Welcome to Ning Cai's Homepage
Director of Financial Engineering and FinTech Laboratory
Department of Industrial Engineering and Decision Analytics
The Hong Kong University of Science and Technology
Financial Technology Thrust Area, Society Hub
The Hong Kong University of Science and Technology (Guangzhou)
Tel: +852 2358 8232 Email: ningcai "at" ust "dot" hk
Education/Experience Research Interest Honors and Awards
Research Grants Editorial Boards Publications Working Papers
Professional Activities Invited Talks Students Supervised Teaching
|Ph.D. 2008||Major: Operations Research||Department of Industrial Engineering and Operations Research, Columbia University|
|M.S. 2003||Major: Probability and Statistics||Department of Probability and Statistics, School of Mathematical Sciences, Peking University|
|B.S. 2000||Major: Probability and Statistics||Department of Probability and Statistics, School of Mathematical Sciences, Peking University|
|2020-present||Professor||Department of IEDA, Hong Kong University of Science and Technology|
|2021-present||Affiliate Professor||Financial Technology Thrust Area, Society Hub, The Hong Kong University of Science and Technology (Guangzhou)|
|2014-present||Director||Financial Engineering and FinTech Laboratory, Department of IEDA, HKUST|
|2014-2020||Associate Professor||Department of IEDA, Hong Kong University of Science and Technology|
|2008-2014||Assistant Professor||Department of IEDA, Hong Kong University of Science and Technology|
|09/2018-08/2020||The Founding Academic Director||The MSc program in FinTech (jointly offered by three Schools -- Business and Management, Engineering, and Science; Program Committee Member since 09/2020), HKUST|
-- Financial Engineering, FinTech, Risk Management, Data Science, Applied Probability, Stochastic Modeling
Honors and Awards
-- The Outstanding Teaching Award. 2014-15. MSc Program in Engineering Enterprise Management, HKUST
-- The Teaching Excellence Appreciation Award, 2010-11, School of Engineering, HKUST
-- Honorable Mention. The George E. Nicholson Student Paper Competition. INFORMS 2008
-- The Second Place of the Best Student Research Paper Award. Financial Services Section. INFORMS 2007
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-- Associate Editor for Operations Research, 2015 - present
-- Associate Editor for Operations Research Letters, 2018 - present
-- Associate Editor for International Journal of Finance and Economics 2022 - present
-- Associate Editor for IMA Journal of Management Mathematics, 2017 - present
-- Editorial Board Member for Digital Finance, 2018 - present
-- Editorial Board Member for Stochastic Models, 2019 - present
-- Editorial Board Member for Probability in the Engineering and Informational Sciences, 2011 - present
-- Guest Associate Editor for Management Science (2015) and Naval Research Logistics (2018)
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-- Hong Kong RGC-GRF (2018-2020). Project No. 16205217. PI.
-- Hong Kong RGC-GRF (2017-2019). Project No. 16223116. PI.
-- Hong Kong RGC-GRF (2016-2018). Project No. 16206415. PI.
-- Hong Kong RGC-GRF (2015-2017). Project No. 16200614. PI.
-- Hong Kong RGC-GRF (2012-2014). Project No. 610711. PI.
-- Hong Kong RGC-GRF (2010-2012). Project No. 610709. PI.
-- HKUST Research Project Competition (RPC) Grant (2011-2013). Project No. RPC11EG13. PI.
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Publications (My PhD students are underlined)
 N. Cai, C. Li, and C. Shi. (2021). Pricing Discretely Monitored Barrier Options: When Malliavin Calculus Expansions Meet Hilbert Transforms. Journal of Economic Dynamics and Control. 127(6), 104113.
