diff --git a/index.html b/index.html
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+++ b/index.html
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Assistant Professor Department of Systems Engineering and
+ Department of Systems Engineering and
Engineering Management Faculty of Engineering Faculty of Engineering
-
+
Undergraduate Courses
Spring 2020-2025
Arbitraging on Decentralized Exchanges (with Xuedong He and Yutian Zhou).Abstract ]Abstract ]
Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade
@@ -125,7 +125,7 @@
Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).Abstract ]Abstract ]
The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in
@@ -147,8 +147,8 @@
Periodic Evaluation with Non-Concave Utility (with Cong Qin and Harry Zheng ).submitted . [Abstract |submitted. [ Abstract |SSRN ]
@@ -172,8 +172,8 @@
Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with Xiaoshan Chen
and Zhou Yang).submitted . [Abstract |SSRN |submitted. [ Abstract |SSRN |arXiv ]
@@ -196,7 +196,7 @@
Arbitrage in Perpetual Contracts (with Min Dai and Linfeng Li).submitted . [Abstract |submitted. [ Abstract |SSRN ]
@@ -214,7 +214,7 @@
Optimal Tax-Timing with Transaction Costs (with Min Dai , Yaoting Lei, and Hong Liu ).submitted . [Abstract |submitted. [ Abstract |SSRN ]
@@ -232,8 +232,8 @@
Optimal Design of Automated Market Makers on Decentralized Exchanges (with Xuedong He and Yutian
Zhou).submitted . [Abstract |SSRN |submitted. [ Abstract |SSRN |arXiv ]
@@ -254,7 +254,7 @@
Calibration of Local Volatility Models under the Implied Volatility Criterion (with Xinfu Chen , Min Dai , and Zhou Yang).submitted . [Abstract |submitted. [ Abstract |SSRN ]
@@ -274,7 +274,7 @@
Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with Nan Chen , Min Dai , and Qiheng Ding).submitted . [Abstract |submitted. [ Abstract |SSRN ]
@@ -297,8 +297,8 @@
Non-Concave Utility Maximization with Transaction Costs (with Shuaijie Qian ).submitted . [Abstract |SSRN |submitted. [ Abstract |SSRN |arXiv ]
@@ -319,9 +319,9 @@
Min Dai ,
Steven Kou and
Lewei Li ).
-
Mathematical Finance , 35(1):263-294, 2025. [
Abstract |
SSRN |
Mathematical Finance , 35(1):263-294, 2025. [Abstract |
SSRN |
Article ]
@@ -340,10 +340,10 @@
An Equilibrium Model for the Cross Section of Liquidity Premia (with Johannes Muhle-Karbe and Xiaofei Shi ).Mathematics of Operations Research Abstract |SSRN |arXiv |Mathematics of Operations Research , 48(3):1423-1453, 2023. [Abstract |SSRN |arXiv |Article ]
@@ -363,9 +363,9 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai,
Steven Kou and
H. Mete Soner ).
-
Management Science , 69(4):2517-2535, 2023. [
Abstract |
SSRN |
Management Science , 69(4):2517-2535, 2023. [Abstract |
SSRN |
Article ]
@@ -373,7 +373,7 @@
challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged
ETFs in a comprehensive setting, including overnight market closure and market frictions. The model
allows for an analytical optimal rebalancing strategy.
- The result extends the principle of "aiming in front of target" introduced by
Gârleanu
and Pedersen (2013) from a constant weight between current and future positions to a
time-varying weight, because the rebalancing performance is monitored only at discrete time points
@@ -385,9 +385,9 @@
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with Min Dai and Steven Kou ).Mathematics of Operations Research Abstract |SSRN |Mathematics of Operations Research , 47(3):1707-1730, 2022 [Abstract |SSRN |Article ]
@@ -403,11 +403,11 @@
Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann , Johannes Muhle-Karbe and Dapeng Shang ).SIAM Journal on Financial Mathematics Abstract |SSRN |arXiv |Dapeng Shang ).SIAM Journal on Financial Mathematics Abstract |SSRN |arXiv |Article ]
@@ -427,9 +427,9 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai,
Hong Liu and
Yifei Zhong ).
-
The Review of Financial Studies , 28.9:2687-2721, 2015. [
Abstract |
SSRN |
The Review of Financial Studies , 28.9:2687-2721, 2015. [Abstract |
SSRN |
Article ]
@@ -463,7 +463,7 @@
Professional Service
- Associate Editor: Digital
+ Associate Editor: Digital
Finance Reviewer:
@@ -478,14 +478,14 @@
Session Chair, ME14 Quantitative Finance and FinTech , 2024 INFORMS Annual Meeting, 2024.
- Local Organizing Committee Member, Local Organizing Committee Member, First INFORMS Conference on Financial Engineering and FinTech , 2024.
Session Chair, TA73 Financial Frictions and Machine Learning , 2023 INFORMS Annual Meeting,
2023.
- Local Organizing Committee Member, Local Organizing Committee Member, Recent Advances on Quantitative Finance , 2023.
- Mini-Symposium Organizer, Mini-Symposium Organizer, MS5 Investment and Asset Pricing under Market Frictions
@@ -493,11 +493,11 @@
Seminar Organizing:
+ Organizing Committee Member, CUHK
+ Distinguished Lectures in Quantitative Finance
diff --git a/style.css b/style.css
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--- a/style.css
+++ b/style.css
@@ -6,7 +6,7 @@ html {
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font-family: "Palatino", "Georgia", Times, serif;
- background-color: rgb(255, 255, 250);
+ background-color: rgb(248,245,218);
line-height: 1.4;
padding-bottom: 12.5em;
}
@@ -32,6 +32,18 @@ p {
padding-bottom: 0.5em;
}
+a {
+ color: #076678;
+}
+
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+ color: #9d0006;
+}
+
+.extlink {
+ color: #427b58;
+}
+
#topbar {
display: inline-block;
padding: 0 0.25em;
@@ -56,7 +68,7 @@ ul#course {
.navbar {
opacity: 0.8;
overflow: hidden;
- background-color: #333;
+ background-color: #3c3836;
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/* Set the navbar to fixed position */
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