I am an Assistant Professor in the Department of Statistical Sciences at University of Toronto. I received my PhD degree from the University of Michigan in 2015, under the supervision of Prof. Erhan Bayraktar. Before joining U of T, I worked at Columbia University as a Term Assistant Professor.

I am on leave in 2023.

Here is my CV.

Research Interests

Mathematical finance, stochastic control, game theory, applied probability.

Teaching

• ACT240 Mathematics of Investment and Credit, Fall 2022.
• ACT460/STA2502 Stochastic Methods for Finance and Acturial Science, Fall 2018, Fall 2020, Fall 2021.
• STA4526 Stochastic Control and Applications in Finance, Fall 2019, Fall 2021.
• STA2570 Numerical Methods for Finance and Insurance Winter 2020 (1st half), Winter 2021, Winter 2022.
• STA4246 Research Topics in Mathematical Finance, Winter 2019 (1st half), Winter 2020, Winter 2021, Winter 2022.

Publications and Preprints

• Goal Based Investment Management (with Agostino Capponi), preprint, 2022. [SSRN].
• GANs as Gradient Flows that Converge (with Yu-Jui Huang), preprint, 2022. [arXiv].
• Mean Field Contest with Singularity (with Marcel Nutz), Mathematics of Operations Research, Articles in Advance, 2022. [arXiv], [SSRN], [Article].
• Reward Design in Risk-Taking Contests (with Marcel Nutz), SIAM Journal on Financial Mathematics, 13(1), 129-146, 2022. [arXiv], [SSRN], [Article].
• Teamwise Mean Field Competitions (with Xiang Yu and Zhou Zhou), Applied Mathematics & Optimization, 84, 903-942, 2021. [arXiv], [SSRN], [Article].
• Terminal Ranking Games (with Erhan Bayraktar), Mathematics of Operations Research, 46(4), 1349-1365, 2021. [arXiv], [SSRN], [Article].
• Conditional Optimal Stopping: A Time-Inconsistent Optimization, (with Marcel Nutz), Annals of Applied Probability, 30(4), 1669-1692, 2020. [arXiv], [SSRN], [Article].
• Large Tournament Games, (with Erhan Bayraktar and Jaksa Cvitanic), Annals of Applied Probability, 29(6), 3695-3744, 2019. [arXiv], [SSRN], [Article].
• A Mean Field Competition, (with Marcel Nutz), Mathematics of Operations Research, 44(4), 1245-1263, 2019. [arXiv], [SSRN], [Article].
• A Rank-Based Mean Field Game in the Strong Formulation, (with Erhan Bayraktar), Electronic Communications in Probability, 21, paper no. 72, 1-12, 2016. [arXiv], [SSRN], [Article].
• Lifetime Ruin Under Ambiguous Hazard Rate, (with Virginia R. Young), Insurance: Mathematics and Economics, 70, 125-134, 2016. [SSRN], [Article].
• Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty, (with Erhan Bayraktar), Mathematics of Operations Research, 41(3), 1039-1054, 2016. [arXiv], [SSRN], [Article].
• Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs, (with Erhan Bayraktar), SIAM Journal on Control and Optimization, 53(1), 91-113, 2015. [arXiv], [SSRN], [Article].
• Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion, (with Erhan Bayraktar), SIAM Journal on Control and Optimization, 53(1), 58-90, 2015. [arXiv], [SSRN], [Article].
• A note on the Fundamental Theorem of Asset Pricing under model uncertainty, (with Erhan Bayraktar and Zhou Zhou), Risks, 2(4), 425-433, 2014. [arXiv], [SSRN], [Article].
• PhD Thesis: Problems in Mathematical Finance Related to Transaction Costs and Model Uncertainty. [Deep Blue]

Selected Awards

• NSERC Discovery Grant RGPIN-2020-06290, 2020-2025.
• NSERC Discovery Launch Supplement DGECR-2020-00373, 2020-2021.
• NSF Grant in Applied Mathematics, DMS-1714607, 2017-2020 (terminated in 2018 due to moving to a non-US institution).
• SIAG/FME Conference Paper Prize, 2016.
  
• Rackham International Student Fellowship, University of Michigan, Spring/Summer 2012.
  
• Hong Kong Jockey Club Scholar, 2008.
• Admission scholarship covering four-year tuition and living expenses, CUHK, 2006.