Working papers

1. Portfolio selection with transaction costs and multiple risky assets (with X. Chen)

2. Optimal consumption and investment with asymmetric long-term/short-term capital gains taxes (with H. Liu and Y.F. Zhong) 2011 TCW Best Paper Award

3. A note on finite horizon optimal investment and consumption with transaction costs (with Z. Yang)

4. Market closure and liquidity premium puzzle (with P.F. Li, H. Liu, and Y. Wang)

5. Optimal trend following trading rules (with Q. Zhang and Q. Zhu)

6. Pricing corporate debt with finite maturity and Chapter 11 proceedings (with L. Jiang and J. Lin)

Publiations (press here by category)

1. Optimal stock selling based on the global maximum accepted for publication in SIAM Journal on Control and Optimization (with Y.F. Zhong and Z. Yang)

2. Leverage management in a bull-bear switching market accepted for publication in Journal of Economic Dynamics and Control (with H.F. Wang and Z. Yang)

3. A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls, accepted for publication in Mathematical Finance (with N. Chen, X. Wan)

4. Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance (2012), 22(1), 165–184. (with Y.F. Zhong)

5. Finite horizon optimal investment and consumption with CARA Utility and proportional transaction costs to appear in Stochastic Analysis and its Applications to Mathematical Finance, Essays in Honour of Jia-an Yan, Eds. T. Zhang and X. Y. Zhou, World Scientific (2011) (with Y. Chen and K. Zhao)

6. Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance (2011), 21(4), 775-793 (with Z.Q. Xu)

7. Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications (2011), 151(2), 402-417. (with B. Bian, L. Jiang, J. Zhang and Y.F. Zhong)

8. Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market (2011), 31(4), 394–406. (with Y.K. Kwok and Y.F. Zhong)

9. Illiquidity, position limits, and optimal investment for mutual funds, Journal of Economic Theory (2011), 146, 1598-1630. (with H.Q. Jin and H. Liu)

10. Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics (2010), 1, 780-810. (with Q. Zhang and Q. Zhu)

11. Buy low and sell high, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, edited by Chiarella, Carl and Novikov, Alexander, Springer, 2010, 317-334 (with H.Q. Jin, Y.F. Zhong, and X.Y. Zhou)

12. Continuous-time mean-variance portfolio selection with proportional transaction costs, SIAM Journal on Financial Mathematics, (2010), 1(1), 96-125. (with Z.Q. Xu and X.Y. Zhou)

13. Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, (2010), 13(3), 1-31. (with Y.F. Zhong)

14. A lattice pricing algorithm for moving-average barrier options, Journal of Economic Dynamics and Control (2010), 34(3):542-554 (with P.F. Li and J.E. Zhang)

15. Finite horizon optimal investment and consumption with transaction costs, SIAM Journal on Control and Optimization (2009), 48(2), 1134-1154 (with L. Jiang, P.F. Li and F.H. Yi)

16. Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem, Journal of Differential Equations (2009), 246, 1445-1469. (with F.H. Yi)

17. Pricing jump risk with utility indifference, Quantitative Finance (2009), 9(2):177-186 (with L.X. Wu)

18. Guaranteed minimum withdrawal benefit in variable annuities, Mathematical Finance (2008), 18(4), 595-611 (with Y.K. Kwok and J. Zong)

19. Optimal multiple stopping models of reload options and shout options, Journal of Economic Dynamics and Control (2008), 32(7):2269-2290 (with Y.K. Kwok)

20. Intensity-based framework and penalty formulation of optimal stopping problems, Journal of Economic Dynamics and Control (2007), 31(12):3860-3880 (with Y.K. Kwok and H. You)

21. A parabolic variational inequality arising from the valuation of strike reset options, Journal of Differential Equations (2006), 230:481-501 (with Z. Yang and F.H. Yi)

22. Characterization of optimal stopping regions of American path dependent options, Mathematical Finance (2006), 16(1):63-82 (with Y.K. Kwok)

23. Optimal policies of call with notice period requirement for American warrants and convertible bonds, Asia Pacific Financial Markets (2005), 12(4):353-373 (with Y.K. Kwok)

24. American options with lookback payoff, SIAM Journal on Applied Mathematics (2005), 66(1):206-227 (with Y.K. Kwok)

25. Options with combined reset rights on strike and maturity, Journal of Economic Dynamics and Control (2005), 29(9):1495-1515 (with Y.K. Kwok)

26. Valuing employee reload options under time vesting requirement, Quantitative Finance (2005), 5(1):61-69 (with Y.K. Kwok)

27. Quanto lookback options, Mathematical Finance (2004), 14(3):445-467 (with H.Y. Wong and Y.K. Kwok)

28. Optimal shouting policies of options with strike reset rights, Mathematical Finance (2004), 14(3):383-401 (with Y.K. Kwok and L.X. Wu)

29. Knock-in American options, Journal of Futures Markets (2004), 24(2):179-192 (with Y.K. Kwok)

30. Convergence of binomial tree method for European/American path-dependent options, SIAM Journal on Numerical Analysis (2004), 42(3):1094-1109 (with L. Jiang)

31. Options with multiple reset rights, International Journal of Theoretical and Applied Finance (2003), 6(5):637-653 (with Y.K. Kwok and L.X. Wu)

32. One-state variable binomial models for European-/American-style geometric Asian options, Quantitative Finance (2003), 3(4):288-295

33. A closed form solution to perpetual American floating strike lookback option, Journal of Computational Finance (winter 2000/2001), 4(2):63-68

34. A modified binomial tree method for currency lookback options, Acta Mathematica Sinica, (2000), 16(3):445-454

35. Convergence analysis of binomial tree method for American-type path-dependent options, Free boundary problems: theory and applications, I (Chiba, 1999), 153-166, GAKUTO Internat. Ser. Math. Sci. Appl., 13, Tokyo, 2000 (with L. Jiang)

36. Convergence of binomial tree method for American options, Partial differential equations and their applications (Wuhan, 1999), 106-118, World Sci. Publ., River Edge, NJ, 1999 (with L. Jiang)