PhD Thesis A Dynamic Contagion Process - for Modelling Contagion Risk in Finance and Insurance (2012, LSE)
Links SSRN - ORCID - ResearchGate - Google Scholar Citations - Mathematics Genealogy Project
Publications
- Exact Simulation of Quadratic Intensity Models, with Angelos Dassios, Anxin Liu, Yan Qu
- INFORMS Journal on Computing (featured article), 37(5), 1182-1201, 2025 - Market Probability of Interest Rate Tick Movements, with Zhanyu Chen, Anxin Liu, Kai Zhang
- Journal of Derivatives, 32(3), 140-187, 2025
- Best Paper Award of 6th China's Youth Forum on Derivatives, 2023 - A Model-free Lattice, with Ren-Raw Chen, Peilin Hsieh, Jeffrey Huang
- Journal of Risk and Financial Management, 18(1), 30, 2025 - Shot-noise Cojumps: Exact Simulation and Option Pricing, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 74(3), 647-665, 2023 - Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market, with Chao Ma, Hao Zhang [.PDF]
- Journal of Futures Markets, 43(4), 480-515, 2023
- presented at AEA Annual Meeting, 2021 - A Cox Model for Gradually Disappearing Events, with Angelos Dassios, Jiwook Jang, Yan Qu [.PDF]
- Probability in the Engineering and Informational Sciences, 37(1), 214-231, 2023 - A Skellam Market Model for Loan Prime Rate Options, with Zhanyu Chen, Kai Zhang [.PDF]
- Journal of Futures Markets, 42(3), 525-551, 2022 - Exact Simulation of Extrinsic Stress-Release Processes, with Young Lee, Patrick Laub, Thomas Taimre, Jiancang Zhuang [.PDF]
- Journal of Applied Probability, 59(1), 105-117, 2022 - Random Variate Generation for Exponential and Gamma Tilted Stable Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 31(4), 1-21, 2021 - Exact Simulation of Ornstein-Uhlenbeck Tempered Stable Processes, with Angelos Dassios, Yan Qu [.PDF]
- Journal of Applied Probability, 58(2), 347-371, 2021 - A Two-phase Dynamic Contagion Model for COVID-19, with Zezhun Chen, Angelos Dassios, Valerie Kuan, Jia Wei Lim, Yan Qu, Budhi Surya [.PDF] [.HTML]
- Results in Physics, 26, 104264, July, 2021 - Exact Simulation of Gamma-driven Ornstein-Uhlenbeck Processes with Finite and Infinite Activity Jumps, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 72(2), 471-484, 2021 - Efficient Simulation of Lévy-driven Point Processes, with Angelos Dassios, Yan Qu [.PDF]
- Advances in Applied Probability, 51(4), 927-966, 2019
- presented at 10th World Congress of the Bachelier Finance Society, 2018
- Excellent Paper Award of FSERM 2017 - A Generalised CIR Process with Externally-exciting and Self-exciting Jumps and its Applications in Insurance and Finance, with Angelos Dassios, Jiwook Jang [.PDF]
- Risks, 7(4), 103, 2019 - Moments of Renewal Shot-noise Processes and their Applications, with Angelos Dassios, Jiwook Jang [.PDF]
- Scandinavian Actuarial Journal, 2018(8), 727-752, 2018 - Exact Simulation for a Class of Tempered Stable and Related Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 28(3), 20:1-20:21, 2018 - Efficient Simulation of Clustering Jumps with CIR Intensity, with Angelos Dassios [.PDF]
- Operations Research, Financial Engineering Area, 65(6), 1494-1515, 2017 - A Generalised Contagion Process with an Application to Credit Risk, with Angelos Dassios [.PDF]
- International Journal of Theoretical and Applied Finance, 20(1), 1-33, 2017 - Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays,
with Kar Wai Lim, Young Lee, Leif Hanlen [.PDF]
- Journal of Machine Learning Research, W&CP, 63, 238-253, 2016
- Best Paper Award, The 8th Asian Conference on Machine Learning (ACML), 2016 - A Risk Model with Renewal Shot-noise Cox Process, with Angelos Dassios, Jiwook Jang [.PDF]
- Insurance: Mathematics and Economics, 65, 55-65, 2015 - A Markov Chain Model for Contagion, with Angelos Dassios [.PDF]
- Risks, 2(4), 434-455, 2014 (invited publication) - Exact Simulation of Hawkes Process with Exponentially Decaying Intensity, with Angelos Dassios [.PDF]
- Electronic Communications in Probability, 18(62), 1-13, 2013
- featured by Wolfram MathWorld - A Risk Model with Delayed Claims, with Angelos Dassios [.PDF]
- Journal of Applied Probability, 50(3), 686-702, 2013 - Ruin by Dynamic Contagion Claims, with Angelos Dassios [.PDF]
- Insurance: Mathematics and Economics, 51(1), 93-106, 2012 - A Dynamic Contagion Process, with Angelos Dassios [.PDF]
- Advances in Applied Probability, 43(3), 814-846, 2011
- presented at LSE PhD Student Poster Exhibition, 2011 [.PDF]
- presented at 6th World Congress of the Bachelier Finance Society, 2010
- Share-pledged Repos, with Anxin Liu, Kathy Yuan, Zhiyuan Zhang
