Students

PhD Supervision (job) [publications]

1. Peng Liu*, 2012, Johns Hopkins Applied Math (Campbell & Co., Amazon)

Thesis: Optimal Liquidation of Credit and Equity Portfolios [1a] [1b]

2. Eric Dahlgren, 2013, Columbia Earth & Environmental Engineering (MIT)

Thesis: Rescaling Capital: The Potential of Small-Scale and Mass-Produced Physical Capital in the Energy and Materials Processing Industries [2]

3. Jinbeom Kim, 2013, Columbia IEOR (Barclays, Oak Hill)

Thesis: Pricing, Trading and Clearing of Defaultable Claims Subject to Counterparty Risk [3a] [3b]

4. Marco Santoli, 2015, Columbia IEOR (AQR)

Thesis: Methods for Pricing Pre-Earnings Equity Options and Leveraged ETF Options [4a] [4b] [book]

5. Xin Li, 2015, Columbia IEOR (BAML)

Thesis: Optimal Multiple Stopping Approach to Mean Reversion Trading [5a] [5b] [5c] [5d] [book]

INFORMS Finance Section Best Student Paper Competition 2014, 1st Place

6. Zheng Wang, 2016, Columbia IEOR (Credit Suisse)

Thesis: Optimal Stopping and Switching Problems with Financial Applications [6a] [6b] [6c] [6d]

7. Brian Ward**, 2017, Columbia IEOR (KCG, AQR)

Thesis: Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading [7a][7b] [7c]

2016 Emerald Literati Network Award for Excellence - winner [link]

8. Kevin Guo, 2018, Columbia IEOR (AQR, BAML, Millennium Partners)

Thesis: Price Dynamics and Trading Strategies in the Commodities Market [8a] [8b] [8c]

9. Jiao Li, 2018 Columbia APAM (Algo. Trading)

Research: Optimal Strategies for Futures Trading [9a][9b] [9c]

10. Rapahel Yan, 2018 McMaster University (BlackRock)

Research: Optimal Dynamic Pairs Trading: Utility Maximization Approach [10a] [10b]

11. Yang Zhou, UW Applied Math (Parametric)

Research: Valuing Options with Multiple Exogenous Exercises

12. Theo Zhao, UW Applied Math (Parametric)

Research: Machine Learning Algo for Adaptive Portfolio Selection

†2016 SIAM Financial Math & Engineering Conference Travel SupportPartially supported by NSF Applied Mathematics Research Grant, 2009-12 (DMS-09082950) *Research funded by Campbell & Co (hedge fund) **Research funded by Knight Capital Group (KCG) 2015; Emerald Literati Network Award; PhD in 3 yrs. For research opportunities, email me

Apply for the UW Applied Math PhD Program & do research in Financial Math and/or Machine Learning [link]

I'm a Math Alliance mentor [link]

http://depts.washington.edu/compfin/apply/

[MS Degree] [Teaching] [Online MS] [Computational Finance Certificate]

[CFRM ranks high in affordability and industry collaboration]

Recent M.S./Undergrad Projects

1. Haohua Wan (Columbia MSOR → UIUC IE PhD)

INFORMS Finance Section Best Student Paper Competition 2014, finalist

Paper: ESO Valuation with Job Termination Risk and Jumps in Stock Price, SIAM Journal on Financial Mathematics, vol. 6, no. 1, pp. 487-516, 2015

2. Kevin Guo (Columbia Math Undergrad → AQR, BAML, Columbia IEOR PhD)

Paper: Understanding the Risks of Commodity Leveraged ETFs, Fields Institute Communications, Springer, 2015 (also featured in Risk, 2014)

3. Yoshihiro Shirai (Columbia MSFE → EY)

Paper: Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties, Journal of Financial Engineering, 2(1), 2015

4. Zongxi Li (Columbia MSFE → Princeton ORFE PhD)

Paper: Timing Options for a Startup with Early Termination and Competition Risks [pdf;link], Risk & Decision Analysis, vol. 6, no. 2, pp. 151-166, 2017

