DEPARTMENT OF APPLIED MATHEMATICS 75 Email guanxing.fu@polyu.edu.hk Qualification BSc (Dalian University of Technology) MSc (Nankai University) Dr. rer.nat. (Humboldt University of Berlin) ORCID ID 0000-0001-6965-0130 Dr FU Guanxing Assistant Professor Research Overview My research is to capture interesting phenomena in economics and finance, using mathematical techniques including stochastic control theory, mean field game, functional analysis, probability theory and statistics. Recently, I am particularly interested in portfolio liquidation, investment and consumption problems, and interbank market modelling, especially the last one. Our group model the interbank market with and without competition and prove that the market cannot rescue itself during crises. We also provide evidence to the regulator of when would be a right time to intervene. Moreover, we find cases where even intervention could not bail out the interbank market. Our theoretical results are consistent with empirical studies in literature. Representative Publications • Finance and Stochastics, 2023, 27(1): 189–231 • SIAM Journal on Control and Optimisation, 2023, 61(1): 285–314 • Mathematics and Financial Economics, 2023, 17(1): 79–99 • Mathematical Finance, 2022, 32(4): 1020–1065 • Mathematics of Operations Research, 2021, 46(4): 1250–1281 • SIAM Journal on Control and Optimisation, 2020, 58(4): 2078-2113 • SIAM Journal on Control and Optimisation, 2017, 55(6): 3833–3868
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