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Assistant Professor
- Department of Systems Engineering and Engineering Management
- Faculty of Engineering
+ Department of Systems Engineering and Engineering Management
+ Faculty of Engineering
The Chinese University of Hong Kong
Postal Address
Room 511A, William M.W. Mong Engineering Building
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+ - I am looking for self-motivated, hard working PhD students with solid mathematics background. Students with a bachelor/master degree in applied mathematics and probability are preferred. Drop me an email if you are interested.
+ - Abstract submission for Bachelier Finance Society 11th World Congress is now open.
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- SEEM3590 Investment Science, Fall 2019
- SEEM3580 Risk Analysis for Financial Engineering, Spring 2020
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- Designing Stable Coins (with Yizhou Cao, Min Dai, Steven Kou and Lewei Li).
submitted, 2018.
- - Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
- submitted, 2019. [SSRN | arXiv]
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- Rebalancing of Leveraged ETFs under Market Frictions (with Min Dai, Steven Kou and H. Mete Soner).
submitted, 2019.
- Stochastic Representation for Nonlocal Problems (with Min Dai and Steven Kou).
submitted, 2017.
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+ - Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
+ SIAM Journal on Financial Mathematics, forthcoming. [SSRN|arXiv]
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- Hedge Fund Leverage with Stochastic Market Conditions (with Li Zhao, Wenli Huang and Shenghong Li).
International Review of Economics & Finance 59:258-273, 2018. [Article]
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-Last update 2019-10-24
+Last updated: 2019-10-24
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