|Staff position||Lecturer in Finance
BSc (East China University of Science and Technology), MSc (Essex), PhD (Essex)
- Option pricing
- Application of wavelet method
- Derivative securities
- Hedge fund performance
- Fund Management
- "Revealing the Implied Risk-neutral MGF from options: The Wavelet Method”, 2009, Journal of Economic Dynamics and Control, 33 (3), 692-709 (with E. Haven, X. Liu, and C. Ma).
- "De-noising Option Prices with the Wavelet Method”, 2012, European Journal of Operational Research, 222 (2012) 104–112 (with E. Haven, X. Liu).
- "An empirical investigation of option pricing models” ( with X. Liu)
- "Looking at the volatility smile from a new perspective” (with E. Haven)
- "A wavelet based study of Levy jumps in an equilibrium option pricing model” (with J. Chen)
- “Revealing the Implied Risk-Neutral MGF with the Wavelet Method”, 12TH International Conference on Computing in Economics and Finance (22-24 June 2006, Cyprus).
- “De-noising Option Prices with the Wavelet Method”, International Workshop on Computational and Financial Econometrics (20-22 April 2007, Geneva).