Preprints
Most code is available on my GitHub repos.
Erhan Bayraktar and Bingyan Han (2025). Goal-based portfolio selection with mental accounting. [Demo of Free Boundaries]
Erhan Bayraktar, Bingyan Han, and Dominykas Norgilas (2024). The McCormick martingale optimal transport.
Bingyan Han, Chi Seng Pun, and Hoi Ying Wong (2025). Robust time-inconsistent linear-quadratic stochastic controls: A stochastic differential game approach.
Applied Mathematics and Optimization. [Journal Link]
Erhan Bayraktar and Bingyan Han (2025). Fitted value iteration methods for bicausal optimal transport.
Applied Mathematics and Optimization. [Journal Link] [Code]
Erhan Bayraktar and Bingyan Han (2025). Equilibrium transport with time-inconsistent costs.
Mathematics of Operations Research. [Journal Link] [Code]
Bingyan Han (2025). Distributionally robust risk evaluation with a causality constraint and structural information.
Mathematical Finance. [Journal Link] [Code]
Bingyan Han (2025). Distributionally robust Kalman filtering with volatility uncertainty.
IEEE Transactions on Automatic Control. [Journal Link] [Code]
Erhan Bayraktar and Bingyan Han (2023). Existence of Markov equilibrium control in discrete time.
SIAM Journal on Financial Mathematics: Short Communication. [Journal Link]
Bingyan Han (2022). Cooperation between independent market makers.
Quantitative Finance. [Code]
Bingyan Han, Chi Seng Pun, and Hoi Ying Wong (2022). Robust time-inconsistent stochastic linear-quadratic control with drift disturbance.
Applied Mathematics and Optimization. [SSRN]
Jie Yin, Bingyan Han, and Hoi Ying Wong (2022). COVID-19 and credit risk: A long memory perspective.
Insurance: Mathematics and Economics.
Bingyan Han and Hoi Ying Wong (2021). Time-inconsistency with rough volatility.
SIAM Journal on Financial Mathematics. [arXiv]
Bingyan Han and Hoi Ying Wong (2021). Robust control in a rough environment.
Quantitative Finance.
Bingyan Han, Chi Seng Pun, and Hoi Ying Wong (2021). Robust state-dependent mean-variance portfolio selection: a closed-loop approach.
Finance and Stochastics. [SSRN]
Tingjin Yan, Bingyan Han, Chi Seng Pun, and Hoi Ying Wong (2020). Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility.
Mathematics and Financial Economics.
Bingyan Han and Hoi Ying Wong (2020). Merton's portfolio problem under Volterra Heston model.
Finance Research Letters. [arXiv]
Bingyan Han and Hoi Ying Wong (2020). Mean-variance portfolio selection under Volterra Heston model.
Applied Mathematics and Optimization. [arXiv]
Bingyan Han and Hoi Ying Wong (2019). Optimal investment and consumption problems under correlation ambiguity.
IMA Journal of Management Mathematics.
Conferences
Bingyan Han (2022). Can maker-taker fees prevent algorithmic cooperation in market making?
3rd ACM International Conference on AI in Finance.
Unpublished Manuscript
Bingyan Han and Hoi Ying Wong (2018). Time-consistent mean-variance reinsurance-investment problems under unbounded random parameters: BSDE and uniqueness. [SSRN]