Hong Kong
China
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
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stablecoins, fixed income crypto assets, leveraged return crypto assets, smart contracts
daily rebalancing, leveraged ETFs, market closure, frictions
implied volatility, inverse problem, local volatility, Tikhonov regularization
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
Automated market maker, Decentralized exchange, Dynamic programming
asset pricing, Radner equilibrium, transaction costs, liquidity premia
Optimal investment, Market tightness, Market resilience, Singular control, Asymptotic expansion
High-Frequency Trading, Information Asymmetry, Inventory Management, Imperfect Competition
utility maximization, portfolio selection, transaction costs, concavification principle
portfolio choice, capital gains tax, transaction costs, delayed tax