Research

Research Interest:

• Financial Mathematics

• Probability Theory

• Stochastic Control

• Portfolio Management

Research Papers:

• Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

(with Pingping Zeng and Yue Kuen Kwok, 2017, SIAM Journal on Financial Mathematics, 8(1), 804-840.)

• Weak Convergence of Path-Dependent SDEs and Functionals in Pricing Basket CDS with Counterparty Risk and Contagion Risk

(with Qingshuo Song and Harry Zheng, 2017, SIAM J Financial Mathematics 8, 1-27.)

• Regression-Based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees

(with Yue Kuen Kwok, 2016, Quantitative Finance, 16(6), 905-928. [SSRN];[PDF])

• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

(with Yue Kuen Kwok, 2014, Journal of Economic Dynamics and Control 45, 19-43. [SSRN])

Honor and Awards:

• School of Science Research Award for Research Postgraduates, 2012. Picture

• The George K Lee Foundation Scholarships, USD 5000 for each awardee, 2012.

Invited Talks:

• NUS-UTokyo Workshop held in Singapore from 26 to 27 September, 2013.

• 8th World Congress of the Bachelier Finance Society held in Brussels, Belgium from 2 to 6 June, 2014.

• The 5th International Gerber-Shiu Workshop held in Hong Kong from 7 to 8 July, 2014.

• SIAM conference on Financial Mathematics & Engineering held in Chicago, USA from 13 to 15 November, 2014.