Welcome to Ning Cai's Homepage

 

Ning Cai

 

Professor

Director of Financial Engineering and FinTech Laboratory

Department of Industrial Engineering and Decision Analytics

The Hong Kong University of Science and Technology

 

Affiliate Professor

Financial Technology Thrust Area, Society Hub

The Hong Kong University of Science and Technology (Guangzhou)

 

Tel: +852 2358 8232         Email:  ningcai "at" ust "dot" hk


Education/Experience           Research Interest                        Honors and Awards       

Research Grants                    Editorial Boards                         Publications                                  Working Papers

Professional Activities          Invited Talks                              Students Supervised                      Teaching


Education

Ph.D.  2008      Major: Operations Research Department of Industrial Engineering and Operations Research, Columbia University
   
M.S.   2003       Major: Probability and Statistics Department of Probability and Statistics, School of Mathematical Sciences, Peking University
 
B.S.    2000        Major: Probability and Statistics Department of Probability and Statistics, School of Mathematical Sciences, Peking University
 

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Academic Experience

2020-present Professor Department of IEDA, Hong Kong University of Science and Technology
     
2021-present   Affiliate Professor Financial Technology Thrust Area, Society Hub, The Hong Kong University of Science and Technology (Guangzhou)
   
2014-present Director Financial Engineering and FinTech Laboratory, Department of IEDA, HKUST
   
2014-2020       Associate Professor Department of IEDA, Hong Kong University of Science and Technology
 
2008-2014        Assistant Professor Department of IEDA, Hong Kong University of Science and Technology
 

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Administrative Experience

09/2018-08/2020 The Founding Academic Director The MSc program in FinTech (jointly offered by three Schools -- Business and Management, Engineering, and Science; Program Committee Member since 09/2020), HKUST
     

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Research Interest

-- Financial Engineering, FinTech, Applied Probability, Stochastic Modeling

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Honors and Awards

-- The Outstanding Teaching Award. 2014-15. MSc Program in Engineering Enterprise Management, HKUST

-- The Teaching Excellence Appreciation Award, 2010-11, School of Engineering, HKUST

-- Honorable Mention. The George E. Nicholson Student Paper Competition. INFORMS 2008

-- The Second Place of the Best Student Research Paper Award. Financial Services Section. INFORMS 2007

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Editorial Boards

-- Associate Editor for Operations Research, 2015 - present

-- Associate Editor for Operations Research Letters2018 - present

-- Associate Editor for Digital Finance, 2018 - present

-- Associate Editor for IMA Journal of Management Mathematics, 2017 - present

-- Editorial Board Member for Stochastic Models, 2019 - present

-- Editorial Board Member for Probability in the Engineering and Informational Sciences, 2011 - present

-- Guest Associate Editor for Management Science (2015) and Naval Research Logistics (2018)

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Research Grants

-- Hong Kong RGC-GRF (2018-2020). Project No. 16205217.  PI.

-- Hong Kong RGC-GRF (2017-2019). Project No. 16223116.  PI.  

-- Hong Kong RGC-GRF (2016-2018). Project No. 16206415.  PI.  (Co-I: Steven Kou)

-- Hong Kong RGC-GRF (2015-2017). Project No. 16200614.  PI.  (Co-I: Steven Kou)

-- Hong Kong RGC-GRF (2012-2014). Project No. 610711.  PI. 

-- Hong Kong RGC-GRF (2010-2012). Project No. 610709.  PI. 

-- HKUST Research Project Competition (RPC) Grant (2011-2013). Project No. RPC11EG13. PI.

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Publications     (My PhD students are underlined)

[18] N. Cai, C. Li, and C. Shi. (2021). Pricing Discretely Monitored Barrier Options: When Malliavin Calculus Expansions Meet Hilbert Transforms. Journal of Economic Dynamics and Control. 127(6), 104113.

