Resume
Resume
Academic Appointments
2020.07 - Present, Associate Professor
Center for Financial Engineering, Soochow University
2018.03 - 2020.06, Lecturer
Center for Financial Engineering, Soochow University
2015.01 - 2018.02, Research Fellow
Risk Management Institute, National University of Singapore
Education
Ph.D. in Financial Mathematics, Soochow University, 2014
B.Sc. in Applied Mathematics, Soochow University, 2009
For more, please refer to CV.
Education
For more, please refer to CV.
Research
Research
Research Interest
Financial Engineering, Fintech, Behavioral Finance, Portfolio Selection
Working Papers
- Exhaustible resources with adjustment costs: Spot and futures prices, Operations Research, Reject & Resubmit (with Min Dai, and Steven Kou)
- From Hotelling to Nakamoto: The economic meaning of bitcoin mining, Management Science, Reject & Resubmit (with Min Dai, Wei Jiang, and Steven Kou)
- Portfolio selection with a kth-to-default credit-linked note (with Kangquan Zhi)
- A continuous-exercise model for American call options with hedging constraints (with Xinfu Chen, Xin Lai, and Wanghui Yu)
Working in Progress
- Optimal switching with realization utility (with Yi Ding, and Xiong Xiong)
- Periodic Evaluation with non-concave utility function (Chen Yang, and Harry Zheng)
- Realization utility with rolling mental accounts (with Jing Xu)
- Miners in tokenomics: Dynamic adoption, distribution, and valuation (with Wei Jiang)
Publications
- Dynamic trading with realization utility, Journal of Finance, forthcoming (with Min Dai, and Neng Wang)
- Asymptotic analysis of no-transaction region for two illiquid and correlated stocks, Mathematical Finance, 2022, 32(4):1133–1169. (with Xinfu Chen, Min Dai, and Wei Jiang)
- Realization utility with path-dependent reference points, SIAM Journal on Financial Mathematics, 2022, 13(3):1063–1111. (with Linghui Kong, and Xingye Yue)
- A pricing model of Airbag options with discrete monitoring, Acta Mathematicae Applicatae Sinica, English Series, forthcoming. (with Min Hu, Shuiyi Hu, and Fan Zhou)
- A new weak solution to an optimal stopping problem, Discrete and Continuous Dynamical Systems-Series B, 2020, 25(12): 4823–4837 (with Xinfu Chen)
- On balanced growth path solutions of a knowledge diffusion and growth model, SIAM Journal on Financial Mathematics, 2019, 10(1): 130–155 (with Xinfu Chen)
- Asymptotic behavior of optimal exercise strategy for a small number of executive stock options, Journal of Mathematical Analysis and Applications, 2019, 472(1): 1253–1276 (with Xinfu Chen, Xin Lai, and Wanghui Yu)
- A variational inequality arising from optimal exercise perpetual executive stock options, European Journal of Applied Mathematics, 2018, 29(1): 55–77 (with Xinfu Chen, Xin Lai, and Wanghui Yu)
- Regularity of free boundary arising from optimal exercise of perpetual executive stock options, Interfaces and Free Boundaries, 2015, 17(1): 69–92 (with Xinfu Chen, Xin Lai, and Wanghui Yu)
- Mathematical analysis of a variational inequality modeling perpetual executive stock options, European Journal of Applied Mathematics, 2015, 26(2): 193–213 (with Xin Lai, Xinfu Chen, Mingxin Wang, and Wanghui Yu)
Other Publications in Applied PDEs
- Dynamics of spike in a Keller-Segel’s minimal chemotaxis model, Discrete and Continuous Dynamical Systems-Series A, 2017, 37(2): 1109 –1127 (with Xinfu Chen, Jianghao Hao, Xin Lai, and Yajing Zhang)
- Spectral analysis for stability of bubble steady states of a Keller-Segel’s minimal chemotaxis model, Journal of Mathematical Analysis and Applications, 2017, 446(1): 1105–1132 (with Xinfu Chen, Jianghao Hao, Xin Lai, and Yajing Zhang)
- Existence, uniqueness, and stability of bubble solutions of a chemotaxis model, Discrete and Continuous Dynamical Systems-Series A, 2016, 36(2): 805–832 (with Xinfu Chen, Xin Lai, Mingxin Wang, and Yajing Zhang)
- An eigenvalue problem arising from spiky steady states of a minimal chemotaxis model, Journal of Mathematical Analysis and Applications, 2014, 420(1): 684–704 (with Xinfu Chen, Jianghao Hao, Xin Lai, and Yajing Zhang)
Teaching