Chen Yang
Postal address
Chen Yang
Group 3
Department of Mathematics
HG GO 47.2
Rämistrasse 101
8092 Zürich
Switzerland
More information
Email: chen.yang@math.ethz.ch
Phone: +41 44 633 9356
Room: HG GO 47.2
Working Papers
- Designing Stable Coins (with Yizhou Cao, Min Dai, Steven Kou and Lewei Li).
working paper, 2018.
- Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
submitted, 2019. [SSRN | arXiv]
- 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.
Publications
- 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. [Article]
Last update 2019-05-31