 N. Cai and X. Yang. (2021). A Computational Approach to First Passage Problems of Reflected Hyper-Exponential Jump Diffusion Processes. INFORMS Journal on Computing. 33(1), pp. 216-229. (PDF)
 N. Cai and W. Zhang. (2020). Regime Classification and Stock Loan Valuation. Operations Research. 68(4), pp. 965-983. (PDF)
 N. Cai and S. G. Kou. (2019). Econometrics with Privacy Preservation. Operations Research. 67(4), pp. 905-926. (PDF).
 N. Cai and X. Yang. (2018). International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model. Mathematical Finance. 28(1), pp. 409-446. (PDF).
 Y. Song, N. Cai and S. G. Kou. (2018). Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS Journal on Computing. 30(4), pp. 634-645. (PDF).
 N. Cai, Y. Song, and N. Chen. (2017). Exact Simulation of the SABR Model. Operations Research. 65(4), pp. 931-951. (PDF).
 N. Cai, Y. Song, and S. G. Kou. (2015). A General Framework for Pricing Asian Options under Markov Processes. Operations Research. 63(3), pp. 540-554. (PDF).
 N. Cai and C. Shi. (2014). A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications. Stochastic Systems. 4(2), pp. 404-448. (PDF).
 N. Cai and L. Sun. (2014). Valuation of Stock Loans with Jump Risk. Journal of Economic Dynamics and Control, 40(3), pp. 213-241. (PDF).
 N. Cai, C. Li, and C. Shi. (2014). Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models. Mathematics of Operations Research, 39(3), pp. 789-822. (PDF).
 N. Cai, S. G. Kou, and Z. Liu. (2014). A Two-sided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering. Advances in Applied Probability, 46(3), pp. 766-789. (PDF. E-companion.)
 N. Cai and S. G. Kou. (2012). Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model. Operations Research. 60(1), pp. 64-77. (PDF) (The preliminary versions of the paper were entitled "Pricing Asian options under a general jump diffusion model" and "Pricing Asian options via a double-Laplace transform".)
 N. Cai and S. G. Kou. (2011). Option Pricing under a Mixed-Exponential Jump Diffusion Model. Management Science. 57(11), pp. 2067-2081. (PDF). (The preliminary version of the paper was entitled "Option Pricing under a Hyper-Exponential Jump Diffusion Model".)
 N. Cai. (2011). Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model. Journal of Applied Probability. 48(3), pp. 637-656. (PDF)
 N. Cai, N. Chen, and X. Wan. (2010). Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), pp. 412-437. (PDF)
 N. Cai, N. Chen, and X. Wan. (2009). Pricing Double-Barrier Options under a Flexible Jump Diffusion Model. Operations Research Letters. 37(3), pp.163-167. (PDF)
 N. Cai. (2009). On First Passage Times of a Hyper-Exponential Jump Diffusion Process. Operations Research Letters. 37(2), pp. 127-134. (PDF)
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Working Papers (My PhD students are underlined)
 N. Cai, S. G. Kou, and Y. Song. A Unified Framework for Computing Regime-Switching Models. (PDF) (The preliminary versions of the paper were entitled "A Unified Framework for Computations of Regime-Switching Models" and "A Unified Framework for Options Pricing under Regime Switching Models".)
 N. Cai, H. Lin, and W. Zhang. Pricing Path-Dependent Equity and Credit Derivatives within a General Hybrid Equity-Credit Framework: A Unified Analytical Approach.
