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Chen Yang
2025-06-21 14:34:08 +08:00
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@@ -82,8 +82,8 @@
<div>SEEM5670 Advanced Models in Financial Engineering</div> <div>SEEM5670 Advanced Models in Financial Engineering</div>
</li> </li>
<li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fall 2021 </b></label> <li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fall 2021 </b></label>
<div>SEEM5340 Stochastic Calculus (with <a href="https://sites.google.com/site/xuedonghepage/home" <div>SEEM5340 Stochastic Calculus (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home"
target="_blank">Xuedong He</a> and <a href="https://sites.google.com/view/lingfeili" target="_blank">Xuedong He</a> and <a class="authorlink" href="https://sites.google.com/view/lingfeili"
target="_blank">Lingfei Li</a>)</div> target="_blank">Lingfei Li</a>)</div>
</li> </li>
</ul> </ul>
@@ -105,7 +105,7 @@
<p> <p>
<h3>Selected Publications</h3> <h3>Selected Publications</h3>
<ol> <ol>
<li>Arbitraging on Decentralized Exchanges (with <a href="https://sites.google.com/site/xuedonghepage/home" <li>Arbitraging on Decentralized Exchanges (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home"
target="_blank">Xuedong He</a> and Yutian Zhou).<br> target="_blank">Xuedong He</a> and Yutian Zhou).<br>
Working Paper. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]<br> Working Paper. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]<br>
<div style="display:none" id="abs_arbDEX"> <div style="display:none" id="abs_arbDEX">
@@ -144,8 +144,8 @@
</div> </div>
</li><br> </li><br>
<li>Periodic Evaluation with Non-Concave Utility (with <a <li>Periodic Evaluation with Non-Concave Utility (with <a class="authorlink"
href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a class="authorlink"
href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br> href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br>
<b>submitted</b>. [<a class="paperlink" href="" <b>submitted</b>. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a class="paperlink"
@@ -169,7 +169,7 @@
</li><br> </li><br>
<li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a <li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a class="authorlink"
href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a> href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a>
and Zhou Yang).<br> and Zhou Yang).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a class="paperlink"
@@ -194,7 +194,7 @@
</div> </div>
</li><br> </li><br>
<li>Arbitrage in Perpetual Contracts (with <a href="https://sites.google.com/view/mindai/home" <li>Arbitrage in Perpetual Contracts (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a> and Linfeng Li).<br> target="_blank">Min Dai</a> and Linfeng Li).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5262988" target="_blank">SSRN</a>]<br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5262988" target="_blank">SSRN</a>]<br>
@@ -211,8 +211,8 @@
</div> </div>
</li><br> </li><br>
<li>Optimal Tax-Timing with Transaction Costs (with <a href="https://sites.google.com/view/mindai/home" <li>Optimal Tax-Timing with Transaction Costs (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a>, Yaoting Lei, and <a href="http://apps.olin.wustl.edu/faculty/liuh/" target="_blank">Min Dai</a>, Yaoting Lei, and <a class="authorlink" href="http://apps.olin.wustl.edu/faculty/liuh/"
target="blank">Hong Liu</a>).<br> target="blank">Hong Liu</a>).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]<br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]<br>
@@ -229,7 +229,7 @@
</div> </div>
</li><br> </li><br>
<li>Optimal Design of Automated Market Makers on Decentralized Exchanges (with <a <li>Optimal Design of Automated Market Makers on Decentralized Exchanges (with <a class="authorlink"
href="https://sites.google.com/site/xuedonghepage/home" target="_blank">Xuedong He</a> and Yutian href="https://sites.google.com/site/xuedonghepage/home" target="_blank">Xuedong He</a> and Yutian
Zhou).<br> Zhou).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink"
@@ -251,8 +251,8 @@
</div> </div>
</li><br> </li><br>
<li>Calibration of Local Volatility Models under the Implied Volatility Criterion (with <a <li>Calibration of Local Volatility Models under the Implied Volatility Criterion (with <a class="authorlink"
href="https://scholar.google.com/citations?user=MbbX8kUAAAAJ&hl=en" target="_blank">Xinfu Chen</a>, <a href="https://scholar.google.com/citations?user=MbbX8kUAAAAJ&hl=en" target="_blank">Xinfu Chen</a>, <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Zhou Yang).<br> href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Zhou Yang).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a class="paperlink"
href=" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801520" target="_blank">SSRN</a>]<br> href=" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801520" target="_blank">SSRN</a>]<br>
@@ -271,8 +271,8 @@
</li><br> </li><br>
<li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a <li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a class="authorlink"
