Academic Staff


Research Assistant Professor

Dr. Chen Kexin
陳可歆博士

TU813, Yip Kit Chuen Bldg.

3400 3903


Qualifications
  • Ph.D. (Statistics) The Chinese University of Hong Kong (CUHK) 2021
  • M.Phil. (Risk Management Science) The Chinese University of Hong Kong (CUHK) 2018
  • B.Sc. (Risk Management Science) The Chinese University of Hong Kong (CUHK) 2016

 

Research Interests
  • Financial Mathematics: Stochastic control for financial application
  • Optimal stopping problems
  • Partial and asymmetric information problems

 

Selected Publications
  • Chen K., Jeon J., and Wong H.Y., Optimal Retirement under Partial Information, Mathematics of Operations Research, to appear.
  • Chen K., Chiu M.C., Shin Y.H., and Wong H.Y., Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy, SIAM Journal on Financial Mathematics, Vol.10 (2019), No.4, 977-1005.
  • Chen K., Chiu M.C., and Wong H.Y., Time-consistent mean-variance pairs-trading under regime-switching cointegration, SIAM Journal on Financial Mathematics, Vol.10 (2019), No.2, 632-665.


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