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Conference Organization Committee
-- Member of the Program Committee: The 10th Annual Conference of Financial Engineering and Financial Risk Management Branch of OR Society of China, July 2021, Chengdu, China
-- Member of the Organization Committee: The 2019 Cross-Straits and Hong Kong/Macao Financial Technology Young Scholars Forum, September 2019, Guangzhou, China
-- Member of the Organization Committee: The IAS Quantitative Finance and Fintech Mini Workshop, June 2016, Hong Kong, China
Conference Cluster/Track Organization
-- The Cluster Co-Chair for Cluster of Finance of the INFORMS Annual Meeting 2022, Indianapolis, IN, USA
-- The Cluster Chair for Cluster of Financial Services of the INFORMS Annual Meeting 2014, San Francisco, CA, USA
-- Member of the Track Program Committee (TPC) of the "Financial Risk Management" track in the 2019 Winter Simulation Conference, December 2019, National Harbor, MD, USA
Conference Session Organization
-- The INFORMS Annual Meetings 2011-2017, 2019-2020, 2022 (USA), The 2018 INFORMS International Conference (Taipei), POMS-HK 2017 (Hong Kong), ICIAM 2015 (Beijing), IMS-FPS 2014 (Sydney), ICSA 2010 (Guangzhou)
-- Standing Director of the 4th Board of Directors, Financial Engineering and Financial Risk Management Branch of OR Society of China
-- Member, The Institute for Operations Research and the Management Sciences (INFORMS), Applied Probability Society of INFORMS, The Econometric Society
-- Operations Research, Management Science, Mathematical Finance, Finance and Stochastics, Mathematics of Operations Research, SIAM Journal on Applied Mathematics, SIAM Journal on Control and Optimization, SIAM Journal on Financial Mathematics, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Advances in Applied Probability, Insurance: Mathematics and Economics, IEEE Transactions on Information Theory, IIE Transactions, Operations Research Letters, Queueing Systems, Quantitative Finance, Journal of Computational Finance, Applied Mathematical Finance, International Journal of Theoretical and Applied Finance, Statistics and Probability Letters, Annals of Operations Research, etc.
Chairperson of Thesis Examination
-- Ph.D.: Wei Sun (CSE '15), Rong Zhang (MECH '17), Feng Gao (ECE '18), Xiuhua Hu (LIFS '18), Ho-chun Lai (LIFS '19), Yafei Yang (PHYS '19), Xiaowei Wang (CHEM '20), Zichao Ma (ECE '20), Xiao Tang (LIFS '21), Yiyi Zhu (ECE '22)
Doctoral Dissertation Committee Member
-- Guangwu Liu (IELM '09), Yi Wang (CSE '09), Xi Yang (IELM '10), Zhiyuan Zhang (ISOM '10), Yanfen Shang (IELM '11), De-Xin Wang (ECE '11), Zhaolin Hu (IELM '11), Wendong Zheng (Math '12), Yanhui Gao (Math '12), Wenyuan Wang (IELM '13), Xiaobei Shen (IELM '13), Chunhong Li (Math '14), Jingjing Wang (Math '14), Pingping Zeng (Math '14), Zhongwei Yang (Math '14), Yao Tung Huang (Math '14), Zhe Wang (Civil '15), Dong Ding (IELM '15), Chi Zhang (IELM '16), Andi Wang (IELM '16) , Ye Hur Cheong (IELM '17), Jiajun Guo (Math '17), Nan Zhang (Civil '17), Suoyuan Song (IEDA '18), Yue Jiang (Math '18), Yue Wei (BIEN '18), Dawei Zhang (Math '18), Tian Liu (ECE '18), Bo Sun (ECE '18), Haoyun Tang (Math '19), Songfu Cai (ECE '19), Ting Li (Math '19), Lixiang Lian (ECE '19), Rougang Ye (MATH '20), Tingyi Wang (IEDA '20), Su Wang (ECE '20), Jing Wei Chin (IEDA '21), Shuqi Chai (ECE '21), Tingyu Yu (Math '22)
Masters' Dissertation Committee
-- Qing Xu (Math '09), Wendong Zheng (Math '09), Kai Ma (Math '10), Jinxing Yang (IELM '10) , Cuiting Guo (IELM '10) , Jia Liu (IELM '11), Chenjie Wang (IELM '12, Chairman), Xinwei Wan (IELM '14, Chairman), Jicheng Xing (IELM '14, Chairman), Hongchi Liu (IELM '14), Qiuqi Wang (Math '19, Chairman), Tsz Tai Chan (IEDA '21), Kristian Suhartono (IEDA '21)
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Past Doctoral Students
-- Wei Zhang (graduated in 2018; Postdoctoral Fellow, HKUST, Hong Kong)
-- Haohong Lin (graduated in 2016; Symmetry Investments, Hong Kong)
-- Chao Shi (graduated in 2014; currently Associate Professor in the School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai)
-- Yingda Song (graduated in 2013; currently Associate Professor in the Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai)
-- Lihua Sun (graduated in 2010, Co-advised by Prof. L. Jeff Hong; currently Associate Professor in the School of Economics and Management, Tongji University, Shanghai)
Current Doctoral/MPhil Students
-- Qingcan Kang: 2018 - present.