- Correlation in Mortgage Defaults, with Chao Ma
- presented at AEA Annual Meeting, 2019 - Arbitrage-free Catastrophe Reinsurance Valuation for Compound Dynamic Contagion Claims, with Jiwook Jang, Patrick Laub, Ken Siu
- A Supply-side Argument to Explain the Moment Risk Premia, with Ren-Raw Chen, Peilin Hsieh
- A Risk Model with Stochastic Quadratic Intensity, with Lingjing Zhu
- Positive Stable Laws of Stability 2^-n, with Angelos Dassios, Yan Qu [.PDF]
- Portfolio Credit Risk of Default and Spread Widening
- First Prize of the Deutsche Bank Award in Financial Risk Management and Regulation, £10,000, 2012, Newsletter
- presented at 24th Annual Australasian Finance and Banking Conference, 2011 - Contagion Behavior of High-frequency Trading in Future and Option Markets, with Peilin Hsieh, Yuqiang Guo
- An Introduction to Financial Engineering (forthcoming)
- 07/2025 Invited Speaker, 3rd Joint Conference on Statistical and Data Science, Zhejiang University, Hangzhou
- 03/2025 Invited Speaker, π-Day Seminar on Financial Mathematics, Pinghe School, Shanghai
- 06/2024 10th Annual China International Risk Forum & 17th China Finance Review International Annual Conference, Nanjing University
- 10/2023 Invited Speaker, Seminar on Finance, Department of Finance, National Central University, Online
- 08/2023 4th Annual Conference on Financial Econometrics and Risk Management, Hunan University
- 05/2023 7th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University HSBC Business School, Shenzhen
- 04/2023 Invited Speaker, The Institute of Quantitative Finance, Xi'an Jiaotong-Liverpool University, Suzhou
- 11/2022 Invited Speaker, International Workshop on Financial Econometrics and Risk Management, SUFE, Online
- 10/2022 19th Chinese Finance Annual Meeting, Shanghai Jiao Tong University, Online
- 04/2022 19th Conference on Financial Systems Engineering and Risk Management, Online
- 10/2021 3rd China Derivatives Youth Forum, Xiamen University, Online
- 07/2021 3rd Annual Conference on Financial Econometrics and Risk Management, Mianyang
- 07/2019 2nd Annual Conference on Financial Econometrics and Risk Management, Dalian
- 04/2019 Invited Speaker, Workshop on Mathematical Finance and Financial Data Processing, Qingdao
- 12/2018 Invited Speaker, National Youth Statistician Forum, SUFE, Shanghai
- 08/2018 Invited Speaker, Frontier Forums on Stochastic Analysis, Financial Statistics and AI, Xi'an
- 06/2018 Invited Speaker, Workshop on Quantitative Finance, International Business School, Xi'an Jiaotong Liverpool University
- 04/2018 Invited Speaker, Series Seminar, Shanghai Center for Math Sciences & School of Data Science, Fudan University
- 11/2017 Forum on Financial Engineering and Risk Management, Sun Yat-sen University
- 10/2017 Invited Speaker, Conference on Big Data Statistics and FinTech, Fudan University
- 10/2017 15th International Conference on Financial Systems Engineering and Risk Management (FSERM), Beijing
- 09/2017 7th Annual Conference of Financial Engineering and Financial Risk Management, Hunan University
- 09/2017 1st Annual Conference on Financial Econometrics and Risk Management, Nanning
- 07/2017 Invited Speaker, 2nd Tianfu Workshop on Financial Mathematics, Southwestern University of Finance and Economics
- 04/2017 European Financial Management Symposium, Xiamen University
- 11/2016 Invited Speaker, Series Seminar, Guanghua School of Management, Peking University
- 06/2016 Greater China Area Finance Conference, Xiamen University
- 04/2016 Invited Speaker, Workshop on Financial Engineering and Stochastic Models, Nanjing University
- 03/2016 Xiamen-Tianjin University Joint Workshop on Quantitative Finance and Risk Management, Xiamen University
- 10/2015 Seminar for Youth Researchers Funded by National Natural Science Foundation of China, Nanchang
- 07/2015 China Youth Economists Forum, Xiamen University
- 07/2015 Invited Speaker, 3rd Asian Quantitative Finance Conference, Chinese University of Hong Kong
- 06/2014 2014 China Meeting of Econometric Society, Xiamen University
- 02/2012 Nomura Centre for Mathematical Finance, University of Oxford
- 12/2011 24th Annual Australasian Finance and Banking Conference, Sydney
- 06/2011 Department of Statistics, London School of Economics
- 03/2011 Invited Speaker, Risk and Stochastics Day, London
- 06/2010 6th World Congress of the Bachelier Finance Society, Toronto
- 03/2010 London Graduate School in Mathematical Finance, London
- 06/2009 Department of Statistics, London School of Economics
