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SEEM5670 Advanced Models in Financial Engineering
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    SEEM5340 Stochastic Calculus (with Xuedong He and SEEM5340 Stochastic Calculus (with Xuedong He and Lingfei Li)
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    Selected Publications

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    1. Arbitraging on Decentralized Exchanges (with Arbitraging on Decentralized Exchanges (with Xuedong He and Yutian Zhou).
      Working Paper. [Abstract]

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    2. Periodic Evaluation with Non-Concave Utility (with Cong Qin and Periodic Evaluation with Non-Concave Utility (with Cong Qin and Harry Zheng).
      submitted. [Abstract|
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    3. Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with Xiaoshan Chen and Zhou Yang).
      submitted. [Abstract|

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    4. Arbitrage in Perpetual Contracts (with Arbitrage in Perpetual Contracts (with Min Dai and Linfeng Li).
      submitted. [Abstract|SSRN]
      @@ -211,8 +211,8 @@

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    5. Optimal Tax-Timing with Transaction Costs (with Min Dai, Yaoting Lei, and Optimal Tax-Timing with Transaction Costs (with Min Dai, Yaoting Lei, and Hong Liu).
      submitted. [Abstract|SSRN]
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    6. Optimal Design of Automated Market Makers on Decentralized Exchanges (with Optimal Design of Automated Market Makers on Decentralized Exchanges (with Xuedong He and Yutian Zhou).
      submitted. [Abstract|

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    7. Calibration of Local Volatility Models under the Implied Volatility Criterion (with Xinfu Chen, Calibration of Local Volatility Models under the Implied Volatility Criterion (with Xinfu Chen, Min Dai, and Zhou Yang).
      submitted. [Abstract|SSRN]
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    8. Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with Nan Chen, Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with Nan Chen, Min Dai, and Qiheng Ding).
      submitted. [Abstract|SSRN]
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    9. Non-Concave Utility Maximization with Transaction Costs (with Non-Concave Utility Maximization with Transaction Costs (with Shuaijie Qian).
      submitted. [Abstract|SSRN|

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    10. Designing Stablecoins (with Yizhou Cao, - Min Dai, Steven Kou and Designing Stablecoins (with Yizhou Cao, + Min Dai, Steven Kou and Lewei Li).
      Mathematical Finance, 35(1):263-294, 2025. [Abstract|

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    11. An Equilibrium Model for the Cross Section of Liquidity Premia (with Johannes Muhle-Karbe and An Equilibrium Model for the Cross Section of Liquidity Premia (with Johannes Muhle-Karbe and Xiaofei Shi).
      Mathematics of Operations Research, 48(3):1423-1453, 2023. [Abstract|

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    12. Leveraged Exchange-Traded Funds with Market Closure and Frictions (with Min Dai, Steven Kou and Leveraged Exchange-Traded Funds with Market Closure and Frictions (with Min Dai, Steven Kou and H. Mete Soner).
      Management Science, 69(4):2517-2535, 2023. [Abstract|

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    13. A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with Min Dai and A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with Min Dai and Steven Kou).
      Mathematics of Operations Research, 47(3):1707-1730, 2022 [Abstract|

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    14. Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
      SIAM Journal on Financial Mathematics, 11(1):1-26, 2020. [Abstract|

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    15. Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with Min Dai, Hong Liu and Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with Min Dai, Hong Liu and Yifei Zhong).
      The Review of Financial Studies, 28.9:2687-2721, 2015. [Abstract|