I am a Reader at the Department of Statistics. My past positons include Lecturer at the Department of Mathematics, King’s College London and Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance. I am still affiliated with the Oxford-Man Institute, where I now hold Associate Membership. In 2018-2019, I was a FRIAS Senior Fellow and a Marie Curie Fellow at the Freiburg Institute of Advanced Studies (FRIAS), University of Freiburg. I completed my D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University in 2011, under the supervision of Terry Lyons and Zhongmin Qian.
My research interests are mainly focused on mathematical finance and stochastic analysis. I am especially interested in
- stochastic control and backward stochastic differential equations;
- optimal stopping and free boundary problems;
- viscosity solutions and numerics;
- optimal investment and forward preferences;
- credit and funding liquidity risks.
- A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models, (with Juan Li and Wenqiang Li), SIAM Journal on Financial Mathematics, Vol.12, No.2, (2021), 867–-897.
- Systems of ergodic BSDE arising in regime switching forward performance processes, (with Ying Hu and Shanjian Tang), SIAM Journal on Control and Optimization, Vol.58, No.4, (2020), 2503-2534.
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, (with Shuo Huang and Thaleia Zariphopoulou), SIAM Journal on Control and Optimization, Vol.58, No.1, (2020), 165–191.
- Dynkin games with Poisson random intervention times, (with Haodong Sun), SIAM Journal on Control and Optimization, Vol.57, No. 4, (2019), 2962-–2991.
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, (with Wing Fung Chong, Ying Hu and Thaleia Zariphopoulou), Finance and Stochastics, Vol.23, No.1, (2019), 239—273.
- Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE, (with Thaleia Zariphopoulou), SIAM Journal on Financial Mathematics, Vol.8, No.1, (2017), 344-372.
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk, (with Vicky Henderson), SIAM Journal on Control and Optimization, Vol.54, No.2, (2016), 690-717.
- Stochastic control representations for penalized backward stochastic differential equations, SIAM Journal on Control and Optimization, Vol.53, No.3, (2015), 1440-1463.
- Funding liquidity, debt tenor structure, and creditor’s belief: An exogenous dynamic debt run model, (with Eva Lutkebohmert and Wei Wei), Mathematics and Financial Economics, Vol.9, No.4, (2015), 271-302.
- Pseudo linear pricing rule for utility indifference valuation, (with Vicky Henderson), Finance and Stochastics, Vol.18, No.3, (2014), 593-615.
- A multi-period bank run model for liquidity risk, (with Eva Lutkebohmert and Yajun Xiao), Review of Finance, Vol.18, No.2, (2014), 803-842.
- The backward stochastic dynamics on a filtered probability space, (with Terry Lyons and Zhongmin Qian), Annals of Probability, Vol.39, No.4, (2011), 1422-1448.
The link to my publications.
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