For UW students interested in Real Financial Data projects in Financial Machine Learning and/or Financial Data Mining, please feel free to reach me at; the supervision will be under both me and Director Tim Leung. For other members of Women in Machine Learning, I specialize at Bayesian Structural Time Series and I provide mentorship on Financial Machine Learning and Financial Data Mining.

About Me:

I am currently a PhD candidate at University of California, Santa Barbara, under the supervision of Distinguished Professor Jean-Pierre Fouque. I hold a M.A. in Statistics from University of California, Santa Barbara, a M.S. in Mathematical Finance from University of Southern California, and a B.S. in Mathematics from the China Math Base at Shandong University. 

Summer 2018, I will work as Visiting Assistant Professor at the Dept. of Statistics and Applied Probability, UCSB. From Fall 2018, I will work as (Postdoctoral) Research Associate in the Dept. of Applied Math at the Univ. of Washington, Seattle (U.S.News 2018 ranking #11). I have reduced teaching load and will solely teach in the master program ofComputational Finance & Risk Management(2018 QuantNet Ranking #11), which has extremely high employment rate at graduation (95%) and average starting salary ($86,500). My department service would be CFRM M.S. program Admission (Information Session, Candidates Selection and Skype Interview). 

More pictures can be seen on my Instagram 

Recent News:

05/2019 -- SIAM Workshop on Network Science, Snowbird, Utah

05/2019 -- SIAM Conference on Applications of Dynamical SystemsSnowbird, Utah

02/2019 -- SIAM Conference on Computational Science and EngineeringSpokane, Washington

01/2019 -- American Finance Association annual meeting, Atlanta, Georgia.

01/2019-03/2019 -- Instructor of CFRM 550 (Stochastic Calculus for Derivatives)CFRM 410 (Probability and Statistics for Computational Finance), UW Seattle 

10/2018 -- Invited talk at the Math SeminarThe Graduate Center, CUNY

09/2018-12/2018 -- Instructor of CFRM 504 (Options and Other Derivatives), UW Seattle

08/2018-09/2018 -- Instructor of PSTAT 120B (Probability and Statistics), UCSB

06/2018 -- Graduate Summer School: Mean Field Games and Applications (Partially Attend)

05/2018 -- I successfully defensed my PhD 
Thesis Title: Topics in Financial Math (Uncertain Volatility, Ross Recovery and Mean Field Games on Random Graph) 
05/2018 -- Short talk & Poster at the 2018 Seminar on Stochastic Processes, Brown University (Travel Fund) Topic: Some Results of Mean Field Games on the Erdos-Renyi Random Graph
05/2018 -- Member of Women in Machine Learning, I specialize at Bayesian Structural Time Series Model and I provide mentorship on Financial Machine Learning and Financial Data Mining.
05/2018 -- Invited talk at the Applied Math Seminar, Univ. of Washington, Seattle. Topic: Bayesian Structural Time Series Model and its Applications on Finance
05/2018 -- Graduate Fellowship from PSTAT Department as Research Travel Grant
04/2018 -- Talk at the 2018 Finger Lakes Probability Seminar, University of Rochester. Topic: Large Degree Asymptotics and the Reconstruction Threshold of Multiple Mutations Channel, with relation to Neural Network in Machine Learning (Travel Fund)
04/2018 -- Invited talk at the Math SeminarThe Graduate Center, CUNY. Topic: Multivariate Bayesian Structural Time Series Model
04/2018 -- Invited talk at the Math Seminar, Farmingdale State College, SUNY. Topic: Financial Machine Learning != Machine Learning on Finance: Challenges & Strategies

Research Interests:

Probability, Financial Mathematics, Statistics, Financial Machine Learning and Financial Data Mining

Random Graph, Mean Field Games, Nonlinear Option Pricing, Systemic Risk, Weakly Interacting Particle Systems (LLN, CLT, LDP), Reconstruction on Network, Bayesian Analysis, Bayesian Structural Time Series, Nonlinear Dynamical System, Text Data Mining, Feature Selection and Dimension Reduction, Deep Learning, Reinforcement Learning.

Finance, Data Science, Physics, Economics, Biology, Psychology and Social Science

(Please refer to my "Publications" and "FinTech" pages for details.)


My Collaborators (in alphabetical order):

Peter Carr (Department Chair, Finance and Risk Engineering, Tandon School of Engineering, NYU)

Jean-Pierre Fouque (Distinguished Professor, UCSB)

Sreenivasa Rao Jammalamadaka (Distinguished Professor, UCSB)

Tim Leung (Tenured Associate Professor, UW Seattle)

Wenjian Liu (Tenure Track Assistant Professor, CUNY)

Matt Lorig (Tenured Associate Professor, UW Seattle)

Jinwen Qiu (PhD Candidate, UCSB)

Yuzhao Zhang (Tenure Track Assistant Professor, Rutgers)