56 lines
3.0 KiB
HTML
56 lines
3.0 KiB
HTML
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
|
|
<html>
|
|
<head>
|
|
<meta http-equiv="content-type" content="text/html; charset=utf-8">
|
|
<title>Chen Yang</title>
|
|
</head>
|
|
<body bgcolor="#FFFFFF">
|
|
<hr><a href="https://www.ethz.ch"><img src="eth.png" alt="ETH Home" align="left" border="0"></a><a href="https://www.math.ethz.ch"><img src="dmath.png" alt="D-MATH Home" align="right" border="0"></a><br clear="all"><hr>
|
|
|
|
<h1>Chen Yang</h1>
|
|
|
|
<h4>Postal address</h4>
|
|
|
|
Chen Yang <br>
|
|
Group 3 <br>
|
|
Department of Mathematics <br>
|
|
HG GO 47.2 <br>
|
|
Rämistrasse 101 <br>
|
|
8092 Zürich <br>
|
|
Switzerland
|
|
|
|
<h4>More information</h4>
|
|
|
|
Email: <a href="mailto:chen.yang@math.ethz.ch">chen.yang@math.ethz.ch</a> <br>
|
|
Phone: +41 44 633 9356 <br>
|
|
Room: HG GO 47.2 <br>
|
|
|
|
<h4>Working Papers</h4>
|
|
<ol reversed>
|
|
<li><b>Designing Stable Coins</b> (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <a href="http://www.math.nus.edu.sg/~matdm/" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br>
|
|
working paper, 2018.</li>
|
|
|
|
<li><b>Inventory Management for High-Frequency Trading with Imperfect Competition</b> (with <a href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://www.linkedin.com/in/dapeng-shang-654316105/<Paste>" target="blank">Dapeng Shang</a>).<br>
|
|
submitted, 2019. [<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037">SSRN</a> | <a href="http://arxiv.org/abs/1808.05169">arXiv</a>]</li>
|
|
|
|
<li><b>Rebalancing of Leveraged ETFs under Market Frictions</b> (with <a href="http://www.math.nus.edu.sg/~matdm/" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
|
|
submitted, 2019.</li>
|
|
|
|
<li><b>Stochastic Representation for Nonlocal Problems</b> (with <a href="http://www.math.nus.edu.sg/~matdm/" target="_blank">Min Dai</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br>
|
|
submitted, 2017.</li>
|
|
</ol>
|
|
|
|
<h4>Publications</h4>
|
|
<ol reversed>
|
|
<li><b>Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax</b> (with <a href="http://www.math.nus.edu.sg/~matdm/" target="_blank">Min Dai</a>, <a href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a href="https://www.linkedin.com/in/yifei-zhong-12858524/" target="_blank">Yifei Zhong</a>).<br>
|
|
<i>The Review of Financial Studies</i> 28.9:2687-2721, 2015. [<a href=https://academic.oup.com/rfs/article/28/9/2687/1581078">Article</a>]</li>
|
|
</ol>
|
|
|
|
|
|
<hr>
|
|
|
|
<div align="right"><font size="-1">Last update 2019-05-31</font></div>
|
|
|
|
</body>
|
|
</html>
|