Education

Ph.D. in Mathematical Finance, Southwestern University of Finance and Economics, 2016.9 -- 2021.12.

Academic Employment

Non-tenured Associate Professor,  Faculty of Business in Scitech, School of Management, University of Science and Technology of China, 2024.5 --  present.

Post-Doctoral Fellow, School of Accounting and Finance, Hong Kong Polytechnic University, 2022.3 -- 2024.5.

Research Interest

Derivatives pricing

Publications

1.  Joint valuation of SPX and VIX options by GARCH models with bad and good environments, with Gongqiu Zhang, Journal of Banking & Finance, 2026, 107719.

2.  Analytical formula for pricing European options with stochastic volatility under the GARCH-PDE approximation, with Qi Wang, Qian Zhang, Yuanyuan Zhang, Journal of Derivatives, 2024(31), 98-124.

3.  Option valuation via nonaffine dynamics with realized volatility, with Yuanyuan Zhang, Qian Zhang and Qi Wang, Journal of Empirical Finance, 2024(77), 101486.

4.  VIX futures and its closed-form pricing through an affine GARCH model with realized variance, with Qi Wang, Journal of Futures Markets, 2021(41), 135-156.

5.  VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump, with Qi Wang, Journal of Banking & Finance, 2020(116), 105845.

Working Papers

1. The pricing of AM- and PM-settled options, with Gang Li.

2. Understanding equity option returns in the Chinese market, with Gang Li.

Professional Services

Ad-hoc Referee:  Finance Research Letter, The North American Journal of Economics and Finance, Journal of Risk.