Joseph
CHERIAN, Joseph Practice Professor Department:  Finance Office:  BIZ1 7-58 Contact:  (65) 6516 5991 Email:  bizjc@nus.edu.sg Curriculum Vitae
Research
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Selected
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Educational
Qualifications
Academic
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Corporate
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    • Quantitative Models For Fund Management
    • Derivatives And Risk Management
    • Liquidity Risk In Financial Markets
    • Asset Pricing Theory
    • Journal Articles
      • A Tail of Two Cities: On the Downside Risk and Loss Profile of Asian and North American Hedge Funds, with Weng W (2016), Journal of Alternative Investments, 19, 55-77
      • A Model of the Convenience Yields in On-the-run Treasuries, with R.A. Jarrow and E. Jacquier (2004), Review of Derivatives Research
      • Option Pricing Under Political Risk, with E. Perotti (2001), Journal of International Economics
      • An Empirical Analysis of Directional and Volatility Trading in Options Markets, with Y. Weng (1999), Journal of Derivatives
      • Options Markets, Self-fulfilling Prophecies, and Implied Volatilities, with R.A. Jarrow (1998), Review of Derivatives Research
      • Market Manipulation and Corporate Finance: A New Perspective, with A. Chatterjea and R.A. Jarrow (1993), Financial Management
    • Books/Monographs
      • Worry-free Inflation-Indexing for Sovereigns: How Governments Can Effectively Deliver Inflation-Indexed Returns to Their Citizens and Retirees, with Z. Bodie and W.K. Chua (2012), Z. Bodie, L.B. Siegel and L. Stanton (Editors), Life-cycle Investing: Financial Education and Consumer Protection (CFA Institute), The Research Foundation of Chartered Financial Analysts (CFA) Institute Publications Series
      • Optimal Extraction of Nonrenewable Resources when Costs Cumulate, with J. Patel and I. Khripko (1999), M.J. Brennan and L.Trigeorgis (Ed.), Project Flexibility, Agency, and Product Market Competition: New Developments in in the Theory and Application of Real Options Analysis
      • Information Trading, Volatility, and Liquidity in Options Markets, with A.F. Vila (1997), The Research Foundation of the Institute of Chartered Financial Analysts-AIMR Publications
    • Working Papers
      • Liquidity and Portfolio Management: An Intra-Day Analysis, with S. Mahanti and M Subrahamanyam (2012)
      • Trading Agents and Liquidity Risk, with S. Mahanti and M. Subrahmanyam (2009)
      • Discretionary Volatility Trading in Options Markets, (1999)
    • Ph.D., Finance, Johnson Graduate School of Management, Cornell University, USA, 1993
    • M.S., Finance, Johnson Graduate School of Management, Cornell University, USA, 1992
    • B.S., Electrical Engineering, Massachusetts Institute of Technology, USA, 1986
    • Director, CAMRI, National University of Singapore, 2009 - current
    • Practice Professor of Finance, National University of Singapore, 2009 - current
    • Advisory Council Member, Cornell University - The Johnson School, 2009 - current
    • Executive-in-Residence, Cornell University - The Johnson School, 2008 - 2009
    • Review Board, Research Foundation of the CFA Institute, 2000 - 2005
    • Associate Professor of Finance, Boston University - School of Management (on leave 2000/2001), 1999 - 2001
    • Visiting Professor of Finance, University of Amsterdam and Tinbergen Institute - Summers, 1997 - 2000
    • Assistant Professor of Finance, Boston University - School of Management, 1993 - 1999
    • Visiting Lecturer of Finance, Cornell University - The Johnson School, 1992 - 1993
    • Affiliated Researcher, Risk Management Institute, National University of Singapore (NUS), Singapore, 2009 - current
    • Scientific Advisory Board, Orissa Group Inc., 2008 - current
    • Managing Director and Chief Investment Officer, Quantitative Strategies Group, Credit Suisse (Alternative Investments), 2004 - 2008
    • Managing Director, Quantitative Equity Research, Bank of America Capital Management, 2000 - 2004
    • Product Advisory Board, netDecide Corp., 2001 - 2003
    • Scientific Advisory Board, SKG Inc., 2000 - 2003
    • Senior Financial Consultant, Securities and Exchange Board of India (SEBI), India, 1995
    • Financial Consultant, BTS Software, 1994
    • Senior Financial Consultant, Ernst & Young, 1994
    • Staff Electrical Engineer & Operating Comm Member, Goodyear International, 1986 - 1989
    • Consulting Practicum, Consulting Practicum
    • BMA5307, Options and Futures
    • FIN4112K, Seminars in Finance: Applied Portfolio Management
    • Principal Co-organizer, Mathematical Finance Day at Boston University - 3/31/96, 4/26/98, and 4/25/99
    • Principal Co-organizer (with Zvi Bodie), FINANCE 2000 - CEO and Nobel Laureates Lecture Forum
    • Ph.D Field Advisor (Finance), Boston University Department of Economics, January 1998 - August 2000
    • Keynote Speaker, Various Institutional Investor Conferences, Credit Suisse Annual Asian Investment Conference (HK), GAIM Asia (HK), Asset Allocation Summit (HK), and internal Private Banking and Institutional Investor Seminars, 2000 - 2008
    • Invited Speaker and Panelist, Capital Markets Seminar organized by the Securities and Exchange Board of India (SEBI) and Reserve Bank of India (RBI), 1995
    • Faculty Coordinator, Financial Management (MBA Core, Boston University), May 1994 - August 1995
    • Faculty Advisor, Humphrey Fellowship Program, Boston University, May 1995 - August 2000
    • Faculty Advisor, Boston University Investment Club, September 1993 - December 1995
    • Co-organizer (with Robert Jarrow, Stuart Turnbull and Tom Coleman), Annual Derivatives Securities,1998 - 2001
    • Advisory Board, Aerospace and Mechanical Engineering Researcher-Entrepreneurs' Program, Boston University
    • Referee/Discussant, Journal of Economic Theory; Journal of Finance; Review of Derivatives Research; Journal of Economic Dynamics and Control; Mathematics of Operations Research; Physica A; Journal of Financial and Quantitative Analysis;Journal of Financial Intermediation; The Financial Review; China Economic Review; The Journal of Risk; Decision Sciences Institute Meeting, 1994; American Finance Association Annual Meeting, 2000; NBER Conference on Risk Assessment and Management, 1995
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