[17] N. Cai and X. Yang. (2021). A Computational Approach to First Passage Problems of Reflected Hyper-Exponential Jump Diffusion Processes. INFORMS Journal on Computing. 33(1), pp. 216-229. (PDF)

[16] N. Cai and W. Zhang. (2020). Regime Classification and Stock Loan Valuation. Operations Research. 68(4), pp. 965-983. (PDF)

[15] N. Cai and S. G. Kou. (2019). Econometrics with Privacy Preservation. Operations Research. 67(4), pp. 905-926. (PDF).

[14] N. Cai and X. Yang. (2018). International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model. Mathematical Finance. 28(1), pp. 409-446. (PDF).

[13] Y. Song, N. Cai and S. G. Kou. (2018). Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS Journal on Computing. 30(4), pp. 634-645. (PDF).

[12] N. Cai, Y. Song, and N. Chen. (2017). Exact Simulation of the SABR Model. Operations Research.  65(4), pp. 931-951. (PDF).

[11] N. Cai, Y. Song, and S. G. Kou. (2015). A General Framework for Pricing Asian Options under Markov Processes. Operations Research. 63(3), pp. 540-554. (PDF).

[10] N. Cai and C. Shi. (2014).  A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications. Stochastic Systems. 4(2), pp. 404-448. (PDF).

[9] N. Cai and L. Sun. (2014). Valuation of Stock Loans with Jump Risk. Journal of Economic Dynamics and Control, 40(3), pp. 213-241. (PDF).

[8]  N. Cai, C. Li, and C. Shi. (2014). Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models. Mathematics of Operations Research, 39(3), pp. 789-822. (PDF).

[7]  N. Cai, S. G. Kou, and Z. Liu. (2014). A Two-sided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering. Advances in Applied Probability, 46(3), pp. 766-789. (PDF. E-companion.)

[6]  N. Cai and S. G. Kou. (2012). Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model. Operations Research. 60(1), pp. 64-77. (PDF)   (The preliminary versions of the paper were entitled   "Pricing Asian options under a general jump diffusion model" and "Pricing Asian options via a double-Laplace transform".)

[5]  N. Cai and S. G. Kou. (2011). Option Pricing under a Mixed-Exponential Jump Diffusion Model. Management Science. 57(11), pp. 2067-2081. (PDF). (The preliminary version of the paper was entitled "Option Pricing under a Hyper-Exponential Jump Diffusion Model".)

[4]  N. Cai. (2011). Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model. Journal of Applied Probability. 48(3), pp. 637-656. (PDF)  

[3]  N. Cai, N. Chen, and X. Wan. (2010). Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), pp. 412-437. (PDF)  

[2]  N. Cai, N. Chen, and X. Wan. (2009). Pricing Double-Barrier Options under a Flexible Jump Diffusion Model. Operations Research Letters. 37(3), pp.163-167. (PDF)

[1]  N. Cai. (2009). On First Passage Times of a Hyper-Exponential Jump Diffusion Process. Operations Research Letters. 37(2), pp. 127-134. (PDF)  

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Working Papers     (My PhD students are underlined)

[2]  N. Cai, S. G. Kou, and Y. Song. A Unified Framework for Computing Regime-Switching Models. (PDF)   (The preliminary versions of the paper were entitled "A Unified Framework for Computations of Regime-Switching Models" and "A Unified Framework for Options Pricing under Regime Switching Models".)  

[1]  N. Cai, H. Lin, and W. Zhang. Pricing Path-Dependent Equity and Credit Derivatives within a General Hybrid Equity-Credit Framework: A Unified Analytical Approach.  

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Professional Activities

Conference Organization Committee
 -- Member of the Organization Committee: The IAS Quantitative Finance and Fintech Mini Workshop, June 2016, Hong Kong, China.
 -- Member of the Organization Committee: The 2019 Cross-Straits and Hong Kong/Macao Financial Technology Young Scholars Forum, September 2019, Guangzhou, China

Conference Cluster/Track Organization
 -- The Cluster Chair for Financial Services Section of the INFORMS Annual Meeting 2014, San Francisco, CA, USA
 -- Member of the Track Program Committee (TPC) of the "Financial Risk Management" track in the 2019 Winter Simulation Conference, December 2019, National Harbor, MD, USA.

