I am currently a PhD candidate at University of California, Santa Barbara, under the supervision of Distinguished Professor JeanPierre 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. I am a member of Society for Industrial and Applied Mathematics (SIAG on Financial Mathematics and Engineering, SIAG on Data Mining and Analytics), Bachelier Finance Society, American Finance Association, American Economics Association, Western Finance Association, American Mathematical Society, Women in Probability.
Based on my academic background, I have a broad range of research interests: Probability, Financial Mathematics, Statistics and Big Data Random Graph, Mean Field Games, Fractional Brownian Motion, Nonlinear Option Pricing, Systemic Risk, Reconstruction on dary Tree, Bayesian Analysis, Bayesian Time Series, Nonlinear Dynamic System. Applications Finance,
Data Science, Physics, Economics, Biology, Psychology and Social Science
(Please refer to my "Publications" and "Big Data" pages for details.)
I am proud of having the following collaborators (in alphabetical order): Peter Carr (Department Chair, Finance and Risk Engineering, Tandon School of Engineering, NYU) JeanPierre Fouque (Distinguished Professor, UCSB) Sreenivasa Rao Jammalamadaka (Distinguished Professor, UCSB) Wenjian Liu (Tenure Track Assistant Professor, CUNY) Jinwen Qiu (PhD Candidate, UCSB) Yuzhao Zhang (Tenure Track Assistant Professor, Rutgers)
I am also proud of
closely related to the following wonderful Professors in my academic background:
Minyi Huang (My academic brother at Shandong Univ., one of the inventors of the MFGs) Shige Peng (Professor, Shandong Univ.) Zhen Wu (Professor, Shandong Univ.) Andrew Papanicolaou (My academic brother at USC and UCSB)
Jin Ma (Professor, USC)
Jianfeng Zhang (Professor, USC) Chunming Wang (Professor, USC)
Matt Lorig (My academic brother at UCSB)
Michael Ludkovski (Professor, UCSB) Raya
Feldman
(Associate Professor, UCSB)
Tomoyuki Ichiba (Associate Professor, UCSB) NilsChristian Detering (Assistant Professor, UCSB)
Department Services:
