Embedded Files
About
Welcome to my homepage. I received my Ph.D. in Quantitative Finance from The Hong Kong University of Science and Technology (HKUST) in 2025, under the supervision of Prof. Yue-Kuen Kwok. Prior to this, I earned my MSc in Mathematical and Computational Finance (MCF) from University of Oxford in 2022. I am also an alumnus of The London School of Economics (LSE).
Research interest: volatility modeling, derivatives pricing, financial engineering, and the application of AI in quantitative finance
Google Scholar | ORCiD | ResearchGate | Scopus | GitHub | Linkedin | Math Genealogy
Publications
Publications
Valuation of VIX derivatives: Incorporating larger spikes in volatility-of-volatility dynamics, with Doojin Ryu, Yifan Ye
Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach, with Jayden Zian Wang, Yifan Ye
Finance Research Letters, 2026.
VIX term structure in the rough Heston model via Markovian approximation, with Yifan Ye, Yue-Kuen Kwok
On cross-stock predictability of peer return gaps in China, with Yilin Chen
Finance Research Open, 2026, 2(1), 100088. [code]
Merton (1976) implied jump, with Junhong Yu, Xinfeng Ruan
Journal of Economic Dynamics and Control, 2025, 180, 105199.
Modeling the implied volatility smirk in China: Do non-affine two-factor stochastic volatility models work?, with Yifan Ye, Xinfeng Ruan
Journal of Futures Markets, 2025, 45(6), 612-636. [code]
Option profit and loss attribution and pricing in the Chinese options market, with Xiaolan Jia, Xinfeng Ruan
Pacific-Basin Finance Journal, 2025, 91, 102682.
Working papers
Working papers
Beyond prompting: An autonomous framework for systematic factor investing via Agentic AI, with Allen Yikuan Huang, 2026, Submitted, [SSRN]
Project homepage: Agentic Factor Investing [Link] (still preliminary)
Featured in: QuantML [Wechat], [Zhihu], [RedNote], LLMQuant [Wechat]
Invited practitioner talks: X Asset Management (Mar. 2026, Shanghai)
Deep surrogate for non-affine stochastic volatility option valuation models, with Xinfeng Ruan, Yifan Ye, 2026, Under review
On options-driven realized volatility forecasting: Information gains via rough volatility model, with Meng Melody Wang, Yifan Ye, 2025, Under review, [SSRN]
The effects of shot-noise co-jumps on the valuation of VIX derivatives, with Yifan Ye, 2025, In revisions at Journal of Banking and Finance
VIX options with exponentially decaying jump, [code], with Yifan Ye, Yue-Kuen Kwok, 2025, Under review
On direct modeling of VIX under affine Volterra models, with Yifan Ye, Yue-Kuen Kwok, 2025, Under review
Work in progress
Work in progress
Simulation schemes for the Heston stochastic-local volatility model
Page updated
Google Sites
Report abuse