2015-05-21 Runqi Hu, Jing Xu, Haohao Qin will intern with Akuna Capital, the People's Bank of China and Wolfram, respectively, over the summer.
2015-03-19 Zelong Qiu has accepted an offer to join the Master of Science in Computational Science and Engineering program at Harvard University. He will start in Fall 2015.
2015-03-09 Runqi Hu is on the Fall 2014 List of Teachers Ranked as Excellent by Their Students. She was the teaching assistant for IE 522 - Statistical Methods in Finance.
Yu was admitted into the Finance Ph.D. program at the University of
Illinois at Urbana-Champaign. She will start in Fall 2015.
2015-02-20Two teams led by Junming Zhang, Fan Yang, Di Xiao and Chongda Liuwere among the top 10% (out of 500 teams) invited to participate the Championship Round of the 2015 CME Group Trading Challenge. Team UIUC-Stockii (with Junming and Fan) ranked 12th in the preliminary round, with a return
of 58.7% in a 13-day trading period. Team UIUC-FE (with Di and Chongda) ranked 46th.
Northwestern University, Industrial Engineering and Management
M.S., Northwestern University, Mathematics, 2000
B.S., Beijing Normal University, Mathematics, 1997
Quantitative Finance, Stochastic Modeling and Operations Research
Optimal deleveraging with nonlinear temporary price impact. 2015. European Journal of Operational Research, 244(1), 240-247. With Jingnan Chen, Jiming Peng.
Analytical results and
efficient algorithm for optimal portfolio deleveraging with market
impact. 2014. Operations Research, 62(1), 195-206. With
Jingnan Chen, Jiming Peng, Yinyu Ye. Download
Quadratic finite element and
preconditioning for options pricing in stochastic volatility jump
diffusion models. 2014.Journal of Computational Finance, 17(3), 3-30. With
Ying-Ying Zhang, Hong-Kui Pang, Xiao-Qing Jin. Download
Pricing Bermudan options in LÚvy
process models. 2013. SIAM Journal on Financial Mathematics, 4(1), 474-493. With Xiong Lin. Download
matrix splitting algorithms for asymmetric and symmetric linear
complementarity problems. 2013. SIAM Journal on Optimization, 23(3), 1371-1397. With Daniel Robinson, Jorge
Nocedal, Jong-Shi Pang. Download
characteristic functions and financial applications. 2013. SIAM Journal on Financial Mathematics, 4(1), 372-398. With Xiong Lin. Download
processes from their characteristic functions and financial applications.
2012. ACM Transactions
on Modeling and Computer Simulation, 22(3), 14:1-14:26.
With Zisheng Chen, Xiong Lin.
On the monitoring error of the
supremum of a normal jump diffusion process. 2011. Journal
of Applied Probability, 48(4), 1021-1034. With Ao Chen,
Renming Song. Download
Pricing Bermudan options in LÚvy
models. 2011. Proceedings of
the 2011 NSF Engineering Research and Innovation Conference. With Xiong
Inverse transform method for simulating LÚvy
processes and discrete Asian options pricing. 2011. Proceedings of the
2011 Winter Simulation Conference, 444-456. With Zisheng
Chen, Xiong Lin. Download
On the solution of
complementarity problems arising in American options pricing.
2011. Optimization Methods and Software,
813-825. With Vadim
Linetsky, Jose Luis Morales, Jorge Nocedal. Download
Computing Exponential Moments
of the Discrete Maximum of a LÚvy Process and Lookback Options.
Stochastics, 13(4), 501-529. With Vadim Linetsky. Download
An algorithm for linear
complementarity and its application in American options pricing.
Conference Proceedings, 1168(2), 1400-1402. With Vadim
Linetsky, Jose Luis Morales, Jorge Nocedal.
Monitored Barrier Options and Defaultable Bonds in LÚvy Process Models:
A Fast Hilbert Transform Approach. 2008. Mathematical Finance,
18(3), 337-384. With Vadim Linetsky. Download
Methods in Derivatives Pricing. 2008. Handbooks in
and Management Science, Vol 15, Financial Engineering,
301-342. With Pavlo Kovalov, Vadim Linetsky, Michael Marcozzi. Download
in Jump-Diffusion Models: an Extrapolation Approach. 2008.
56(2), 304-325. With Vadim Linetsky. Download
Computational Methods for LÚvy
and Jump-Diffusion Processes: Applications in Financial Engineering.
valuation of options in jump-diffusion models by variational methods. 2004.
Northwestern University. With Vadim Linetsky, Michael Marcozzi. Download
NSF Division of Civil,
Mechanical, and Manufacturing Innovation (Service Enterprise Systems), "Collaborative Research:
Market-Based Calibration of Pricing Models for Financial and Energy
Option Contracts," 2010-2015, Co-PI, joint with Jong-Shi
Pang, Jorge Nocedal
NSF Division of Civil,
Mechanical, and Manufacturing Innovation (Service Enterprise Systems), "Hilbert Transform Methods in
Initiative for Mathematical
Sciences and Engineering, University of Illinois at Urbana-Champaign, "Discrete Sampling of Levy
Processes: Supremum and Optimal Stopping," 2012-2013, PI,
joint with Renming Song
Science in Financial Engineering @
of Illinois at Urbana-Champaign started the
MSFE program in Fall 2010. The following courses are offered by the ISE department:
Methods in Finance
Calculus in Finance
Methods in Finance
in Finance / Clustering and Approximation Methods
below are offered by the finance department
Measures and Management
Structure Models / Market Microstructure
is a practicum course in the third semester. The program hosts regular
seminars delivered by practitioners from the financial industry. More
information regarding the program can be
found at http://msfe.illinois.edu.
