+44 1865 273524
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
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.
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.