Research

I am dedicated to research in a general area of applied mathematics and financial mathematics, including stochastic analysis, network modeling, differential equation modeling, option pricing, and risk management. I am currently involving in various interdisciplinary research in financial modeling and pandemic modeling, as well as programming language Python and MATLAB, collaborating with several global researchers.

One main direction is a network modeling. With increasing interconnections in our society, it is common that one event leads to a dramatical effect on a whole system. For example, defaults of some mortgage holders in United States caused the 2008 financial crisis, which impact our global financial market seriously about 10 years. The first cases of COVID-19 was confirmed in Wuhan China in December 2019, and then this virus has spread to the whole world in a short time. Applying my knowledge of network modeling, I quantify an effect of of a change of element among a system on the entire network and then analyze solving or control strategies corresponding to this effect.

Moreover, my research also related to a stochastic modeling with a statuses switching processes. When we use a stochastic process to describe a varying parameters during a stochastic modeling, many of them can be simplified to a statuses switching process with a constant value on each status. By this simplification, a stochastic differential equation system may becomes a single stochastic differential equation. In my research, I describe a switching between a national lock-down period and a normal period by this stochastic statuses switching process to construct a pandemic model.

In addition, I have delivered near 30 research talks in the area of my research and have been awarded Excellence in Dissertation Research Award. Besides two paper near to be submitted to journals, I has published a paper "Feinstein, Z., Pang, W., Rudloff, B., Schaanning, E., Sturm, S., & Wildman, M. (2018). Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities. SIAM Journal on Financial Mathematics, 9(4), 1286-1325".

Furthermore, involvement of students with different levels in my research is a critical aspect of my research program. I am very keen on mentoring students with diverse background as well as developing curricula on the topics of my research. I also love collaborating with other researchers and experts, and expand my research horizons in new area of the world with new research questions and technologies.