-- Ziyang Hao: 2019 - present.
-- Siyi Wang: 2019 - present.
-- Yuan An Sim: 2020 - present
-- I supervise final year projects every year since 2009 (22 groups and 75 undergraduate students so far).
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-- The 9th Annual Conference of Financial Engineering and Financial Risk Management Branch of OR Society of China, Shanghai, 2019
-- The Workshop "Digital Innovation in Finance", Tokyo, 2018
-- The 9th National Workshop in Mathematical Finance and Financial Engineering, Chengdu, 2018
-- The Youth Forum of Stochastic Processes and Financial Mathematics, Xi'an, 2017
Universities or institutes
-- Beihang University (SEM), Capital University of Economics and Business (School of Finance), Central University of Finance and Economics (China Institute for Actuarial Science), Chinese Academy of Sciences (Academy of Mathematics and Systems Science), City University of Hong Kong (Business School), Cornell University (ORIE), CUHK (SEEM), CUHK Shenzhen (iDDA), East China Normal University (School of Statistics), Georgia Tech (ISyE), HKUST (Math, IELM), Hong Kong Poly. Univ. (Business School), Nankai University (Math), Peking University (GSM, Math), Peking University HSBC Business School, South China Normal University (Math), The Johns Hopkins University (Applied Math and Statistics), Tsinghua University (IE, SEM), Univ. of Alabama (Math), Univ. of Calgary (Math), Univ. of Pittsburgh (Math), Univ. of Western Ontario (Applied Math), Wuhan University (EMS), Zhongnan University of Economics and Law (Finance).
-- Asian Quantitative Finance Conference (AQFC) (2013, 2015, 2017, 2018, 2019); INFORMS Annual Meeting (2006-2013, 2015); many conferences or workshops in financial engineering and applied probability
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Instructor at HKUST
-- IEDA 4500 (New Course): Engineering Foundations of FinTech, Spring 2021-2022
-- IEDA 3330 (IELM 3330) (New Course): Introduction to Financial Engineering, Fall 2014-2021
-- IELM 3020 (202): Introduction to Operations Research. Fall 2008-2013
-- MFIT 5005 (New Course): Foundations of FinTech. Fall 2019-2021
-- EEMT 5530 (6000A) (New Course): Financial Engineering and Risk Management, Summer 2014, Spring 2015
-- FTEC 5040 (New Course): Financial Technology Research, Spring 2021-2022
-- IEDA 5250 (IELM 5250, 525) (Qualifying Course): Stochastic Models in Operations Research, Spring 2011-2020
-- IELM 610B (New Course): Financial Engineering: Asset Pricing Models. Spring 2009, Fall 2010
Teaching Assistant at Columbia University
-- Introduction to Operations Research: Stochastic Models. Spring 2004
-- Introduction to Probability and Statistics. Spring 2004
-- Introduction to Statistical Inference. Spring 2004
-- Engineering of Management I. Fall 2003
-- Financial Engineering II. Fall 2006
-- CVN Course Manager, Financial Engineering II. Spring, Summer and Fall 2007
Ph. D. Level
-- Optimization I (Qualifying course) . Fall 2004
-- Stochastic Modeling II (Qualifying course). Spring 2005
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