Liming Feng (冯黎明)  Associate Professor    University of Illinois at Urbana-Champaign Department of Industrial and Enterprise Systems Engineering 117 Transportation Building MC-238 104 S Mathews Ave, Urbana, IL 61801 Office: Transportation Building 216A Phone: 217-244-5176, Fax 217-244-5705, Email: fenglm[at]illinois.edu CV  Research  Teaching  Students  News  Financial Engineering @ Illinois

• 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.
• 2015-03-05 Yingjie Yu was admitted into the Finance Ph.D. program at the University of Illinois at Urbana-Champaign. She will start in Fall 2015. 
• 2015-02-20 Two teams led by Junming Zhang, Fan Yang, Di Xiao and Chongda Liu were 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.

• Ph.D., Northwestern University, Industrial Engineering and Management Sciences, 2006
• 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 Lévy process models. 2013. SIAM Journal on Financial Mathematics, 4(1), 474-493. With Xiong Lin. Download
• Subspace accelerated 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 
• Inverting analytic characteristic functions and financial applications. 2013. SIAM Journal on Financial Mathematics, 4(1), 372-398. With Xiong Lin. Download
• Simulating Lévy 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. Download
  
• 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 Lévy models. 2011. Proceedings of the 2011 NSF Engineering Research and Innovation Conference. With Xiong Lin. Download 
• Inverse transform method for simulating Lévy 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, 26(4-5), 813-825. With Vadim Linetsky, Jose Luis Morales, Jorge Nocedal. Download
• Computing Exponential Moments of the Discrete Maximum of a Lévy Process and Lookback Options. 2009. Finance and Stochastics, 13(4), 501-529. With Vadim Linetsky. Download
• An algorithm for linear complementarity and its application in American options pricing. 2009. AIP Conference Proceedings, 1168(2), 1400-1402. With Vadim Linetsky, Jose Luis Morales, Jorge Nocedal.
• Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Lévy Process Models: A Fast Hilbert Transform Approach. 2008. Mathematical Finance, 18(3), 337-384. With Vadim Linetsky. Download
• Variational Methods in Derivatives Pricing. 2008. Handbooks in Operations Research and Management Science, Vol 15, Financial Engineering, 301-342. With Pavlo Kovalov, Vadim Linetsky, Michael Marcozzi. Download
• Pricing Options in Jump-Diffusion Models: an Extrapolation Approach. 2008. Operations Research, 56(2), 304-325. With Vadim Linetsky. Download
• Computational Methods for Lévy and Jump-Diffusion Processes: Applications in Financial Engineering. 2006. Doctoral Dissertation, Northwestern University.
• On the valuation of options in jump-diffusion models by variational methods. 2004. Technical Report, 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 Financial Engineering," 2009-2013, PI
• 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

• Jingnan Chen won the Morgan Stanley 2012 Prize for Excellence in Financial Markets, First runner-up for the paper "Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact" (joint with Liming Feng, Jiming Peng and Yinyu Ye)
• Jingnan Chen won the First Place of the 2013 INFORMS Financial Services Section Best Sutdent Research Paper Award for the paper "Optimal portfolio liquidation with a Markov chain approximation approach" (Joint with Liming Feng, Jiming Peng)
  

• IE 522, Statistical Methods in Finance,  Fall 11, Fall 12, Fall 14
• IE 526, Stochastic Calculus in Finance, Spring 07, Spring 08, Spring 09, Spring 11, Spring 12, Spring 15
• IE 420, Financial Engineering,               Fall 07, Fall 08, Fall 10, Spring 13, Spring 15 
• IE 300, Analysis of Data,                        Fall 06, Fall 09, Spring 10

•  IEMS 201, Introduction to Statistics, Spring 04

• Sharp Outstanding Teaching Award in Industrial Engineering, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2011
• On the List of Teachers Ranked as Excellent by Their Students: IE 522 Fall 2011, 2012; IE 526 Spring 2009, 2011, 2012; IE 420 Fall 2007, Spring 2013

• Statistical Methods in Finance
• Stochastic Calculus in Finance
• Numerical Methods in Finance
• Financial Computing
• Optimization in Finance / Clustering and Approximation Methods

• Introduction to Finance
• Financial Economics
• Financial Derivatives
• Risk Measures and Management
• Term Structure Models / Market Microstructure

Ph.D. students

• 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
• Zisheng Chen, Ph.D. in IE, 2007 - 2013; B.S. in Applied Mathematics, 2007, Nanjing University
• 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
• Placement: Ernst & Young, New York
• Dissertation: Sampling Error of the Supremum of a Lévy Process
• Xiong Lin, Ph.D. in Math, 2005 - 2010; B.S. in Mathematics, 2005, Nankai University
• Placement: Gresham Investment Management, New York
• Dissertation: The Hilbert Transform and its Applications in Computational Finance

Master students

• Haohao Qin, M.S. student in IE, 2014 - present; B.Eng. in Information and Communication Engineering, 2008, Beijing University of Posts and Telecommunications
• 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
• Placement: Ford Motor Company
• Qianyi Zhao, M.S. in IE, 2008 - 2010; B.S. in IE, 2008, Tsinghua University
• Placement: LexisNexis
• Sindhura Mekala, M.S. in IE, 2007 - 2009; M.S. in Management Studies, 2006, Birla Institute of Technology and Science
• Placement: HAVI Global Solutions
• Ying Zhu, M.S. in IE and Statistics, 2007 - 2009; B.S. in Mechanical Engineering, 2007, Shanghai Jiao Tong University
• Placement: HSBC
• Kailash Kotwani, M.S. in SEE, 2009
• Ricky Santoso, M.S. in IE, 2007 - 2009; B.S. in IE, 2007, University of Illinois at Urbana-Champaign
• Placement: Frisian Flag Indonesia
• Zhi Yin, M.S. in SEE, 2007 - 2008; B.S. in Automotive Engineering, 2005, Tsinghua University
• Started his own company in China

• 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 

• 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
• Placement: Goldman Sachs