Students and Visitors (current members in bold)
Runqi Hu, Ph.D. student in IE, 2014 - present; B.S. in Risk Management and Insurance, 2012, East China Normal University
Fan Yang, Ph.D. student in Stat, 2013 - present; B.S. in Mathematics, 2013, University of Science and Technology of China
Qu Lu, Ph.D.
student in Math (jointly with Renming Song), 2012 - present;
B.S. in Statistics, 2010, University of Science and Technology of China
Jingnan Chen, Ph.D. in IE (jointly with Jiming Peng), 2010 - 2014; B.S. in
Mathematics, 2010, Dalian University of Technology
Placement: Singapore University of Technology and Design, Assistant Professor
Dissertation: Optimal deleveraging and liquidation of financial portfolios with market impact
Fuyuan Wang, Ph.D.
in IE (jointly with Jong-Shi Pang), 2009 - 2014; B.S. in
Mathematics, 2009, Fudan University
Placement: Goldman Sachs, New York
Dissertation: Forward and inverse American option pricing via a complementarity approach
Chen, Ph.D. in IE, 2007 - 2013; B.S. in Applied Mathematics, 2007,
Placement: Constellation Energy Group, Baltimore
Dissertation: Topics on Option Valuation and Model Calibration
Ao Chen, Ph.D. in
Math (jointly with Renming Song),
2005 - 2011; B.A. in
Mathematics/Communication, 2002, Shanghai Jiaotong University
Ernst & Young, New York
Dissertation: Sampling Error
of the Supremum of a LÚvy Process
Xiong Lin, Ph.D. in
Math, 2005 - 2010; B.S. in Mathematics, 2005, Nankai University
Gresham Investment Management, New York
Dissertation: The Hilbert
Transform and its Applications in Computational Finance
M.S. student in IE, 2014 - present; B.Eng. in Information and
Communication Engineering, 2008, Beijing University of Posts and
Yingjie Yu, M.S. in IE, 2014 - 2015; B.A. in Financial Engineering, 2012, Nanjing University
Placement: Continued as a Ph.D. student in Finance, University of Illinois at Urbana-Champaign
Adam Davis, M.S. in
IE and MBA, 2008 - 2010; B.S. in IE, 2008, University of Illinois at Urbana-Champaign
Ford Motor Company
Qianyi Zhao, M.S. in
IE, 2008 - 2010; B.S. in IE, 2008, Tsinghua University
M.S. in IE, 2007 - 2009; M.S. in
Management Studies, 2006, Birla
Institute of Technology and Science
HAVI Global Solutions
M.S. in IE and Statistics, 2007 - 2009; B.S. in Mechanical
Engineering, 2007, Shanghai Jiao Tong
M.S. in SEE, 2009
Ricky Santoso, M.S.
in IE, 2007 - 2009; B.S. in IE, 2007, University of Illinois at
Frisian Flag Indonesia
Zhi Yin, M.S. in
SEE, 2007 - 2008;
B.S. in Automotive Engineering, 2005,
Started his own company in
Junming Zhang (2014 - 2015), Ph.D. in Computer Science, 2015 expected, Beijing University of Posts and Telecommunications
Lan Yi (2014 - 2015), Assistant Professor, Department of Accounting, Jinan University, Guangzhou, China
Romain Florentz (Summer 2011), M.S. in Probability and Finance, 2012, Pierre and Marie Curie University/Ecole Polytechnique
Placement: Societe Generale
Other graduate and undergraduate students conducting research
Chongda Liu (Spring 2015), MSFE, 2016 expected, University of Illinois at Urbana-Champaign
Jing Xu (Spring 2015), MSFE, 2016 expected, University of Illinois at Urbana-Champaign
Di Xiao (Spring 2015), MSFE, 2016 expected, University of Illinois at Urbana-Champaign
Karan Ghai (Spring 2015), B.S. in CS, 2015 expected, University of Illinois at Urbana-Champaign
Zhonghao Liu (Spring 2015), B.S. in IE, 2017 expected, University of Illinois at Urbana-Champaign
Yihua Gan (Spring 2015), B.S. in GE, 2016 expected, University of Illinois at Urbana-Champaign
Qiasheng Zou (Spring 2015), B.S. in IE, 2017 expected, University of Illinois at Urbana-Champaign
James Stronz(Fall 2014 - Spring 2015), B.S. in Math, 2016 expected, University of Illinois at Urbana-Champaign
ISUR (Illinois Scholars Undergraduate Research) project: Valuation of American options: methodology testing
Zelong Qiu (Fall 2014), B.S. in IE/Math, 2015, University of Illinois at Urbana-Champaign
Runqi Hu (Spring 2013 - Fall 2013), MSFE, 2013; B.S. in Risk Management and Insurance, 2012, East China Normal University
Continued as a Ph.D. student in IE, University of Illinois at Urbana-Champaign
Zeqiu Wu (Fall 2011), B.S. in ECE, 2014, University of Illinois at Urbana-Champaign