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About
Welcome to my homepage. I received my Ph.D. in Quantitative Finance from The Hong Kong University of Science and Technology (HKUST), 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. I am also an alumnus of The London School of Economics (LSE).
Research interest: derivatives pricing, financial engineering, AI in finance, systematic trading, and asset allocation
Google Scholar | ORCiD | GitHub | Linkedin | Math Genealogy
Selected publications
Selected publications
VIX option pricing with exponentially decaying jumps, with Yue-Kuen Kwok, Yifan Ye
International Journal of Theoretical and Applied Finance, 2026, Accepted, [code]
From Prompting to Autonomous Discovery: A Closed-Loop Agentic LLM Framework for Financial Signal Generation, with Yikuan Huang
International Joint Conference on Artificial Intelligence (IJCAI) on FinLLM Workshop, 2026
🎉 Oral Paper Award!
Valuation of VIX derivatives: Incorporating larger spikes in volatility-of-volatility dynamics, with Doojin Ryu, Yifan Ye
VIX term structure in the rough Heston model via Markovian approximation, with Yifan Ye, Yue-Kuen Kwok
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
Working papers
Working papers
From hypotheses to factors: Constrained LLM agents in cryptocurrency markets, with Yikuan Huang, Kaiqi Hu, Yifan Ye, 2026, Submitted, [arXiv]
Cross-stock predictability via LLM-augmented semantic networks, with Yikuan Huang, Kaiqi Hu, Yifan Ye, 2026, Submitted, [arXiv]
Media coverage: Swiss Finance AI [Link], Quant Glow [Wechat], LingDuTech [Wechat]
Beyond prompting: Autonomous factor investing via Agentic AI, with Allen Yikuan Huang, 2026, In revisions, [SSRN]
Media coverage: CXO Advisory Group [Link], QuantML [Wechat], [Zhihu], LLMQuant [Substack], [Wechat], InfinityQuant [Wechat], Quant Glow [Wechat], SSRN [Link], Nosa Capital [Youtube]
Seminar: X Asset Management (Invited talks, Mar. 2026, Shanghai)
Short version accepted by FinLLM Workshop @ IJCAI, 2026, [Link]
Neural-surrogate estimation and inference for continuous-time models with option panels, with Xinfeng Ruan, Yifan Ye, 2025, Submitted, [SSRN]
On options-driven realized volatility forecasting: Information gains via rough volatility model, with Meng Melody Wang, Yifan Ye, 2025, In revisions, [SSRN]
Selected for OptionMetrics Research Library [Link]
Validation-Calibrated Risk-Function Ambiguity for Minimax-Regret Portfolio Optimization, 2025, Submitted
When Stress Models Disagree: Tail-Risk Rankings in Multi-Asset Portfolios, with Meng Melody Wang, Yifan Ye, 2025, Submitted
Managing A-Share Risk in Chinese Multi-Asset Portfolios: An Option-Confirmed Trend Filter, with Meng Melody Wang, Yifan Ye, 2025, Submitted
The effects of shot-noise co-jumps on the valuation of VIX derivatives, with Yifan Ye, 2025, In revisions
Pricing VIX Options Under Volterra-Type Ornstein-Uhlenbeck Models, with Qiqian Li, Yue-Kuen Kwok, Yifan Ye, 2025, Under review, [SSRN]
Work in progress
Work in progress
Closed-form Esscher transforms and semi-nonparametric expansions in discrete-time stochastic volatility models
Improved Sieve estimation of option-implied state price density
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