Dr Hanqing Jin
 Dr Hanqing Jin
eMail:
Hanqing [dot] Jin [-at-] maths [dot] ox [dot] ac [dot] uk CV: CV0903-jinh.pdf Phone Number(s):
Reception/Secretary: +44 1865 273525 Office: DH19 Departmental Address:
Mathematical Institute |
Research Interests:
I am a University Lecturer at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance. I obtained a Ph.D degree in Financial Engineering from the Chinese University of Hong Kong, and was then a postdoctoral fellow in the same university. I was an assistant professor in the National University of Singapore in September 2006--Jan 2009. My general interest is in Mathematical Finance, applied stochastic analysis and optimization. My work focuses on the study on portfolio selection (by stochastic control and martingale method) and optimal stopping in financial market. Recently I also worked on behavioural finance and time consistency in portfolio selection models. Major/Recent Publications:
1 M. Dai, H. Jin and H. Liu, "Illiquidity, Position Limits, and Optimal Investment for Mutual Funds", accepted by Journal of Economic Theory, 2011. 2 H. Jin and X. Zhou, "Greed, Leverage, and Potential Losses: A Prospect Theory Perspective"，accepted by Mathematical Finance, 2011. 3 H. Jin, S. Zhang and X. Zhou, "Behavioural Portfolio Selection with Bounded Loss", Acta Mathemica Sinca, (27) pp 255-274, 2011. 4 M. Dai, H. Jin, Y. Zhong and X. Zhou, "Buy Low and Sell High", Contemporary Qunatitative Finance, edited by C. Chiarella and A. Novikov, pp. 317-334, 2010. 5 H. Jin, Z. Jin and G. Yin, "Numerical Methods for Portfolio Selection with Bounded Constraints", Journal of Computational and Applied Mathematics, (233), pp 564-581, 2009. 6 H. Jin and X. Zhou, “Behavioral portfolio selection in continuous time”, Mathematical Finance, (18), pp. 385-426, 2008. 7. H. Jin, H. Markowitz, X. Zhou, “A note on semivariance”, Mathematical Finance, (16), pp. 53-61, 2006. 8 T. Bielecki, H. Jin, S. Pliska and X. Zhou, “Continuous-time mean--variance portfolio selection with bankruptcy prohibition”, Mathematical Finance, (15) , pp. 213-244, 2005. Teaching:
Stochastic Control and Dynamic Asset Allocation (Hilary 2012), Financial Derivatives II (Hilary 2012) |
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