Research Areas

Financial Engineering and Financial Technology

 

Education

PhD in Financial Engineering, Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong.

MSc and BSc in Statistics, Department of Statistics and Finance, University of Science and Technology of China.

 

Professional Experiences

2018.12 - present, Assistant Dean, Lingnan (University) College, Sun Yat-sen University, Guangzhou, PRC.

2018.04 - present, Associate Professor of Finance, Lingnan (University) College, Sun Yat-sen University, Guangzhou, PRC.

2014.07 - 2018.04, Assistant Professor of Finance, Lingnan (University) College, Sun Yat-sen University, Guangzhou, PRC.

2013.11 - 2014.01, Postdoctoral Fellow, Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong.

2013.02 - 2013.07, Postdoctoral Fellow, Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong

 

Selected Publications:

 

American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach, 

with Nan Chen, Operations Research, 62 (3), 616-632. (2014) (UTD24, FT50)

 

On the Variance of Single-Run Unbiased Stochastic Derivative Estimators, 

with Zhenyu Cui, Michael Fu, Jianqiang Hu, Yijie Peng and Lingjiong Zhu, INFORMS Journal on Computing, 32 (2), 390-407. (2020) (UTD24)

 

Robust Upper Bounds for American Put Options, 

with Ye Du and Shan Xue, Journal of Futures Markets, 39 (1), 3-14. (2019) (Lead Article)

 

Single Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes, 

with Zhenyu Cui and Chihoon Lee, European Journal of Operational Research, 266 (3), 1134-1139. (2018).

 

Dynamic Anaysis on Counterparty Exposures and Netting Efficiency of Central Counterparty Clearing,

with Lijun Bo and Tingting Zhang, Quantitative Finance, conditionally accepted. (2020)

 

Can Network Structure Predict Cross-Sectional Stock Returns? Evidence from Co-attention Based Networks in China.

with Xi Chen, Wuyue Shangguan and Shichao Wang, Finance Research Letters, forthcoming. (2020)

 

Value of Inventory Pooling with Limited Demand Information and Risk Aversion,

with Weili Xue, Lijun Ma, and Meiyan Lin, Decision Sciences, forthcoming. (2020)

 

Optimal Procurement Strategies for Contractual Assembly Systems with Fluctuant Procurement Price,

with Yi Yang, Jianan Wang, Zhiyuan Chen and Frank Youhua Chen, Annals of Operations Research, forthcoming. (2020)

 

Dynamic Risk-Sharing Game and Reinsurance Contract Design,

with Shumin Chen and Chengguo Weng, Insurance: Mathematics and Economics, 86, 216-231. (2019)

 

Vertical Merger, R&D Collaboration, and Innovation,

with Kaiguo Zhou and Runyu Yan, European Journal of Finance, 25 (14), 1289-1308. (2019)

 

Risk Measures for Variable Annuities: a Hermite Series Expansion Approach,

with Zhenyu Cui, Jinhyoung Kim and Guanghua Lian, Journal of Management Science and Engineering, 4, 119-141. (2019)

Approximate Arbitrage-Free Option Pricing under the SABR Model, 

with Nian Yang, Nan Chen, and Xiangwei Wan, Journal of Economic Dynamics and Control, 83, 198-214. (2017)

 

Index Futures Trading and Spot Volatility in China: a Semi-Parametric Approach with Range-Based Proxies,

with Na Tan, Yulei Peng, and Zhewen Pan, Journal of Futures Markets, 37, 1003-1030.  (2017)

 

Integral Representation of Vega for American Put Options, 

with Zhenyu Cui and Ning Zhang, Finance Research Letters, 19, 204-208. (2016)

 

Pricing Continuously Monitored Barrier Options under the SABR Model: a Closed-Form Approximaiton,

with Nian Yang and Zhenyu Cui, Journal of Management Science and Engineering, 2, 116-131. (2017) 

 

The Substitutability of Non-Fossil Energy, Potential Carbon Emission Reduction and Energy Shadow Prices in China, 

with Hualin Xie, Yanni Yu, and Wei Wang, Energy Policy, 107, 63-71. (2017)

 

The Energy Rebound Effects across China's Industrial Sectors: an Output Distance Function Approach, 

with Ke Li and Ning Zhang, Applied Energy, 184, 1165-1175. (2016)

 

Environmental Catching-Up, Eco-Innovation, and Technological Leadership in China's Pilot Ecological Civilization Zones, 

with Yanni Yu, Wenjie Wu, and Tao Zhang, Technological Forecasting & Social Change, 112, 228-236. (2016)

 

Raising Capital for the Family Firm for Sustainability: Whence the Advantage?

with Dong Xiang, Yuming Zhang, and Andrew Worthington, Technoogical Forecasting & Social Change, forthcoming. (2020)

 

A Variant of L^#-Convexity and Its Application to Inventory Models with Batch Ordering, 

with Zhiyuan Chen, Yi Yang, and Yun Zhou, Asia-Pacific Journal of Operational Research, 31(6), 1-16. (2014)

 

Network Analysis to Uncover Stock Comovement from a Chinese Financial Portal, 

with Wuyue Shangguan, Xi Chen, and Alvin Chung Man Leung, Pacific Asia Conference on Information Systems (PACIS) 2016 Proceedings, 302. (2016)

 

Sensitivity Estimation of SABR Model via Derivative of Random Variables, 

with Nan Chen, Proceedings of the 2011 Winter Simulation Conference, 3871-3881. (2011)

 

Research Grants

National Natural Science Foundation of China: "Research on the Calculation of Hedging Parameters of American Option Risk Based on Simulation Methods," Grant No.71501196, 2016-2018

Fundamental Research Funds for the Universities: "Study on the Pricing Mechanism and Functioning of China's Financial Derivatives Market," Grant No.19wkzd11, 2019-2020

 

Current Research

Simulation-Based Asset Pricing and Risk Management;

Financial Technology;

Analytical Approximation Methods in Financial Engineering;

Empirical Asset Pricing with Machine Learning Methods; 

Systemic Risk Assessment and Mitigation Methods.

 

Teaching

PhD Course: Behavior Finance, Empirical Asset Pricing, Frontiers of Financial Theory, Academic Essays Writing;

MSc Course: Financial Derivatives, Behavior Finance, Investments;

Undergraduate Course: Financial Engineering, Introduction to Financial Technolgoy;

MBA Course: Financial Technology, Behavior Finance, Practice of Financial Derivatives;

EMBA Course: Advanced Financial Management;

EDP Course: Blockchains with applications, Financial Technology.