Shatin, New Territories
Hong Kong
The Chinese University of Hong Kong
Diffusions, Jumps, Markov Chain, Non-Uniform Grids, Convergence Rate, Smooth Convergence, Extrapolation, Spectral Representation, Non-Smooth Payoffs
market making, algorithmic trading, options, deep learning, Hawkes process
Default risk; Distance to default; Stress testing; Credit default swap; Credit rating
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default risk, distance to default (DTD), stress testing, credit default swap (CDS), credit rating
diffusions, subordination, Markov chain approximation, finite difference, spectral representation, convergence rate, European and barrier options, non-smooth payoffs, smoothing techniques
drawdown, drawdown derivatives, drawdown constraint, Markov chain approximation
optimal stopping, American options, eigenfunction expansions
first passage times, barrier options, diffusions, Bochner's subordination,eigenfunction expansions
time dependency, time change, Bochner's subordination, additive subordination,diffusions, jumps, derivative pricing, spread options
reinforcement learning, optimal execution, stochastic control, actor-critic method, finite-time error analysis, convergence analysis
optimal switching and optimal multiple stopping, diffusions and subordinate diffusions, eigenfunction expansions, interest-rate chooser flexible caps/floors, commodity swing options, real options.
jump processes, option pricing, time change, finite difference, matrix eigendecomposition
Basic Affine Jump Diffusion, subordination, transition density
Markov chain approximation; non-smooth coefficients; error analysis
electricity spot prices, electricity futures and futures options, spikes, mean-reversion, seasonality, stochastic time change, Laplace transform
interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes
Hilbert Transform, Sinc Expansion, Levy Processes, Barrier Options, Credit Risk, Survival Probability
drawdown, optimal stopping, Russian options, American lookback options, Markov chain approximation, Laplace transform, variational inequality, linear complementarity problem.
Speed of drawdown, duration of drawdown, general Markov models, CTMC, option pricing.
reinforcement learning, actor-critic, mean-variance, portfolio selection, partial information, regime-switching, Wonham's filter
hedging, deep learning, basket options, resampling, bootstrap
Diffusion models, nonsmooth coefficients, convergence rate, finite difference, grid design
Commodity derivatives, Additive processes, Time change Ornstein-Uhlenbeck, Time-dependent and mean-reverting jumps, Eigenfunction expansions
commodity derivatives, mean-reverting jumps, eigenfunction expansion
