Department of Applied Mathematics
Hong Kong Polytechnic University
Office: TU809, Yip Kit Chuen Building
Phone: (+852) 2766 6930
- Financial Mathematics: consumption habit formation, transaction costs, utility maximization, credit risk and default contagion, optimal dividend, high-water mark fees, optimal dynamic contracting, teamwise MFG
- Applied Probability and Stochastic Analysis: duality method, martingale theories, Levy process, model uncertainty, measurable selection and projection
- Stochastic Control and Optimization: singular stochastic control, time inconsistent stopping, path-dependent control, risk-sensitive control, relaxed control, optimal tracking, stochastic equilibrium
- The 7th Asian Quantitative Finance Conference (AQFC 2019), Hanoi, VIASM, Vietnam, July 2-5, 2019.
- 2019 Workshop on recent developments in mean-field game, machine learning and quantitative finance, Tuan Chau, VIASM, Vietnam, May 21-24, 2019.
- 2018 PolyU-SDU JRC Workshop on Applied Mathematics with Financial Applications, The Hong Kong Polytechnic University, February 3, 2018.
- 2017 Workshop on Stochastic Analysis in Finance, The Hong Kong Polytechnic University, May 11-12, 2017. (Photos)
- The Third International Conference on Engineering and Computational Mathematics, Stream of Financial Mathematics, The Hong Kong Polytechnic University, May 31 - June 2, 2017.
- 2016 Workshop on Stochastic Control and Financial Applications, The Hong Kong Polytechnic University, August 16-17, 2016. (Photos)