Welcome to my personal website. I am an associate professor in the College of Economics at Shenzhen University. My research interests are in financial engineering, asset pricing, Fintech and financial econometrics. Some academic research topics include option valuation, risk management, Bayesian learning approach, and particle filtering technology.
Appointment:
2015 – 2019: Assistant professor in Finance (tenured from 2017.4)
2019 – present: Associate professor in Finance
Main doctorial research experience:
(1) Option valuation, risk management & financial econometrics for Tempered Stable Lévy processes and asymmetric GARCH volatility models;
(2) The estimation for stochastic volatility dynamics with jumps; high frequency data analysis; FFT methods;
(3) Non-linear optimization; particle filtering, tracking and Bayesian inference for dynamic state space structure.
(4) Fintech.
Research Interests
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Derivative Pricing and Hedging |
Non-Gaussian Risk Management |
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Quantitative Finance Analysis |
Nonlinear Financial Econometrics |
Skilled Computer Abilities
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MATLAB |
LATEX |
Microsoft Office |
R STATA |
Education Experience
Ph.D., in Management, Southwestern University of Finance and Economics, 2015.
Joint Ph.D., State University of New York at Stony Brook, 2012-2014.
M.A., in Finance, Jiangxi University of Finance and Economics, 2011.
B.A., in Finance and Statistics, Jiangxi University of Finance and Economics, 2008.
