Office: 11 Southpark Terrace, Room 302
Stochastic Modelling in Volatility and Its Applications in Derivatives
Yihan mainly focuses on topics of mathematical finance, especially on:
• Derivatives & Commodities
• Model uncertainty
• Optimal control
• Default risk
• Pensions and annuities
• Monte Carlo methods
• Awarded Employability funding, University of Glasgow in Jan 2020. (£180)
• Awarded the research visiting grants, the University of Sydney in July 2019. (AUD 3,000)
• Awarded the Jim Gatheral Travel Scholarship, University of Glasgow in July 2019. (£4,000)
• Awarded Employability funding, University of Glasgow in June 2018. (£500)
• Awarded the Scholarship of College of Social Science, University of Glasgow in October 2016.
• Awarded the Joint Scholarship of China Scholarship Council and University of Glasgow in October 2016.
• The 2nd International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance, Sanya, China in Jan 2020. (Talk)
• Talk in School of Mathematics and Statistics in the University of Sydney, Australia in Nov 2019.
• 12th European Summer School in Financial Mathematics, Padova, Italy in Sep 2019. (Talk)
• 3rd Commodity Markets Winter Workshop, Hannover, Germany in Feb 2019. (Talk)
• 18th Winter school on Mathematical Finance, Lunteren, Netherlands in Jan 2019. (Poster)
• Winter School on ”Stochastic PDEs and Mean-Field Games”, University of Bologna, Italy in January 2019. (Talk)
• Corporate Finance and Financial Market Summer School, PBC School of Finance, Tsinghua University, China in Jul 2018.
• PhD Winter School on Real Options and Commodity Markets, Tauplitz, Austria in Mar 2018.
Teaching assistant for Financial Risk Analysis & Advanced Portfolio Analysis
• Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump? (Revise & Resubmit in European Journal of Operational Research)
• Stochastic volatility: a tale of co-jumps, non-normality, GMM and high frequency data. (Under Review)
• Evaluating Optimal Stopping problems under Multivariate Settings and Model Uncertainty.
• American option with default ambiguity.
• Risk premium and arbitrage across German and Nordic electricity spot and futures markets.
• Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under jump diffusion models.
• The University of Sydney September 2019 - November 2019
Visiting Researcher in School of Mathematics and Statistics
Advisor: Marek Rutkowski
• University of Glasgow October 2016 - August 2018
Doctoral Student Representative of Economics Department in Adam Smith Business School