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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Editorial Boards
-- 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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Research
Grants
-- 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)
[18] 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.
[17] 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)
[16] N. Cai and W. Zhang. (2020). Regime
Classification and Stock Loan Valuation. Operations Research.
68(4), pp. 965-983.
(PDF)
[15] N. Cai and S. G. Kou. (2019). Econometrics
with Privacy Preservation. Operations Research. 67(4), pp.
905-926.
(PDF).
[14] N. Cai and X. Yang. (2018). International
Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model.
Mathematical Finance. 28(1), pp. 409-446.
(PDF).
[13] 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).
[12] N. Cai, Y. Song, and N. Chen. (2017).
Exact Simulation of the SABR Model. Operations Research. 65(4),
pp. 931-951.
(PDF).
[11] 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).
[10] 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).
[9] 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).
[8] 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).
[7] 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.)
[6] 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".)
[5] 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".)
[4] 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)
[3] 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)
[2] 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)
[1] 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)
[2] 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".)
[1] 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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Professional Activities
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)
Professional Societies
-- 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
Journal Referee
-- 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
Committees
-- 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
Member/Chairman
-- 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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Students Supervised
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
Undergraduate Students
-- I supervise final year projects every year since 2009 (22
groups and 75 undergraduate students so far).
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Invited Talks
Plenary Talks
-- 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).
Conferences
-- 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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Teaching Experience
Instructor at HKUST
Undergraduate courses
-- 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
MSc courses
-- MFIT 5005 (New Course): Foundations of FinTech. Fall 2019-2021
-- EEMT 5530 (6000A) (New Course): Financial Engineering and Risk Management,
Summer 2014, Spring 2015
Postgraduate courses
-- 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
Undergraduate Level
-- Introduction to Operations Research: Stochastic
Models. Spring 2004
-- Introduction to Probability and Statistics. Spring 2004
-- Introduction to Statistical Inference. Spring 2004
Masters Level
-- 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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