+44 1865 280614
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
ISBN-13: 9780387987231 (1 January 1999)
Hope, fear, and aspirations
Mathematical Finance issue 1 volume 26 page 3-50 (21 June 2013)
Existence of solutions to a class of indefinite stochastic Riccati equations
SIAM Journal on Control and Optimization issue 1 volume 51 page 221-229 (17 April 2013)
A mean-field stochastic maximum principle via Malliavin calculus
Stochastics issue 5-6 volume 84 page 643-666 (1 October 2012)
Greed, leverage, and potential losses: A prospect theory perspective
Mathematical Finance (2012)
Time-Inconsistent Stochastic Linear--Quadratic Control
SIAM Journal on Control and Optimization volume 50 page 1548-1572 (2012) Full text available
I am the Nomura Chair of Mathematical Finance and Director of the Nomura Centre for Mathematical Finance. Prior to joining Oxford I was Chair of Systems Engineering and Engineering Management at Chinese University of Hong Kong. I am a Fellow of IEEE and a winner of the SIAM Outstanding Paper Prize. I obtained Ph.D. in Fudan University in 1989, and have worked in Kobe University and University of Toronto.
My general research interests are in quantitative finance, stochastic control, and applied probability, while I am recently engaged in the mathematical behavioral finance research.
For more information please visit my webpage.