90 lines
4.8 KiB
HTML
90 lines
4.8 KiB
HTML
<!doctype html>
|
|
<html>
|
|
<head>
|
|
<link rel="stylesheet" href="style.css">
|
|
<meta http-equiv="content-type" content="text/html; charset=utf-8">
|
|
<title>Chen Yang</title>
|
|
</head>
|
|
<body bgcolor="#FFFFFF">
|
|
|
|
|
|
<div class="navbar">
|
|
<a href="#home">Home</a>
|
|
<a href="#teaching">Teaching</a>
|
|
<a href="#research">Research</a>
|
|
</div>
|
|
|
|
<div class="main" id="home">
|
|
<p> </p>
|
|
</div>
|
|
|
|
<h1>YANG, Chen</h1>
|
|
<table>
|
|
<tbody>
|
|
<tr>
|
|
<td width="10"></td>
|
|
<td width="200"><img src="ME.jpeg" width="200"></td>
|
|
<td width="20"></td>
|
|
<td>
|
|
Assistant Professor <br>
|
|
<a href="http://www.se.cuhk.edu.hk" target="_blank">Department of Systems Engineering and Engineering Management</a> <br>
|
|
<a href="https://www.erg.cuhk.edu.hk/erg/">Faculty of Engineering</a> <br>
|
|
The Chinese University of Hong Kong <br><br>
|
|
<b>Postal Address:</b><br>
|
|
Room 511A, William M.W. Mong Engineering Building <br>
|
|
The Chinese University of Hong Kong <br>
|
|
Shatin, N.T., Hong Kong<br><br>
|
|
<b>Email:</b> cyang at se.cuhk.edu.hk <br>
|
|
<b>Phone:</b> +852 3943-8322 <br>
|
|
</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
|
|
<div id="annoucement">
|
|
<ul>
|
|
<li>I am looking for self-motivated, hard-working PhD students with solid mathematics background and experience in programming. Students with a bachelor/master degree in Applied Mathematics or Probability are preferred. Contact me via email if you are interested.</li>
|
|
<li><b>Abstract submission for <a href="http://www1.se.cuhk.edu.hk/~bfs2020/" target="_blank">Bachelier Finance Society 11th World Congress</a> is now <a href="http://www1.se.cuhk.edu.hk/~bfs2020/cfp/cfp.html" target="_blank">open</b></a>.
|
|
</div>
|
|
|
|
<h3 id="teaching">Teaching <a href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3>
|
|
|
|
<ul id="course">
|
|
<li><b>SEEM3590</b> Investment Science, Fall 2019</li>
|
|
<li><b>SEEM3580</b> Risk Analysis for Financial Engineering, Spring 2020</li>
|
|
</ul>
|
|
|
|
<h3 id="research">Publications</h3>
|
|
<ol reversed>
|
|
<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>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>
|
|
submitted, 2018.</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>
|
|
|
|
<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>
|
|
<i>SIAM Journal on Financial Mathematics</i>, forthcoming. [<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>Hedge Fund Leverage with Stochastic Market Conditions</b> (with Li Zhao, Wenli Huang and Shenghong Li).<br>
|
|
<i>International Review of Economics & Finance</i> 59:258-273, 2018. [<a href=https://www.sciencedirect.com/science/article/pii/S1059056018300558, target="_blank">Article</a>]</li>
|
|
|
|
<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, target="_blank">Article</a>]</li>
|
|
</ol>
|
|
|
|
|
|
<h3 id="links">Links</h3>
|
|
<a href="http://www.se.cuhk.edu.hk" target="_blank">SEEM@CUHK</a> <a href="http://www.hongkong-fintech.hk/en/home.html" target="_blank">FinTechHK</a>
|
|
|
|
|
|
<hr>
|
|
|
|
<div align="right"><font size="-1">Last updated: 2019-10-24</font></div>
|
|
|
|
</body>
|
|
</html>
|