5. J. Li (Columbia APAM MS & PhD)

Paper: Speculative Futures Trading under Mean Reversion [pdf], Asia-Pacific Financial Markets, 2016

Paper: Trading VIX Futures Under Mean Reversion with Regime Switching [pdf], Journal of Financial Engineering, 2016

6. Jamie Kang (Columbia BSFE → Stanford MS&E PhD) Supported by Dean's Office Summer Research Fund

Paper: Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies [pdf], Studies in Economics & Finance, 2016

7. Peng Huang, Tianxiang Wang (Columbia MSOR)

Preprint: On the Profitability of Optimal Mean Reversion Trading Strategies, available on SSRN & ArXiv, 2016

8. Shaily Chawla (UW CFRM '17 → McKinsey)

Preprint: Investigating the Price Dynamics between Europe ETFs: EZU vs FEZ, on SSRN, 2016

9. Jack Simonson (UW CFRM '17 → FEV Analytics)

Preprint: High-Frequency ETF Pairs Trading, on SSRN, 2017

Poster: Profitability of Intraday Pairs Trading, Presented @UW Data Science Poster Session, Feb 2017

10. Jimin Lin (UW CFRM '18)

Preprint: The Quadrant Probabilities of Paired Financial Time Series, on SSRN, 2018

11. Ahmed Abdou (Columbia MSOR → Sears)

Preprint: Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded Funds, on SSRN, 2017

12. Hung Nguyen (UW CFRM '18)

Project: Cryptocurrency Trading Strategies, on SSRN, 2018

13. Connie Lee (Columbia IEOR → Ecole Polytechnique) Supported by Dean's Office Summer Research Fund

Preprint: Implied Volatility Consistency for American Depository Receipts (ADRs) Options, 2016

14. George Yu (Columbia IEOR → Apple)

Preprint: Consistency of Empirical Implied Volatilities & Greeks of Equity Options, 2015

15. Xiao Xu* (Columbia IEOR → Columbia IEOR PhD)

Poster: Statistical Analysis on the Overnight and Intraday Returns of Emerging Market ETFs, Presented @Senior Design Expo, May 2016

16. Eunice Ma (Columbia MSFE → Columbia IEOR PhD) Project: Implied Volatility Dynamics & ESO Valuation

17. Chenxi Wang (Columbia MSFE → NYU Econ PhD) Project: Understanding Leveraged ETF Option Returns

18. Zijian Zeng (Columbia MSOR → UT Austin Business School PhD) Project: The Predictive Power of VIX

19. Justin Logan, CFA (Columbia MSOR → Société Générale) Project: Synthetic ETFs

20. Pierre Marboeuf (Columbia MSFE → Goldman Sachs) Project: Pricing Reverse Convertibles

21. Delphine Radet (Columbia MSOR → AllianceBernstein) Project: Analysis of Bond ETF Returns

22. Shihang Guan (Columbia MSFE → AQR) Project: VIX: Historial vs Risk-Neutral Dynamics

23. Jason Liang (Columbia IEOR) Project: Pairs Trading of ETFs

24. Chris Yi (UW CFRM → BlackRock, SUNY Stony Brook PhD) Project: Tracking Errors of VIX ETPs

25. Abdessamed Benichou (Columbia MSFE → Barclays) Project: Static Hedging of Exotic Options

26. Richard Dewey (Columbia MSOR → PIMCO) Project: Dynamic Pairs Trading on Yield Spreads

27. Kelthoum Nour Benabdeljelil (Columbia MSOR → Credit Agricole) Project: VIX Futures Pricing & Rolling

and more...

Apply for the UW Applied Math PhD Program & do research in Financial Math [link]

http://depts.washington.edu/compfin/apply/

[The CFRM MS] [Curriculum] [Online MS] [Computational Finance Certificate]

Undergraduate Research Projects

  • Projects supervised for the Washington Experimental Mathematics Lab (WXML):
    • Mathematics of Exchange-Traded Funds, 2016
    • Simulation of Randomized Brownian Bridges, 2017
  • UW Undergraduate Research Program (URP) (2016-2018)