Tsinghua Univ., Beijing, Mathematics, B.S., 1981; Columbia Univeristy, Statistics, M.A., 1982; M.Ph. 1986; Ph.D. 1988, Advisor: Steven P. Lalley
Financial Econometrics, Computational, Materials Science, and Monte Carlo Methods
My research focuses on ancial economics, probability approximations in asset pricing, interest rate derivatives for term structure models, risk management, calibration of stochastic volatility models, and market microstructure models with transaction costs and asymmetric information. Additionally, I study market liquidity and high- frequency trading, inference and prediction for stochastic cusp catastrophe model, statistical arbitrage and algorithmic trading.