Preprints
Most code is available on my GitHub repos.
Erhan Bayraktar, Bingyan Han, and Dominykas Norgilas (2024). The McCormick martingale optimal transport.
Erhan Bayraktar and Bingyan Han (2023). Fitted value iteration methods for bicausal optimal transport.
Bingyan Han (2023). Distributionally robust Kalman filtering with volatility uncertainty.
Bingyan Han, Chi Seng Pun, and Hoi Ying Wong (2023). Robust time-inconsistent linear-quadratic stochastic controls: A stochastic differential game approach.
Erhan Bayraktar and Bingyan Han (2023). Equilibrium transport with time-inconsistent costs: An application to matching problems in the job market.
Bingyan Han (2022). Distributionally robust risk evaluation with causality constraint and structural information.
Bingyan Han (2021). Understanding algorithmic collusion with experience replay. [code]
Erhan Bayraktar and Bingyan Han (2023). Existence of Markov equilibrium control in discrete time. SIAM Journal on Financial Mathematics: Short Communication. [doi]
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]