Personal Web Page
Yifei [dot] Zhong [-at-] maths [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 1865 273525
Direct: +44 1865 283871
24-29 St Giles'
I am a third year DPhil student supervised by Prof Xunyu Zhou and Dr Hanqing Jin in the Mathematical and Computational Finance Group. I completed my BSc in Applied Mathematics at Peking University and my MSc in Financial Mathematics at National University of Singapore. I am also a MCR member at Balliol College and supported by the Clarendon Fund Scholarship.
My research includes optimal stopping problems, applied PDEs and numerical methods. Currently, I focus on the optimal stopping problem with prospect preference.
- M. Dai, H. Liu and Y. Zhong, Optimal consumption and investment with differential long-term and short-term tax rates, 2011 TCW Best Paper Award.
- M. Dai, Y. Zhong and Y.K. Kwok, Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market, (2011), 31(4): 394–406.
- M. Dai, H. Jin, Y. Zhong and X. Zhou, Buy low and sell high, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, edited by Chiarella, Carl and Novikov, Alexander, Springer, 2010, 317-334.
- B. Bian, M. Dai, L. Jiang, Q. Zhang and Y. Zhong, Optimal decision for selling an illiquid stock, accepted for publication in Journal of Optimization Theory and Applications.
- M. Dai and Y. Zhong, Optimal stock selling/buying strategy with reference to the ultimate average, accepted for publication in Mathematical Finance.
- M. Dai and Y. Zhong, Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, (2010), 13(3), 1-31.