Personal Website:
+44 1865 273524
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research Interests:
I am a DPhil student at the Mathematical and Computational Finance Group at the Mathematical Institute, under the supervision of Prof. Xunyu Zhou and Prof. Hanqing Jin. I received my undergraduate degree in statistics and economics from Peking University. My research interest is risk management in finance and actuarial sciences. I will join the UNSW Business School as a Senior Research Associate.
Teaching:
Michaelmas Term 2014: TA for Stochastic Calculus, Statistics & Financial Data Analysis
Hilary Term 2015: TA for Advanced Financial Data Analysis, Econometrics of Volatility
Michaelmas Term 2015: TA for Stochastic Calculus, Statistics & Financial Data Analysis
Hilary Term 2016: Tutor for Stochastic Volatility, Credit Derivatives, and Commodities
Michaelmas Term 2016: Tutor for Introduction to Statistics
Prizes, Awards, and Scholarships:
I am a student member of the Oxford-Man Institute of Quantitative Finance and the Oxford-Nie Financial Big Data Laboratory.
Major / Recent Publications:
Risk management with weighted VaR, to appear in Mathematical Finance.
Derivatives trading for insurers, (with Xiaole Xue, Chengguo Weng), under review.
Optimal dynamic reinsurance policies under Mean-CVaR - a generalized Denneberg’s absolute deviation principle, (with Ken Seng Tan, Wei Wei, Shengchao Zhuang), under review.
Wikipedia and stock return: Wikipedia usage pattern helps to predict the individual stock movement, (with Ning Wang), Proceedings of the 25th International Conference Companion on World Wide Web (pp. 591-594). International World Wide Web Conferences Steering Committee.
Equilibrium analysis of expected shortfall.
Robust portfolio choice and consumption with derivative trading under stochastic volatility and jumps, (with Yi Zhuang).
How does consumption habit affect the household's demand for life-contingent claims? (with Ken Seng Tan, Shengchao Zhuang).