Conference Session Organization
 --  The INFORMS Annual Meetings 2011-2017, 2019-2020 (USA), The 2018 INFORMS International Conference (Taipei), POMS-HK 2017 (Hong Kong), ICIAM 2015 (Beijing), IMS-FPS 2014 (Sydney), ICSA 2010 (Guangzhou)

Professional Societies
 -- Standing Director of the 4th Board of Directors, Financial Engineering and Financial Risk Management Branch of OR Society of China
 
-- Member, The Institute for Operations Research and the Management Sciences (INFORMS), Applied Probability Society of INFORMS, The Econometric Society

Journal Referee
 
-- Operations Research, Management Science, Mathematical Finance, Finance and Stochastics, Mathematics of Operations Research, SIAM Journal on Applied Mathematics, SIAM Journal on Control and Optimization, SIAM Journal on Financial Mathematics, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Advances in Applied Probability, Insurance: Mathematics and Economics, IEEE Transactions on Information Theory, IIE Transactions, Operations Research Letters, Queueing Systems, Quantitative Finance, Journal of Computational Finance, Applied Mathematical Finance, International Journal of Theoretical and Applied Finance, Statistics and Probability Letters, Annals of Operations Research, etc.

Chairperson of Thesis Examination Committees
 -- 
Ph.D.: Wei Sun (CSE '15), Rong Zhang (MECH '17), Feng Gao (ECE '18), Xiuhua Hu (LIFS '18), Ho-chun Lai (LIFS '19), Yafei Yang (PHYS '19), Xiaowei Wang (CHEM '20), Zichao Ma (ECE '20), Xiao Tang (LIFS '21)

Doctoral Dissertation Committee Member
 -- 
Guangwu Liu (IELM '09), Yi Wang (CSE '09),  Xi Yang (IELM '10), Zhiyuan Zhang (ISOM '10), Yanfen Shang (IELM '11), De-Xin Wang (ECE '11), Zhaolin Hu  (IELM '11), Wendong Zheng (Math '12), Yanhui Gao (Math '12), Wenyuan Wang (IELM '13), Xiaobei Shen (IELM '13), Chunhong Li (Math '14), Jingjing Wang (Math '14), Pingping Zeng (Math '14), Zhongwei Yang (Math '14), Yao Tung Huang (Math '14), Zhe Wang (Civil '15), Dong Ding (IELM '15), Chi Zhang (IELM '16), Andi Wang (IELM '16) , Ye Hur Cheong (IELM '17), Jiajun Guo (Math '17), Nan Zhang (Civil '17), Suoyuan Song (IEDA '18), Yue Jiang (Math '18), Yue Wei (BIEN '18), Dawei Zhang (Math '18), Tian Liu (ECE '18), Bo Sun (ECE '18), Haoyun Tang (Math '19), Songfu Cai (ECE '19), Ting Li (Math '19), Lixiang Lian (ECE '19), Rougang Ye (MATH '20), Tingyi Wang (IEDA '20), Su Wang (ECE '20), Jing Wei Chin (IEDA '21)

Masters' Dissertation Committee Member/Chairman
 
-- Qing Xu (Math '09), Wendong Zheng (Math '09), Kai Ma (Math '10), Jinxing Yang (IELM '10) , Cuiting Guo (IELM '10) , Jia Liu (IELM '11), Chenjie Wang (IELM '12, Chairman), Xinwei Wan (IELM '14, Chairman), Jicheng Xing (IELM '14, Chairman), Hongchi Liu (IELM '14), Qiuqi Wang (Math '19, Chairman), Tsz Tai Chan (IEDA '21)

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Students Supervised                                                                                                                  

Past Doctoral Students
 
-- Wei Zhang (graduated in 2018; Postdoctoral Fellow, HKUST, Hong Kong)   

 -- Haohong Lin (graduated in 2016; Symmetry Investments, Hong Kong)    

 -- Chao Shi (graduated in 2014; School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai)

 -- Yingda Song (graduated in 2013; Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai)

 -- Lihua Sun (graduated in 2010, Co-advised by Prof. L. Jeff Hong; School of Economics and Management, Tongji University, Shanghai)

Current Doctoral/MPhil Students
 
-- Qingcan Kang: 2018 - present.

