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Current Ph.D. Students and Postdoctoral Fellow

  • Zhenzhen Huang, Ph.D. student (co-supervised with Pengyu Wei), started in September 2020. Zhenzhen is working on portfolio selection using deep learning.

  • Ruihong Jiang, Ph.D. student (co-supervised with David Saunders), started in January 2020. Ruihong is working on applications of reinforcement learning to portfolio problems.

  • Xiaoxue Deng, Ph.D. student (co-supervised with Ken Seng Tan), started in September 2018. Xiaoxue is working on sample average method for stochastic optimization problems arising in insurance and finance. 


  • Yechao Meng,  Ph.D. student (co-supervised with Dr. Liqun Diao), started in May 2018. Yechao is working machine learning methods for the forecasting of human mortality.

Former Postdoctoral Fellow
  • Xiaole Xue (co-supervised with Dr. Alexander Schield)

    • Feb 2019 - Jan 2020

    • Current employment: Assistant Professor, School of Management, Shandong University

  • Zhihan Gao

    • Sep 2015 - Aug 2016

    • Current employment: Senior Data Scientist, Royal Bank of Canada

Former Ph.D. Students


  • Zhiyi (Joey) Shen 

    • Thesis title: Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression        

    • Click Here to Download

    • Graduation year: 2019

    • Current employment: Morgan Stanley, New York

  • Danqiao Guo (co-supervised with Dr. Tony Wirjanto). 

    • Thesis title: A Statistical Response to Challenges in Vast Portfolio Selection         
      Click Here to Download

    • Graduation year: 2019

    • First employment: Point 72, Singapore

  • Hongcan Lin (co-supervised with Dr. David Saunders)

    • Thesis title: Applications of Stochastic Control to Portfolio Selection Problems
      Click Here to Download

    • Graduation year: 2018

    • First employment: TD Bank, Toronto, Canada

  • Jingong Zhang (co-supervised with Dr. Ken Seng Tan) 

    • Thesis title: Risk Management with Basis Risk
      Click Here to Download

    • Graduation year: 2018

    • First employment: Assistant Professor, Nanyang Business School, Nanyang Technological University of Singapore 

  • Dezhao Han (co-supervised with Dr. Ken Seng Tan) 

    • Thesis title: Sparse Models in High-Dimensional Dependence Modelling and Index Tracking
      Click Here to Download

    • Graduation year: 2016

    • First employment: TD Bank, Toronto, Canada

  • Chao Qiu  (co-supervised with Mary Hardy), under my supervision for about 1.5 years

    • Graduation year: 2012

    • Thesis title: Option Pricing under Regime-Switching Models and Hedging Analysis

    • First employment: Lecturer, University of Calgory

Visiting Ph.D. Students
  • Peiqi Wang (from Tianjin University, Tianjin, China)

    • Visit Waterloo during Sep. 2019 -  Aug. 2020

    • Work on optimal control problems in insurance and finance

  • Ying Zou (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Oct. 2018 -  Sep. 2019

    • Work on financial econometrics


  • Chuiliu Kong (from Shandong University, Jinan, China)

    • Visit Waterloo during Sep. 2017 - Aug. 2018

    • Work on optimal control with partial information


  • Xiaole Xue (from Shandong University, Jinan, China)

    • Visit Waterloo during Sep. 2016 - Aug. 2017

    • Work on actuarial/finance applications of backward stochastic differential equations


  • Haoze Sun (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Nov. 2015 - Apr. 2016

    • Work on statistical inference for empirical optimization models in finance and insurance


  • Yunzhou Zhou (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Nov. 2012 - Jun. 2013

    • Work on the topic of optimal reinsurance design

Current and Former Master Students
  • 2019, Ruihong Jiang, Climate change risk in stock markets

  • 2019, Zixin Xu,  Subspace mean–variance portfolio: A solution to “Markowitz optimization enigma"?

  • 2018, Hailin Yang, A review: cyber risk management and cyber insurance

  • 2017, Yechao Meng, Residual estimation error in capital adequacy

  • 2017, Shuying Yan, Regression credibility model

  • 2016, Di Ai, Matching quantiles estimation and index tracking

  • 2016, Tianshi Yao, Dynamic longevity hedging with q-forwards and CBD model

  • 2016, Chenjing Cui, A hypothesis test for threshold selection in peak-over-threshold extreme value models

  • 2016, Tiantian Yang, Hedging longevity/mortality risk with mortality immunization

  • 2016, Xinle Sheng, Estimation of operational risk capital

  • 2016, Yiming Wang, Inflation forecasting with ARIMA and GARCH models

  • 2015, Bing Wang, Optimal reinsurance design under expectile risk measure

  • 2015, Chi Zhang, Portfolio selection with expectiles

  • 2015, Ya Yu, Robust portfolio selection in estimation errors

  • 2015, Yi Zhang, Pricing California earthquake catastrophe bond by Gamma approximation

  • 2014, Ning Chang, An empirical optimal reinsurance under Dutch premium principle

  • 2014, Jing Lin, Minimize tracking error using nonnegative-lasso

  • 2014, Hongcan Lin, CPPI with regime switching multiplier

  • 2014, Guanglin Chen, Empirical optimal reinsurance model

  • 2013, Siying Wei, A non-parametric approach for optimal sparse mean-CVaR portfolio selection

  • 2013, Wenrui Chen, Discrete-time CPPI with proportional trading cost and exposure cap

  • 2013, Ye Dong, Dependence modelling using vine copulas

  • 2013, Wanxuan Wang, Two tests on time-varying dependence structure

  • 2013, Wenjing Miao, Discrete CPPI strategy with regime switching

  • 2013, Rui Xu, Life contingent option pricing under double-exponential jump-diffusion models

  • 2013, Anderson St. Hill, Modeling insurance claims by combining mixture Erlang and the generalized Pareto distributions

  • 2012, Ryan Samaratunga, Uncovering the value of private reinsurance using a federal-provincial reserve fund process for crop insurance in Canada

  • 2012, Tianmeng Jiang, Sensitivity analysis for an investment-consumption optimization problem

  • 2012, Hanhui Xie, Effectiveness of discrete time CPPI under skewed distributions

  • 2012, Yan Wang, Discrete CPPI and adaptive CPPI with jump diffusion

  • 2012, Qiang Fu, Adaptive discrete-time and continuous-time CPPI method with proportional transaction costs

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