Doctoral Students
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Xiangwei Wan,
Graduation year: 2010,
Dissertation title: "A Study of Convertible Bond: Optimal
Strategies and Pricing",
First position:
Assistant Professor,
Antai College of Economics and Management, Shanghai Jiao Tong University.
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Zhengyu Huang,
Graduation year: 2012,
Dissertation title: "Exact Simulation and Importance Sampling of Diffusion Processes",
First position: Quantitative Analyst, Shanghai Long Life Investment Co., Ltd.
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Yanchu Liu,
Graduation year: 2012,
Dissertation title: " Monte Carlo Simulation in Risk Estimation",
First position:
Assistant Professor, Lingnan (University) College, Sun Yat-sen University.
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Nian Yang,
Graduation year: 2013,
Dissertation title: "Computational Issues of Stochastic-Alpha-Beta-Rho (SABR) Model",
First position:
Assistant Professor, Department of Finance and Insurance, School of
Business, Nanjing University.
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Wei Yu,
Graduation year: 2014,
Dissertation title: "A Supersolution/Subsolution-Based
Iteration Approach for SDP and RSDP",
First position: Quantitative Researcher, WorldQuant, LLC.
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Xin Liu,
Graduation year: 2015,
Dissertation title: "An Optimization View of Financial Systemic Risk",
First position: Assistant Professor, Department of Finance, Business School, Yangzhou University.
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Yiwei Wang,
Graduation year: 2017,
Dissertation title: "Simulation and Estimation from Characteristic Functions",
First position: Lecturer, School of Economics and Management, Southeast University.
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Yan Wang,
Graduation year: 2018,
Dissertation title: "Transitory Behaviors of Large Population Game,"
First position:
OTC Option Department, CITIC Securities Capital Management, Shanghai, China.
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Jing Chen,
Graduation year: 2018,
Dissertation title: "Leverage Constraint, Market Liquidity, and Systemic Fragility",
First position:
Senior AI Algorithm Engineer, KUAYUE-EXPRESS, Shenzhen, China.
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Xiang Ma,
Graduation year: 2019,
Dissertation title: "Two Problems in Stochastic Control: A Dual Based Approach with Information Relaxation and Optimal Spread Crossing in A Limit Order Book Market",
First position: Quantitative Researcher, High-Flyer Quant, Hangzhou, China.
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Yueting Hu,
Graduation year: 2020,
Dissertation title: "Approximate Likelihood Estimators for Discretely Observed Jump-Diffusions",
First position: Quantitative Researcher, Pinpoint, Shanghai, China.
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Jiahui Ji,
Graduation year: 2021,
Dissertation title: "Liquidity, Debt Overhang, and Investment",
First position: Quantitative Researcher, WorldQuant, Shanghai, China.
Post-doctoral Fellows
Awards Received by Supervised Students
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Xin Liu.
Finalist (top 5), Best Student Research Paper
Competition, Section of Financial Service, INFORMS, 2015.
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Xin Liu.
Second Place Prize, Best Student Research
Paper Competition, The 3rd Asian Quantitative Finance
Conference, 2015.
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Xiangwei
Wan. Second Place Prize,
Best Student Research Paper
Competition, Section of Financial
Service, INFORMS, 2010.
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Xiangwei Wan.
Outstanding Thesis Award, Faculty of Engineering, The
Chinese University of Hong Kong, 2010.
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Jing Chen.
上海證券交易所證券信息技術研究發展中心2021年度行業共研課題三等獎, 2021.