Jamdee at Graduate School of Management, Kent State University, April 18, 2005 (Chair)
"Wavelet MRA of Index Patterns Around Stock Market Shocks," defended by Rossitsa Yalamova at Graduate School of Management, Kent State University, August 6, 2003 (Chair).
Research Council of the Indian Institute of Finance (publisher of Finance India)
Investment Management and Financial Innovation
European Journal of Social Sciences
The ICFAI Journal of Financial Risk Management
European Journal of Scientific Research
The European Journal of Economics, Finance and Administrative Science
Member at Large of World Council of Alumni of International House, New York
Founding Member and Treasurer of Columbia University Club Singapore
Fellow of London Goodenough Trust Fellowship
Fellow of the Society of Columbia Scholars
History of the American Revolution and the U.S Constitution; History of Central Asia and the Silk Road; Geopolitics of Naval Powers; Dutch 18th Century Cooking; Target Shooting
Bio and Links
Second, he has been an academic Professor of Banking and Finance, e.g., at Nanyang Technological University in Singapore (where he co-designed and organized two academic financial trading rooms), at Adelaide and Deakin Universities in Australia, and at Kent State University in Ohio (where he co-designed and organized the new M.Sc. in Financial Engineering together with a derivatives trading room).
Half a decade ago, he taught for the London School of Economics in Kazakhstan and was a Visiting Professor of Financial Management at the Peter Drucker Graduate School of Management at the Claremont Graduate University. Most recently he was a Professor of Finance at the University of Lethbridge in Alberta, Canada, where he designed and realized a $0.5mln financial Trading Room in the new Markin Hall business school, with a five-year operational budget of another $0.5mln.
He has written several books on Computational Finance and on Financial Market Risk). He designed new courses on financial trading and market microstructure using internet-based financial trading network simulators, and on strategic project valuation using real option theory. He is developing a new M.Sc. in Financial Engineering, focused on commodity, energy and weather markets. He has supervised MA, MSc and PhD theses in Finance and Economics. His avocations are: financial risk management and financial engineering, market model identification from high frequency financial data, and in-depth research of financial market microstructures.