I am currently a term Assistant Professor in the Department of Statistics at Columbia University. I received my PhD degree from the University of Michigan in 2015, under the supervision of Prof. Erhan Bayraktar.
Here is my CV.
- Mathematical finance, stochastic control, stochastic analysis, applied probability.
- Stats GU4264/GR5265 (G6501) Stochastic Processes-Applications I, Fall 2015, Spring 2016, Fall 2017.
- Stats GU4265/GR5265 (G6505) Stochastic Methods in Finance, Spring 2016, Fall 2016, Spring 2017.
- Stats GU4281 Theory of Interest, Spring 2017, Fall 2017.
Publications and Preprints
- A Mean Field Competition, (with Marcel Nutz), preprint, 2017. [ArXiv], [SSRN].
- A Rank-Based Mean Field Game in the Strong Formulation, (with Erhan Bayraktar), Electronic Communications in Probability, 21, paper no. 72, 1-12, 2016. [ArXiv], [SSRN], [Article].
- Lifetime Ruin Under Uncertain Hazard Rate, (with Virginia R. Young), Insurance: Mathematics and Economics, 70, 125-134, 2016. [SSRN], [Article].
- Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty, (with Erhan Bayraktar), Mathematics of Operations Research, 41(3), 1039-1054, 2016. [ArXiv], [SSRN], [Article].
- Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs, (with Erhan Bayraktar), SIAM Journal on Control and Optimization, 53(1), 91-113, 2015. [ArXiv], [SSRN], [Article].
- Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion, (with Erhan Bayraktar), SIAM Journal on Control and Optimization, 53(1), 58-90, 2015. [ArXiv], [SSRN], [Article].
- A note on the Fundamental Theorem of Asset Pricing under model uncertainty, (with Erhan Bayraktar and Zhou Zhou), Risks, 2(4), 425-433, 2014. [ArXiv], [SSRN], [Article].
- PhD Thesis: Problems in Mathematical Finance Related to Transaction Costs and Model Uncertainty. [Deep Blue]
- NSF Grant in Applied Mathematics, DMS-1714607, 2017-2020 (sole PI).
- SIAG/FME Conference Paper Prize, 2016.
- SIAM Student Travel Award, 2014.
- Rackham International Student Fellowship, University of Michigan, Spring/Summer 2012.
- Hong Kong Jockey Club Scholar, 2008.
- Admission scholarship covering four-year tuition and living expenses, CUHK, 2006.