Corps professoral

Wan Ni LAI

Professeur

Asset pricing, portfolio management, financial derivatives

Télécharger le CV
Wan Ni LAI

Académie

Digitalisation

Centre de recherche

Finance & Accounting Insights on Risk and Regulation

Localisation

Sophia Antipolis

Discipline

Finance
Contrats de recherche, prix et distinctions
Prix et distinctions
2023
Faculty Excellence Award for Learning Experience, SKEMA Business School, France
Autres activités de recherche
Supervision de thèses
Depuis 2023
R. TAO, SKEMA Business School, Doctorat, Directeur de thèse
Depuis 2022
S. K. LU, SKEMA Business School, Doctorat, Directeur de thèse
Depuis 2019
L. REINALDO, SKEMA Business School, Doctorat, Directeur de thèse
2025
C. Y.-T. CHEN, Montpellier Business School, Habilitation à diriger les recherches, Membre de jury
2023
K. IDBENJRA, IÉSEG School of Management, Doctorat, Rapporteur
2023
J. FARHAT, SKEMA Business School, Doctorat, Membre de jury

Articles académiques revus

GUENICHE, A., DUPUY, P. et LAI, W.N. (2023). Price contingent and price‑volume contingent portfolio strategies. Journal of Asset Management, 24(3), pp. 173-183.
LAI, W.N., CHEN, C.Y.T. et SUN, E. (2022). Risk factor extraction with quantile regression method. Annals of Operations Research, 316, pp. 1543–1572.
LAI, W.N. (2022). Detecting stock market regimes from option prices. Operations Research Letters, 50(3), pp. 260-267.
LAI, W.N., CHEN, Y.T. et SUN, E. (2021). Comonotonicity and Low Volatility Effect. Annals of Operations Research, 299(1-2), pp. 1057-1099.
GROSLAMBERT, B. et LAI, W.N. (2020). Ranking tail risk across international stock markets. Economics Bulletin, 40(2), pp. 1756-1768.
GROSLAMBERT, B., BASU, D. et LAI, W.N. (2019). Is tail risk the missing link between institutions and risk? Economics Bulletin, 39(2), pp. 1435-1448.
CHEN, Y.T., LAI, W.N. et SUN, E. (2019). Jump Detection and Noise Separation by Singular Wavelet Method for Forecasting with High-Frequency Data. Computational Economics, 54(2), pp. 809-844.
LAI, W.N. (2016). Evaluating the sovereign and household credit risk in Singapore: A contingent claims approach. Research in International Business and Finance, 37(C), pp. 435-447.
LAI, W.N. (2016). Do academic investment insights benefit society? Research in International Business and Finance, 38(C), pp. 172-176.
LAI, W.N. (2012). Faith Matters? A Closer Look at the Performance of Belief-Based Investments. Journal of Asset Management, 13(6), pp. 421-436.
LAI, W.N. (2012). Investors Expectations and Preferences during the Financial Crisis and the Bursting Internet Bubble: Evidence from the Options Markets. Bankers, Markets & Investors, 120(1), pp. 20-35.
LAI, W.N. (2011). Comparison of methods to estimate option implied risk-neutral densities. Quantitative Finance, 14(10), pp. 1839-1855.
GOLTZ, F. et LAI, W.N. (2009). Empirical Properties of Straddle Returns. Journal of Derivatives, 17(1), pp. 38-48.

Présentations dans des conférences

LAI, W.N. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components. Dans: FEBS (International Conference of the Financial Engineering and Banking Society). Nantes.
LAI, W.N. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components. Dans: AFFI (Association Française de Finance) Conference. Cergy.
LAI, W.N. (2011). Comparison of Non-Parametric Methods for Extracting Option Implied Risk-Neutral Distributions. Dans: SGF (Swiss Society for Financial Market Research) Annual Conference. Zurich.
LAI, W.N. (2010). A Tale of Two Crises. Dans: AFFI (Association Française de Finance) Conference. St Malo.