 -- Ziyang Hao: 2019 - present. 

 -- Siyi Wang: 2019 - present.

 -- Yuan An Sim: 2020 - present 

Undergraduate Students
 
-- I supervise final year projects every year since 2009 (22 groups and 75 undergraduate students so far).

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Invited Talks

Plenary Talks
 
-- The 9th Annual Conference of Financial Engineering and Financial Risk Management Branch of OR Society of China (中国运筹学会金融工程与金融风险管理分会第九届学术年会), Shanghai, 2019

 -- The Workshop "Digital Innovation in Finance", Tokyo, 2018 

 -- The 9th National Workshop in Mathematical Finance and Financial Engineering (第九届全国金融数学与金融工程学科建设和学术研讨会), Chengdu, 2018

 -- The Youth Forum of Stochastic Processes and Financial Mathematics, Xi'an, 2017

Universities or institutes
 
--  Beihang University (SEM), Capital University of Economics and Business (School of Finance), Central University of Finance and Economics (China Institute for Actuarial Science), Chinese Academy of Sciences (Academy of Mathematics and Systems Science), City University of Hong Kong (Business School), Cornell University (ORIE), CUHK (SEEM), CUHK Shenzhen (iDDA), Georgia Tech (ISyE), HKUST (Math, IELM), Hong Kong Poly. Univ. (Business School), Nankai University (Math), Peking University (GSM, Math), Peking University HSBC Business School, South China Normal University (Math), The Johns Hopkins University (Applied Math and Statistics), Tsinghua University (IE, SEM), Univ. of Alabama (Math), Univ. of Calgary (Math), Univ. of Pittsburgh (Math), Univ. of Western Ontario (Applied Math), Wuhan University (EMS), Zhongnan University of Economics and Law (Finance).

Conferences
 
-- Asian Quantitative Finance Conference (AQFC) (2013, 2015, 2017, 2018, 2019); INFORMS Annual Meeting (2006-2013, 2015); many conferences or workshops in financial engineering and applied probability

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Teaching Experience                                                                                                          

Instructor at HKUST

Undergraduate courses
 -- IEDA 4500 (New Course): Engineering Foundations of FinTech, Spring 2021
 -- IEDA 3330 (IELM 3330) (New Course): Introduction to Financial Engineering, Fall 2014-2020
 -- IELM 3020 (202): Introduction to Operations Research. Fall 2008-2013

MSc courses
 -- MFIT 5005 (New Course): Foundations of FinTech. Fall 2019-2020
 -- EEMT 5530 (6000A) (New Course): Financial Engineering and Risk Management, Summer 2014, Spring 2015

Postgraduate courses
 -- FTEC 5040 (New Course): Financial Technology Research, Spring 2021
 -- IEDA 5250 (IELM 5250, 525) (Qualifying Course): Stochastic Models in Operations Research, Spring 2011-2020
 -- IELM 610B (New Course): Financial Engineering: Asset Pricing Models. Spring 2009, Fall 2010
 

Teaching Assistant at Columbia University

Undergraduate Level
 
-- Introduction to Operations Research: Stochastic Models. Spring 2004
 -- Introduction to Probability and Statistics. Spring 2004
 -- Introduction to Statistical Inference. Spring 2004 

Masters Level
 -- Engineering of Management I. Fall 2003
 -- Financial Engineering II. Fall 2006
 -- CVN Course Manager, Financial Engineering II. Spring, Summer and Fall 2007

Ph. D. Level
 -- Optimization I (Qualifying course) . Fall 2004
 -- Stochastic Modeling II (Qualifying course). Spring 2005

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