href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br> href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4671774" target="_blank">SSRN</a>]<br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4671774" target="_blank">SSRN</a>]<br>
@@ -295,7 +295,7 @@
</div> </div>
</li><br> </li><br>
<li>Non-Concave Utility Maximization with Transaction Costs (with <a <li>Non-Concave Utility Maximization with Transaction Costs (with <a class="authorlink"
href="https://sites.google.com/view/shuaijie-qian" target="_blank">Shuaijie Qian</a>).<br> href="https://sites.google.com/view/shuaijie-qian" target="_blank">Shuaijie Qian</a>).<br>
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4500965" target="_blank">SSRN</a>|<a class="paperlink" href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4500965" target="_blank">SSRN</a>|<a class="paperlink"
@@ -315,9 +315,9 @@
</div> </div>
</li><br> </li><br>
<li>Designing Stablecoins (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <li>Designing Stablecoins (with <a class="authorlink" href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>,
<a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a <a class="authorlink" href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a class="authorlink"
href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br> href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br>
<i><b>Mathematical Finance</b></i>, 35(1):263-294, 2025. [<a class="paperlink" href="" <i><b>Mathematical Finance</b></i>, 35(1):263-294, 2025. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a class="paperlink"
@@ -337,8 +337,8 @@
</div> </div>
</li><br> </li><br>
<li>An Equilibrium Model for the Cross Section of Liquidity Premia (with <a <li>An Equilibrium Model for the Cross Section of Liquidity Premia (with <a class="authorlink"
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a class="authorlink"
href="https://xf-shi.github.io" target="_blank">Xiaofei Shi</a>).<br> href="https://xf-shi.github.io" target="_blank">Xiaofei Shi</a>).<br>
<i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. [<a class="paperlink" href="" <i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a class="paperlink"
@@ -359,9 +359,9 @@
</div> </div>
</li><br> </li><br>
<li>Leveraged Exchange-Traded Funds with Market Closure and Frictions (with <a <li>Leveraged Exchange-Traded Funds with Market Closure and Frictions (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a class="authorlink"
href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br> href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
<i><b>Management Science</b></i>, 69(4):2517-2535, 2023. [<a class="paperlink" href="" <i><b>Management Science</b></i>, 69(4):2517-2535, 2023. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a class="paperlink"
@@ -382,8 +382,8 @@
</div> </div>
</li><br> </li><br>
<li>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with <a <li>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br> href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br>
<i><b>Mathematics of Operations Research</b></i>, 47(3):1707-1730, 2022 [<a class="paperlink" href="" <i><b>Mathematics of Operations Research</b></i>, 47(3):1707-1730, 2022 [<a class="paperlink" href=""
onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a class="paperlink"
@@ -400,9 +400,9 @@
</div> </div>
</li><br> </li><br>
<li>Inventory Management for High-Frequency Trading with Imperfect Competition (with <a <li>Inventory Management for High-Frequency Trading with Imperfect Competition (with <a class="authorlink"
href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a class="authorlink"
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a class="authorlink"
href="https://www.linkedin.com/in/dapeng-shang-654316105/" target="blank">Dapeng Shang</a>).<br> href="https://www.linkedin.com/in/dapeng-shang-654316105/" target="blank">Dapeng Shang</a>).<br>
<i><b>SIAM Journal on Financial Mathematics</b></i>, 11(1):1-26, 2020. [<a class="paperlink" href="" <i><b>SIAM Journal on Financial Mathematics</b></i>, 11(1):1-26, 2020. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_HFT');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_HFT');return false">Abstract</a>|<a class="paperlink"
@@ -423,9 +423,9 @@
</div> </div>
</li><br> </li><br>
<li>Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with <a <li>Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a class="authorlink"
href="https://www.linkedin.com/in/yifei-zhong-12858524/" target="_blank">Yifei Zhong</a>).<br> href="https://www.linkedin.com/in/yifei-zhong-12858524/" target="_blank">Yifei Zhong</a>).<br>
<i><b>The Review of Financial Studies</b></i>, 28.9:2687-2721, 2015. [<a class="paperlink" href="" <i><b>The Review of Financial Studies</b></i>, 28.9:2687-2721, 2015. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a class="paperlink" onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a class="paperlink"

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@@ -36,8 +36,14 @@ a {
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color: #076678;
text-decoration: none;
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color: #9d0006; color: #9d0006;
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