Welcome to Ning Cai's Homepage

Ning Cai Ph.D. candidate,  Department of Industrial Engineering and Operations Research,  Columbia University Mailing address: 503 West 121 Street 53-D                           New York, NY 10027 Email:  nc2118@columbia.edu

　

EDUCATION

2003 - present	Columbia University, Department of Industrial Engineering and Operations Research
	Ph.D. (expected 05/2008) Major: Operations Research.  Advisor: Steven Kou
	M.S. (05/2005) Major: Operations Research
2000 - 2003	Peking University, School of Mathematical Sciences
	M.S. Major: Probability and Statistics
1996 - 2000	Peking University, School of Mathematical Sciences
	B.S. Major: Probability and Statistics

RESEARCH INTEREST

Financial engineering
 -- Asset pricing, electricity derivatives pricing, computational finance
 -- Jump diffusion models for asset pricing, modeling electricity market
 -- Numerical inversion of Laplace transform

Quantitative finance and economics of energy market

Applied probability in operations research and finance.

AWARD

-- The Second Place of the Best Student Research Paper Award. Financial Services
Section. The Institute for Operations Research and the Management Sciences (INFORMS) 2007.
　

SUBMITTED PAPERS AND PREPRINTS

N. Cai and S. G. Kou. (2007). Option Pricing under a Hyper-Exponential Jump Diffusion Model. Submitted.

N. Cai and S. G. Kou. (2007). Pricing Asian Options via a Double-Laplace Transform. Submitted. 

J. R. Birge, Ning Cai and S. G. Kou. A Model for Electricity Spot and Futures Prices.  Preprint.

N. Cai. Numerical Pricing of alpha-quantile Options via Laplace Transform. Preprint.

N. Cai. On First Passage Times of a Hyper-Exponential Jump Diffusion Process. Preprint.

N. Cai, S. G. Kou and Z. Liu. Two-sided Euler Inversion Algorithm with a Shift Parameter. Preprint.

WORKING IN PROGRESS

N. Cai and N. Chen. Double Barrier Option Pricing under a Hyper-Exponential Jump Diffusion Model.

N. Cai and S. G. Kou. Occupation Time of a Jump Diffusion Process.  

PRESENTATION

Pricing Asian Options via a Double-Laplace Transform
 -- INFORMS Annual Meeting
    Pittsburgh, PA 2006.
 -- Applied Probability INFORMS Conference
    Eindhoven,  The Netherlands,2007.
 -- Financial Engineering Summer Informal Seminar 
    Dept. of IEOR, Columbia University, 2007.

Option Pricing under a Hyper-Exponential Jump Diffusion Model
 -- Financial Engineering Summer Informal Seminar
    Dept. of IEOR, Columbia University, 2007.
 -- INFORMS Annual Meeting
    Seattle, WA 2007.

Undergraduate Level
 -- Teaching Assistant, Introduction to Operations Research: Stochastic Models
    Spring 2004
 -- Teaching Assistant, Introduction to Probability and Statistics
    Spring 2004
 -- Teaching Assistant, Introduction to Statistical Inference
    Spring 2004 

Masters Level
 -- Teaching Assistant, Engineering of Management I
    Fall 2003
 -- Teaching Assistant, Financial Engineering II
    Fall 2006
 -- CVN Course Manager, Financial Engineering II
    Spring, Summer and Fall 2007
　

Ph. D. Level
 -- Teaching Assistant, Optimization I (Qualifying course)
    Fall 2004
 -- Teaching Assistant, Stochastic Modeling II (Qualifying course)
    Spring 2005

Membership
 -- The Institute for Operations Research and the Management Sciences (INFORMS)

Journal Referee
 -- Mathematical Finance
 -- Quantitative Finance