ResearchI work on various problems related to probability, mathematical finance and applications. Currently I am interested in robust portfolio theory, optimal transport as well as information geometry. You are welcome to visit my arXiv and Google Scholar profiles.
Working papers and preprints
- On Time-Consistent Conditional Expectation Under Probability Distortion.
With Jin Ma and Jianfeng Zhang. Manuscript in preparation.
Submited papers and preprints
- Logarithmic Divergences from Optimal Transport and Renyi Geometry. (2017) Link.
- On Portfolios Generated by Optimal Transport. (2017) Link.
- Cover's Universal Portfolio, Stochastic Portfolio Theory and the Numeraire Portfolio
With Christa Cuchiero and Walter Schachermayer). Under revision at Mathematical Finance. Link.
- Universal Portfolios in Stochastic Portfolio Theory. (2015) Link.
Accepted and published papers
- Random Walks and Induced Dirichlet Forms on Self-similar Sets
with Ka-Sing Lau and Shi-Lei Kong. Advances in Mathematics (2017). Link.
- Exponentially Concave Functions and a New Information Geometry
with Soumik Pal. To appear in Annals of Probability. Link.
- Volatility Harvesting in Theory and Practice
With Paul Bouchey and Vassilii Nemtchinov. The Journal of Wealth Management (2015). Link.
- The Geometry of Relative Arbitrage
With Soumik Pal. Mathematics and Financial Economics (2016). Link.
- Optimization of Relative Arbitrage
Annals of Finance (2015). Link.
- Geometry and Optimization of Relative Arbitrage
PhD Thesis (2016). University of Washington. Link.
- Energy, Entropy, and Arbitrage
With Soumik Pal. Unpublished manuscript (2013). Link.
- Boundary Theory of Random Walk and Fractal Analysis
Mphil Thesis (2011). The Chinese University of Hong Kong. Link.
- Induced Measures of Simple Random Walks on Sierpinski Graphs
Unpublished manuscript (2011). Link.
Invited talks(2018, Apr) (forthcoming) Probability Seminar, University of Colorado, Boulder.
(2018, Mar) (forthcoming) University of Toronto.
(2018, Feb) (forthcoming) Probability and Statistics Seminar, University of Southern California.
(2017, Dec) Functional Analysis Seminar, University of Pittsburgh, Pennsylvania.
(2017, Dec) Probability Seminar, University of Washington, Seattle.
(2017, Oct) Mathematical Finance and Probability Seminar, Rutgers University, New Jersey.
(2017, Oct) Mathematical Finance Colloquium, University of Southern California, Los Angeles.
(2017, Aug) Department of Mathematics seminar, The Chinese University of Hong Kong, Hong Kong.
(2017, May) Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Vienna.
(2017, Apr) CFMAR seminar, University of California, Santa Barbara.
(2017, Mar) 8th Western Conference on Mathematical Finance, Seattle.
(2016, Nov) SIAM Conference on Financial Mathematics & Engineering, Austin.
(2016, Sep) Probability and Statistics Seminar, University of Southern California.
(2016, Mar) CFRM Seminar, University of Washington.
(2016, Jan) AMS Special Session, Joint Mathematics Meeting 2016.
(2015, Nov) Math Finance Colloquium, University of Southern California.
(2015, Oct) Financial/Actuarial Mathematics seminar, University of Michigan.
(2015, Sep) Probability and Computational Finance Seminar, Carnegie Mellon University.
(2015, May) Stochastic Portfolio Theory and Related Topics, Columbia University.
(2015, Apr) CFMAR seminar, University of California, Santa Barbara.
(2014, Dec) Statistics seminar, The Chinese University of Hong Kong.
(2014, July) UseR! 2014, University of California, Los Angeles.
(2014, Mar) Statistics seminar, The Chinese University of Hong Kong.
(2013, Apr) Probability seminar, University of Washington.
- MATH512 Computational Finance
- MATH530b Mathematical Finance
Course materials are available on Blackboard.
Previous courses at USC:
- MATH599 Topic course on Portfolio Theory, Optimal Transport and Information Geometry
- MATH512 Computational Finance (Financial Informatics and Simulation)
- MATH118 Introduction to Statistics
- MATH125 Calculus I
Previous courses at UW:
- MATH309 Linear Analysis
- MATH307 Ordinary differential equations
- MATH308 Matrix Algebra
For beginners I recommend The Art of R Programming by Norman Matloff.
A good (intermediate-advanced) reference is Advanced R by Hadley Wickham.
- RelValAnalysis. (Relative Value Analysis) Available on CRAN. Current version: 1.0 (June 26, 2014).
This R package implements results in stochastic portfolio theory and the energy-entropy framework in Pal and Wong (2013). Click here for introductory slides presented in the useR! 2014 Conference. The R codes presented in the slides are collected here.