Prof. Hanqing Jin
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Stochastic Calculus (Michaelmas 2018--2020), Stochastic Control (Hilary 2020), Information Theory (Hilary 2021)
M. Dai, H. Jin, S. Kou and Y. Xu "A Dynamic Mean-Variance Analysis for Log Returns", accepted by Management Sciences, 2020.
Y.Hu, H. Jin, and X.Zhou, “Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium”, SIAM Journal on Control and Optimization 55.2: 1261-1279, 2017.
X.He, H.Jin and X.Zhou, "Dynamic Portfolio Choice when Risk Is Measured by Weighted VaR", Mathematics of Operations Research 40, pp. 773-796, 2015
H. Jin and X. Zhou, “Behavioral portfolio selection in continuous time”, Mathematical Finance, (18), pp. 385-426, 2008.
I am an Associate Professor at the Mathematical Institute and the director of Oxford-Nie Financial Big Data Laboratory. 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, behavioural finance, applied stochastic analysis, optimization, financial big data. My work focuses on the study on portfolio selection and optimal stopping without time consistency in financial market. Recently I also worked on token economics and mathematical problems in blockchain technology.