Experience

 
 
 
 
 
June 2019 – Present
Zurich, Switzerland

Postdoctoral Researcher

RiskLab, ETH Zurich

 
 
 
 
 
January 2019 – May 2019
Hong Kong

Postdoctoral Fellow

Dept. of Math, The University of Hong Kong

Papers

Journal Articles

More specifically, my completed and current research projects include credit risk modeling and credit derivatives pricing & hedging, hidden Markov models, optimal pairs trading strategies and participating policies pricing via neural networks, etc.

. Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach. Submitted, 2021.

. Optimal Pairs Trading with Dynamic Mean-Variance Objective. Mathematical Methods of Operations Research, 94(1), 145-168, 2021.

PDF Journal Link

. How correlation risk in basket credit derivatives might be priced and managed?. IMA Journal of Management Mathematics, 32(2), 195-219, 2021.

PDF Journal Link

. Modeling Credit Risk with Hidden Markov Default Intensity. Computational Economics, 54(3), 1213-1229, 2019.

PDF Journal Link

. Interacting default intensity with a hidden Markov process. Quantitative Finance, 7(5), 781-794, 2017.

PDF Journal Link

. Pricing Participating Policies Under Hidden Markov Models via Neural Networks. Preprint, 2019.

Teaching

All of the courses are given in English

 
 
 
 
 
February 2021 – May 2021
Zurich, Switzerland

Teaching Assistant

RiskLab, ETH Zurich

Course: Quantitative Risk Management
 
 
 
 
 
September 2017 – December 2017
Hong Kong

Teaching Assistant

Dept. of Math, The University of Hong Kong

Course: MATH 3600 Discrete Mathematics
 
 
 
 
 
September 2015 – December 2017
Hong Kong

Teaching Assistant

Dept. of Math, The University of Hong Kong

Course: MATH 1011 University Mathematics I
 
 
 
 
 
January 2015 – May 2015
Hong Kong

Teaching Assistant

Dept. of Math, The University of Hong Kong

Course: MATH 3408 Computational Methods and Differential Equations with Applications

Contact