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Thaisiri WatewaiAssociate Professor
University of California, Berkeley
Joined
Email
Download CV (PDF)
CV Thaisiri Watewai.pdf90.38 KB
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
Associate Professor in Finance, Faculty of Commerce and Accountancy, Chulalongkorn University, 2017 - Present
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 Referred 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
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)
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