Biography
Research Interest
My main research areas are in finance and related fields. I am particularly interested in the mathematical/statistical modeling of financial/economic problems and using both analytical and quantitative methods to study the problem from financial decision maker’s point of view. Topics I have been recently working with include option pricing, credit risk analysis, interest rate modeling and derivatives, and valuation of mortgages.
Academic Appointment
Associate Professor
Department of Mathematical Sicences
Xian Jiaotong Liverpool University
2010-present
UNIDEL Postdoctoral Researcher
Department of Mathematical Sciences
University of Delaware
2007-2009
Teaching Fellow
Department of Mathematical Sciences
University of Pittsburgh
2004-2007
Teaching Assistant
Department of Mathematical Sciences
University of Pittsburgh
2002-2003
Referred Publications
Characterization of the American Put Option Using Convexity, Accepted by Applied Mathematical Finance (2010), (with David Edwards, Gilberto Schleiniger, and Qinghua Zhu).
An Asymptotic Method to a Financial Optimization Problem, Advances in Machine Learning and Data Analysis, S. Ao, et al., eds. New York: Springer (2009), 79-94
Theoretical and Numerical Analysis to Callable Bonds, International Journal of Business and Finance Research，vol 3 N2 (2009)
Fixed Rate Mortgage Contract: A Closed Form Approximation, International Journal of Applied Mathematics, 1 (2009), 16-25
A PDE Approximation Approach for Pricing American Put Option, Far East Journal of Applied Mathematics, 33 (2008), 411-423
Numerical Valuation of Fixed Rate Mortgages, International Journal of Applied Mathematics, 38 (2008), 89-98
Parametric Estimation for Treasury Bills, International Research Journal of Financial Economics, 17 (2008), 27-32
Optimal Payment of Mortgages, European Journal of Applied Mathematics, 18 (2007), 363-388, (with Xinfu Chen and John Chadam)
Presentations and Invited Talks
Stochastic Modeling of Managerial Information Processing, 2010, IAENG, Hong Kong
A PDE Approximation Approach to the Valuationn of American Put Option, 2009, AMS Southeastern Section Meeting on Numerical Methods and Application of Partial Differential Equations
Integral Equation Approach to Financial Option Pricing Problems, 2008, University of Sydney
An Integral Equation Approach to a Free Boundary Problem Arising from Mortgage Valuation,2008, SIAM Conference on Financial Math and Engineering, New Jersey
Innovative Financial Services in Commercial Banking Industry, 2008, University of Pennsylvania
Numerical Solution to a Free Boundary Problem Arising from Mortgage Valuation, 2007, World Congress of Engineering and Computer Science, San Francisco N
Numerical Methods to a Mortgage Valuation Problem, 2007, CUNY Baruch College
A Newton’s Iterative Scheme for Pricing FRMs, 2007, Kent-Purdue Minisymposium on Financial Mathematics
Optimal Strategy of Prepayment of Mortgages, 2007, Carnegie Mellon University
Maximum Likelihood Parameter Estimation for Spot Interest Rate Structure, 2006, University of Pittsburgh
Monte Carlo Simulations for Interest Rate Models, 2005, University of Pittsburgh
Awards Honors and Scholarly Fundings
Best Paper Award, IAENG Conference on Industrial Engingeering, HK, 2010
UNIDEL Postdoctoral Research Grant, University of Delaware, 2007-2009
University Teaching Fellowship, University of Pittsburgh, 2004-2007
NSF Graduate Research Grant, University of Pittsburgh, 2005-2007
Graduate Conference Grant, University of Pittsburgh, 2006
Katz Graduate Scholarship, Jesoph Katz Graduate School of Business, 2002
Best Performance Award, Katz Portfolio Management Contest, 2002
Professional Services Advisement and Activities
ICINDE Session Chair, IAENG Conference, 2010
Reviewer, WMSCI International Informatics and Systemics, 2010
Reviewer, Journal of Quantitative Finance, 2009
Referee, Journal of Digital Information Management, 2009
Symposium Co-organizer, SIAM Conference on Financial Math and Engineering, 2008
Referee, the Electronic Journal of Differential Equations, 2008
