Welcome to Ning Cai's Homepage
Ning Cai
Associate Professor Director of Financial Engineering and FinTech Laboratory Department of Industrial Engineering and Decision Analytics
Academic Director Master of Science Program in Financial Technology (MSc in FinTech) Jointly offered by School of Business and Management, School of Engineering, and School of Science. The Hong Kong University of Science and Technology
Tel: +852 2358 8232 Email: ningcai "at" ust "dot" hk

Education 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  Columbia University, Department of Industrial Engineering and Operations Research 
M.S. 2003 Major: Probability and Statistics  Peking University, School of Mathematical Sciences, Department of Probability and Statistics 
B.S. 2000 Major: Probability and Statistics  Peking University, School of Mathematical Sciences, Department of Probability and Statistics 
 Financial Engineering, FinTech, Derivatives Pricing, Financial Modeling
 The Outstanding Teaching Award. 201415. MSc Program in Engineering Enterprise Management, HKUST
 The Teaching Excellence Appreciation Award, 201011, 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
 Associate Editor for Operations Research, 2015  present
 Associate Editor for Operations Research Letters, 2018  present
 Associate Editor for Digital Finance, 2018  present
 Associate Editor for IMA Journal of Management Mathematics, 2017  present
 Editorial Board Member for Stochastic Models, 2019  present
 Editorial Board Member for Probability in the Engineering and Informational Sciences, 2011  present
 Guest Editor for a special issue on FinTech for Digital Finance, in preparation
 Guest Associate Editor for Management Science (2015) and Naval Research Logistics (2018)
 Hong Kong RGCGRF (20182020). Project No. 16205217. PI.
 Hong Kong RGCGRF (20172019). Project No. 16223116. PI.
 Hong Kong RGCGRF (20162018). Project No. 16206415. PI. (CoI: Steven Kou)
 Hong Kong RGCGRF (20152017). Project No. 16200614. PI. (CoI: Steven Kou)
 Hong Kong RGCGRF (20122014). Project No. 610711. PI.
 Hong Kong RGCGRF (20102012). Project No. 610709. PI.
 HKUST Research Project Competition (RPC) Grant (20112013). Project No. RPC11EG13. PI.
Publications (My PhD students are underlined)
[15] N. Cai and S. G. Kou. (2019). Econometrics with Privacy Preservation. Operations Research. 67(4), pp. 905926. (PDF). [Category: FinTech]
[14] N. Cai and X. Yang. (2018). International Reserve Management: A DriftSwitching Reflected JumpDiffusion Model. Mathematical Finance. 28(1), pp. 409446. (PDF). [Category: Financial Modeling]
[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. 634645. (PDF). [Category: Derivatives Pricing]
[12] N. Cai, Y. Song, and N. Chen. (2017). Exact Simulation of the SABR Model. Operations Research. 65(4), pp. 931951. (PDF). [Category: Derivatives Pricing]
[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. 540554. (PDF). [Category: Derivatives Pricing]
[10] N. Cai and C. Shi. (2014). A Twodimensional, Twosided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications. Stochastic Systems. 4(2), pp. 404448. (PDF). [Category: Computational Algorithm and Financial Engineering]
[9] N. Cai and L. Sun. (2014). Valuation of Stock Loans with Jump Risk. Journal of Economic Dynamics and Control, 40(3), pp. 213241. (PDF). [Category: Derivatives Pricing]
[8] N. Cai, C. Li, and C. Shi. (2014). Closedform Expansions of Discretely Monitored Asian Options in Diffusion Models. Mathematics of Operations Research, 39(3), pp. 789822. (PDF). [Category: Derivatives Pricing]
[7] N. Cai, S. G. Kou, and Z. Liu. (2014). A Twosided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering. Advances in Applied Probability, 46(3), pp. 766789. (PDF. Ecompanion.) [Category: Computational Algorithm and Financial Engineering]
[6] N. Cai and S. G. Kou. (2012). Pricing Asian Options under a HyperExponential Jump Diffusion Model. Operations Research. 60(1), pp. 6477. (PDF) (The preliminary versions of the paper were entitled "Pricing Asian options under a general jump diffusion model" and "Pricing Asian options via a doubleLaplace transform".) [Category: Derivatives Pricing]
[5] N. Cai and S. G. Kou. (2011). Option Pricing under a MixedExponential Jump Diffusion Model. Management Science. 57(11), pp. 20672081. (PDF). (The preliminary version of the paper was entitled "Option Pricing under a HyperExponential Jump Diffusion Model".) [Category: Financial Modeling]
[4] N. Cai. (2011). Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model. Journal of Applied Probability. 48(3), pp. 637656. (PDF) [Category: Derivatives Pricing]
