My research interest focuses on stochastic analysis and mathematical finance. Here is my CV and ReserachGate profile. 

I have some research funding for PhD students. Contact me if interested.

The Financial Mathematics and Stochastic Analysis Seminar  at WPI in Spring 2024 is scheduled at Thursday 11 am - 12 pm Olin Hall 218 in C term and Salisbury Labs 011 in D term. 

Upcoming Activity

Employment

• Associate Professor, Department of Mathematical Sciences, Worcester Polytechnic Institute, July 2021 - present 

• Assistant Professor, Department of Mathematical Sciences, Worcester Polytechnic Institute, July 2015 - June 2021

• Postdoctoral Assistant Professor, Department of Mathematics, University of Michigan, September 2013 - June 2015 

• Postdoctoral Associate, Department of Mathematics and Statistics, Boston University, June - August 2013 

Education

• Ph.D. in Mathematics (Advisor: Paolo Guasoni), Boston University, 2013

• M.S. in Mathematical Finance with High Honors, Boston University, 2010

• B.S. in Applied Mathematics, Peking University, 2007

Research

Publications

• Fund Managers' Competition for Investment Flows based on Relative Performance (with Jiaxuan Ye), Journal of Optimization Theory and Applications, 198 (2023), No. 2, 605 - 643. [Article] [SSRN] 

• Performance Fees with Stochastic Benchmark, SIAM Journal on Financial Mathematics, 13 (2022), No. 2, 619 - 652. [Article] [SSRN] 

• Optimal Fee Structure of Variable Annuities (with Bin Zou), Insurance: Mathematics and Economics,  101 Part B (2021), 587-601. [Article ][SSRN] 

• Sharing Profits in the Sharing Economy. (with Paolo Guasoni), SIAM Journal on Control and Optimization, 58 (2020), No. 6, 3559–3585. [Article] [SSRN] 

• Consumption in Incomplete Markets. (with Paolo Guasoni), Finance and Stochastics, 24 (2020), No. 2, 383-422. [Article] [SSRN] 

• Exit problems as the generalized solutions of Dirichlet problems (with Yuecai Han and Qingshuo Song), SIAM Journal on Control and Optimization, 57 (2019), No. 4, 2392-2414. [Article] [ArXiv] 

• Should Commodity Investors Follow Commodities' Prices? (with Paolo Guasoni and Antonella Tolomeo), SIAM Journal on Financial Mathematics, 10 (2019) No. 2, 466-490.[Article] [SSRN] 

• Consumption and Investment with Stochastic Interest Risk (with Paolo Guaosni), Journal of Mathematical Analysis and Applications, 476 (2019) No. 1, 215-239. [Article] [SSRN] 

• Quantile Hedging in a Semi-Static Market with Model Uncertainty (with Erhan Bayraktar), Mathematical Methods of Operations Research, 87 (2018) No. 2, 197-227. [Article] [SSRN] 

• Hedge and Mutual Funds' Fees and the Separation of Private Investments (with Paolo Guasoni), Finance and Stochastics, 19 (2015) No. 3, 473-507. [Article][SSRN]. 

Preprints

Ph.D. Thesis

• Stochastic Control Problems with Performance Fees and Incomplete Markets 

Teaching

• MA 1021 Calculus I, E2 Term 2020, E1 Term 2021, E1 Term 2022

• MA 1022 Calculus II, A Term 2016, B Term 2022 

• MA 1023 Calculus III, E2 Term 2019 

• MA 2621 Probability for Applications, E1 Term 2017, A Term 2021, C Term 2022, E1 Term 2023, B Term 2023

• MA 2631 Probability, A Term 2017, A Term 2018, D Term 2020, D Term 2021, D Term 2022, A Term 2023

• MA 4237 Probabilistic Methods in Operations Research, B Term 2019 

• MA 571 Financial Mathematics I, Fall 2015, Fall 2016, Fall 2017, Fall 2021 

• MA 572 Financial Mathematics II, Spring 2018, Spring 2020, Spring 2021

• MA 574 Portfolio Valuation and Risk Management, Fall 2018