I am an assistant professor at the Department of Computer and Mathematical Sciences, University of Toronto Scarborough and the Department of Statistical Sciences, University of Toronto. I work mainly on probability and mathematical finance.
Before joining U of T in July 2018, I was a non-tenure track assistant professor in financial mathematics at the Department of Mathematics, University of Southern California
. I received my PhD in Mathematics from University of Washington
in 2016 under the supervison of Soumik Pal
. I also completed an MPhil in Mathematics at The Chinese University of Hong Kong
under the guidance of Ka Sing Lau
Mathematical finance, probability, optimal transport, information geometry, and their applications.
You are encouraged to visit my arXiv
and Google Scholar
My research is partially supported by NSERC Grant RGPIN-2019-04419.
Working papers and preprints
Accepted and published papers
- Logarithmic divergence: geometry and interpretation of curvature
With Jiaowen Yang. Proceedings of the 4th Conference on Geometric Science of Information (Best Paper Award).
- Random walks and induced Dirichlet forms on compact spaces of homogeneous type
With Ka-Sing Lau and Shi-Lei Kong. To appear in Proceedings of the 6th Cornell conference on Analysis, Probability and Mathematical Physics.
- Logarithmic divergences from optimal transport and Rényi geometry
Information Geometry (2018).
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
With Christa Cuchiero and Walter Schachermayer. Mathematical Finance (2019).
- Information geometry in portfolio theory
In Frank Nielsen (Ed.), Geometric Structures of Information, Springer (2019).
- Exponentially concave functions and a new information geometry
With Soumik Pal. The Annals of Probability (2018).
- Random walks and induced Dirichlet forms on self-similar sets
with Ka-Sing Lau and Shi-Lei Kong. Advances in Mathematics (2017).
- The geometry of relative arbitrage
With Soumik Pal. Mathematics and Financial Economics (2016)
- Volatility harvesting in theory and practice
With Paul Bouchey and Vassilii Nemtchinov. The Journal of Wealth Management, (2015).
- Optimization of relative arbitrage
Annals of Finance (2015).
Other manuscripts and works
- Geometry and Optimization of Relative Arbitrage
PhD Thesis (2016). University of Washington.
- R Package. RelValAnalysis - Relative Value Analysis.
Available on [CRAN]
- Energy, entropy, and arbitrage
With Soumik Pal. Unpublished manuscript (2013).
- Boundary Theory of Random Walk and Fractal Analysis
Mphil Thesis (2011). The Chinese University of Hong Kong.
- Induced measures of simple random walks on Sierpinski graphs
Unpublished manuscript (2011).
I reviewed papers for the following journals: Annals of Applied Probability, Finance and Stochastics, Computational and Applied Analysis, Information Geometry, Pure and Applied Analysis, SIAM Control and Optimization, Mathematics (MDPI).
- St George campus: STA4246 (Research Topics in Mathematical Finance) (co-taught by Yuchong Zhang) (Winter 2019)
- Scarborough campus: STAC70H3 (Statistics and Finance I) (Winter 2019).
- University of Southern California(2016-2018): Calculus I, Introduction to Statistics, Mathematical Finance II, Computational Finance, PhD topic course on optimal transport and information geometry (lecture notes available upon request).
- University of Washington (2014-2016): ODE, PDE, Matrix Algebra.
- 2020: Advances in Information Geometry, Institute of Statistical Mathematics (Japan) (forthcoming).
- 2019: Economics Meets the Mathematical Sciences, Fields Institute; AMS Sectional Meeting, University of Connecticut Hartford; SIAM Conference on Financial Mathematics & Engineering, Fields Institude; CAIMS 2019, Whistler; Third International Congress on Actuarial Science and Quantitative Finance, Manizales; 4th Conference on Geometric Sciences of Information, ENAC; Mathematical Finance Colloquium, University of Southern California; Eastern Conference in Mathematical Finance, Boston University; Statistics Seminar, McGills University; Department of Mathematics Seminar, The Chinese University of Hong Kong.
- 2018: Statistics Seminar, University of Toronto; Probability Seminar, University of Colorado; Probability and Statistics Seminar, University of Southern California; Applied Mathematics and PDE Seminar, University of Toronto; 9th Western Conference on Mathematical Finance, University of Southern California.
- 2017: 8th Western Conference on Mathematical Finance, University of Washington; CFMAR Seminar, University of California, Santa Barbara; Vienna Seminar in Mathematical Finance and Probability, University of Vienna; Department of Mathematics Seminar, The Chinese University of Hong Kong; Mathematical Finance Colloquium, University of Southern California; Mathematical Finance and Probability Seminar, Rutgers University; Probability Seminar, University of Washington; Analysis Seminar, University of Pittsburgh.
- 2016: Joint Mathematics Meeting, Seattle; CFRM Seminar, University of Washington; Probability and Statistics Seminar, University of Southern California; SIAM Conference on Financial Mathematics & Engineering, Texas.
- 2015: CFMAR Seminar, University of California, Santa Barbara; Stochastic Portfolio Theory and Related Topics, Columbia University; Probability and Computational Finance Seminar, Carnegie Mellon University; Financial/Actuarial Mathematics Seminar, University of Michigan; Mathematical Finance Colloquium, University of Southern California.
- 2013, 2014: Probability Seminar, University of Washington; Statistics Seminar, The Chinese University of Hong Kong; UseR! 2014, University of California, Los Angeles.