Shatin, N.T.
Hong Kong
The Chinese University of Hong Kong (CUHK) - Department of Statistics
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Option Pricing, Mean Reversion, Stochastic Volatility
Turbo Warrants, Stochastic Volatility, Local Volatility, Implied Volatility
Credit Risk, Jump-Diffusion, Quasi-Bayesian, Maximum Likelihood
option pricing, Fast Fourier transform, Levy processes, numerical algorithms
American Option, General Diffusion Process, Homotopy Analysis Method
Investment analysis; High-dimensional portfolio selection; Dynamic mean-variance portfolio; $\ell_1$ minimization; Sparse portfolio
Currency Options, Path Dependent Options, Mean Reversion
Machine learning, Explainable methods for black box, limit order book, deep learning, Chinese A-share market
Currency Option, Mean Reversion, Multiscale Stochastic Volatility, Implied Volatility
Deep-Learning, Neural Network, High-dimensionality, Portfolio Optimization, Utility Maximization, GARCH, Monte Carlo Simulation
Financial Thought Experiment, GAN, Portfolio Selection
Corporate bond pricing, credit risk, maximum likelihood estimation, structural models, systematic bias
Default barrier, Bankruptcy prediction, Maximum likelihood estimation
Reduced-form model, Regime Switching, Corporate bonds
Ambiguous correlation, G-Brownian motion, Hamilton-Jacobi-Bellman-Isaacs equation, Stochastic volatility
voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information
Regime-switching, Mean-variance, Time-inconsistency
Dynamics Fund Protection, Constant Elasticity of Variance, Option Pricing, Laplace Transform
High-Dimensional Portfolio Selection, Continuous-Time Mean-Variance Portfolio, Constant-Rebalancing Portfolio, Machine Learning, Constrained $\ell_1$ Minimization, Sparse Portfolio
Mean-variance portfolio, Pairs trading, Stochastic delay differential equation, Time inconsistency
Investment and Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Model Uncertainty, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Stochastic Factor
Closed-loop control, robust mean--variance portfolio selection, state-dependence, time-inconsistency, model uncertainty
Stochastic Linear-Quadratic Control, Robustness, Model Uncertainty, Time-Inconsistent Cost Function, Forward-Backward Stochastic Differential Equation
Inflation and stock ambiguity, Retirement, Consumption–investment, Life insurance, Robust optimization, Optimal G-stopping time
consumption habit, singular control, model ambiguity, robust optimization, duality theory, optimal G-stopping time, reflected G-BSDEs
return ambiguity in primal, volatility ambiguity in dual, consumption-investment problem, dual approach, $G$-expectation, sparse portfolio, least exposure to ambiguity
Reinsurance-investment problem; time-inconsistency; backward stochastic differential equation (BSDE); mean-variance; Ornstein-Uhlenbeck (OU) process; constant elasticity of variance (CEV) process.
return ambiguity in primal, risk ambiguity in dual, retirement, G-stopping time, consumption-investment, robust strategy
Mean-variance portfolio, Error correction representation, Functional Ito's calculus, Path-dependent effect
High-Dimensional Portfolio, Merton's Problem, Expected Utility Maximization, Constrained $\ell_1-$Minimization, Dantzig Selector, Sparsity
LASSO, High-Dimensional Regression, Portfolio Optimization, Mean-Variance, Monte Carlo Simultaion
Mean-Variance Portfolio, Open-Loop Stochastic Control, Stochastic Volatility Model, Time Inconsistency
OR in health services, COVID-19, Pandemic, Stochastic SIRD Model, Google Mobility Indices, Stochastic Controls, Deep Learning
Pricing, Variance Swap, Multi-factor Stochastic Volatility, Mean Reversion, Jump Diffusion
Rough volatility, Option pricing, Two-factor SV model, S&P 500 and VIX joint modeling
optimal investment and consumption, subsistence consumption, stochastic volatility, asymptotic optimality, perturbation
Sustainable finance, Dynamic cash management, Fiscal stimulus, Green Tobin's q, Finite-fuel control
Stochastic mortality, Long-range dependence, Affine Volterra processes, Valuation, Mean-variance hedging
Investment and reinsurance, Mixture of power utilities, Hamilton-Jacobi-Bellman-Isaacs equation, Multiscale stochastic volatility, Perturbation methods
Impulse Control, G-Expectation, G-Brownian Motion, Quasi-variational Inequalities, Robust Inventory Control, Ambiguous Volatility
CEV model, American options, Partial differential equation, Perturbation technique
Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities
Turbo Warrants, Jump Diffusion, Volatility Smile