[3] N. Cai, N. Chen, and X. Wan. (2010). Occupation Times of JumpDiffusion Processes with DoubleExponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), pp. 412437. (PDF) [Category: Derivatives Pricing]
[2] N. Cai, N. Chen, and X. Wan. (2009). Pricing DoubleBarrier Options under a Flexible Jump Diffusion Model. Operations Research Letters. 37(3), pp.163167. (PDF) [Category: Derivatives Pricing]
[1] N. Cai. (2009). On First Passage Times of a HyperExponential Jump Diffusion Process. Operations Research Letters. 37(2), pp. 127134. (PDF) [Category: Financial Modeling]
Working Papers (My PhD students are underlined)
[4] N. Cai and W. Zhang. Regime Classification and Stock Loan Valuation. [Category: Financial Engineering and Derivatives Pricing]
[3] N. Cai, S. G. Kou, and Y. Song. A Unified Framework for Computing RegimeSwitching Models. (PDF) (The preliminary versions of the paper were entitled "A Unified Framework for Computations of RegimeSwitching Models" and "A Unified Framework for Options Pricing under Regime Switching Models".) [Category: Computational Algorithm and Financial Engineering]
[2] N. Cai and X. Yang. First Passage Problems of a Reflected HyperExponential Jump Diffusion Process: A Unified Computational Approach. [Category: Financial Engineering and Applied Probability]
[1] N. Cai, C. Li, and C. Shi. Pricing Discretely Monitored Barrier Options: When Malliavin Calculus Expansions Meet Hilbert Transforms. [Category: Derivatives Pricing]
Conference Organization Committee
 Member of Organization Committee: The IAS
Quantitative Finance and Fintech Mini Workshop, June 2016, Hong Kong, China.
 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.
Cluster Organizer of Conferences
 The Cluster Chair for Financial Services Section of the INFORMS
Annual Meeting 2014, San Francisco, CA, USA
Session Organizer of Conferences
 The INFORMS Annual Meetings 20112017,
2019 (USA), The 2018 INFORMS International Conference (Taipei), POMSHK 2017 (Hong Kong), ICIAM 2015 (Beijing), IMSFPS
2014 (Sydney), ICSA 2010 (Guangzhou)
Membership
 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, 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.
Doctoral Dissertation Committee Member
 Guangwu Liu (IELM
'09), Yi Wang (CSE '09), Xi Yang (IELM '10), Zhiyuan Zhang (ISOM '10), Yanfen Shang
(IELM '11), DeXin 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), Feng Gao (ECE '18), Xiuhua
Hu (LIFS '18), Dawei Zhang (Math '18), Tian Liu (ECE '18), Bo Sun (ECE '18),
Haoyun Tang (Math '19)
Masters' Dissertation Committee Member/Chairman
 Qing Xu (Math '09, HKUST), Wendong Zheng (Math '09, HKUST),
Kai Ma (Math '10, HKUST), Jinxing Yang (IELM '10, HKUST) , Cuiting Guo (IELM '10, HKUST)
, Jia Liu (IELM'11, HKUST), Xinwei Wan (IELM'14, HKUST), Jicheng Xing (IELM'14,
HKUST), Hongchi Liu (IELM'14, HKUST)
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; School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai)
 Yingda Song (graduated in 2013; Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai)
 Lihua Sun (graduated in 2010, Coadvised by Prof. L. Jeff Hong; School of Economics and Management, Tongji University, Shanghai)
Past Postdoctoral Fellow
 Xin Zang
 Current position: Visiting Assistant
Professor, Department of Financial Mathematics, Peking University, Beijing
 Pingping Zeng
 Current position: Assistant
Professor, Department of Mathematics, Southern University of Science and Technology, Shenzhen
Current Doctoral/MPhil Students
 Qingcan Kang: 2018  present.
Current Postdoctoral Fellow
 Wei Zhang
Undergraduate Students
 I supervise final year projects every year since 2009 (17
groups and 60 undergraduate students so far).
Plenary Talks
 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
 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), Georgia Tech (ISyE), HKUST (Math), Hong Kong Poly. Univ.
(Business School), South China Normal University (Math), The Johns Hopkins University (Applied Math and Statistics), Nankai University (Math), Peking University (GSM), Tsinghua
University (IE), Univ. of Alabama (Math), Univ. of Calgary (Math), Univ. of
Pittsburgh (Math), Univ. of Western Ontario (Applied Math).
Conferences
 Asian Quantitative Finance Conference (AQFC)
(2013, 2015, 2017, 2018); INFORMS Annual Meeting (20062013, 2015);
many conferences or workshops in financial engineering and applied probability
Instructor at HKUST
 IELM 3020 (202): Introduction to Operations Research. Fall 20082013
 IELM 3330: Introduction to Financial Engineering, Fall 20142018
 IELM 5250 (525) (Qualifying Course): Stochastic Models in Operations
Research, Spring 20112019
 EEMT 6000A: Financial Engineering and Risk Management, Summer 2014,
Spring 2015
 IELM 610B: 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