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

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Research Interest

-- Financial Engineering, FinTech, Derivatives Pricing, Financial Modeling

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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 Letters2018 - 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)

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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.  (Co-I: Steven Kou)

-- Hong Kong RGC-GRF (2015-2017). Project No. 16200614.  PI.  (Co-I: Steven Kou)

-- 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)

[15] N. Cai and S. G. Kou. (2019). Econometrics with Privacy Preservation. Operations Research. 67(4), pp. 905-926. (PDF). [Category: FinTech]

[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). [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. 634-645. (PDF). [Category: Derivatives Pricing]

[12] N. Cai, Y. Song, and N. Chen. (2017). Exact Simulation of the SABR Model. Operations Research.  65(4), pp. 931-951. (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. 540-554. (PDF). [Category: Derivatives Pricing]

[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). [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. 213-241. (PDF). [Category: Derivatives Pricing]

[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). [Category: Derivatives Pricing]

[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.) [Category: Computational Algorithm and Financial Engineering]

[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".) [Category: Derivatives Pricing]

[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".) [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. 637-656. (PDF)  [Category: Derivatives Pricing]

[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)  [Category: Derivatives Pricing]

[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)  [Category: Derivatives Pricing]

[1]  N. Cai. (2009). On First Passage Times of a Hyper-Exponential Jump Diffusion Process. Operations Research Letters. 37(2), pp. 127-134. (PDF)  [Category: Financial Modeling]

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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 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".)  [Category: Computational Algorithm and Financial Engineering]

[2]  N. Cai and X. Yang. First Passage Problems of a Reflected Hyper-Exponential 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]  

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Professional Activities

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 2011-2017, 2019 (USA), The 2018 INFORMS International Conference (Taipei), POMS-HK 2017 (Hong Kong), ICIAM 2015 (Beijing), IMS-FPS 2014 (Sydney), ICSA 2010 (Guangzhou)

-- 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), 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), 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)

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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; 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, Co-advised 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).

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Invited Talks

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).

-- Asian Quantitative Finance Conference (AQFC) (2013, 2015, 2017, 2018); 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
 -- IELM 3020 (202): Introduction to Operations Research. Fall 2008-2013
 -- IELM 3330: Introduction to Financial Engineering, Fall 2014-2018
 -- IELM 5250 (525) (Qualifying Course): Stochastic Models in Operations Research, Spring 2011-2019
 -- 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

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