Ning CAI (蔡寧)
Ning CAI (蔡寧)
PhD, Columbia University, 2008
Tel 2358 8232
Office Room 5596
Research Interests

Financial Engineering, FinTech, Data Science, Applied Probability, Stochastic Modeling

Contact Info
Tel 2358 8232
Office Room 5596
Research Interests

Financial Engineering, FinTech, Data Science, Applied Probability, Stochastic Modeling


Ning Cai joined the Department of Industrial Engineering and Decision Analytics at the Hong Kong University of Science and Technology as an Assistant Professor in 2008. He was promoted to Associate Professor in 2014 and was further promoted to full Professor in 2020. He received both M.S. and Ph.D. in operations research in the Department of Industrial Engineering and Operations Research at Columbia University and both B.S. and M.S. in probability and statistics in the School of Mathematical Sciences at Peking University.

Ning Cai was the first Academic Director of the new 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. Currently, he is the Director of the Financial Engineering and FinTech Laboratory in the Department of Industrial Engineering and Decision Analytics.

Ning Cai's research interests include financial engineering, FinTech, applied probability, and stochastic modeling. He has published papers in the top-tier journals such as Management Science, Operations Research, Mathematical Finance, Mathematics of Operations Research, and INFORMS Journal on Computing.

Currently, he serves as the associate editor for Operations Research, Operations Research Letters, and IMA Journal of Management Mathematics and also serves on the editorial board of Stochastic Models and Probability in the Engineering and Informational Sciences.

Since 2018, he has also served as associate editor for Digital Financea Springer journal that focuses on publishing high-quality papers on smart data analytics, investment innovation, and financial technology. 

Honors and Awards
  • The Oustanding Teaching Award. 2014-15. MSc Program in Engineering Enterprise Management, Dept of IEDA, HKUST
Research & Professional Activities

Professional Activities

Editorial Boards

Plenary Talks
  • The 9th Annual Conference of Financial Engineering and Financial Risk Management Branch of OR Society of China (中国运筹学会金融工程与金融风险管理分会第九届学术年会), Shanghai, China, 2019
  • The International Workshop "Digital Innovation in Finance", Tokyo, Japan, 2018
  • The 9th National Workshop in Mathematical Finance and Financial Engineering (第九届全国金融数学与金融工程学科建设和学术研讨会), Chendu, China, 2018
  • The Youth Forum of Stochastic Processes and Financial Mathematics, Xi'an, China, 2017 
Conference Organization
  • Member of the Organization Committee: The IAS Quantitative Finance and Fintech Mini Workshop, June 2016, Hong Kong, China.
  • Member of the Organization Committee: The 2019 Cross-Straits and Hong Kong/Macao Financial Technology Young Scholars Forum, September 2019, Guangzhou, China
  • Cluster chair of Financial Services Cluster, the INFORMS Annual Meeting 2014, San Francisco, CA, USA
  • Member of the Track Program Committee of the "Financial Risk Management" Track, the 2019 Winter Simulation Conference, December 2019, National Harbor, MD, USA
  • Session chairs for the INFORMS Annual Meeting 2011-2017 and 2019-2020, the INFORMS International Conference 2018, POMS-HK 2017, ICIAM 2015, IMS-FPS 2014, ICSA 2010
  • Management Science, Operations Research, Mathematics of Operations Research, Mathematical Finance, Finance and Stochastics, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Quantitative Finance, SIAM Journal on Applied Mathematics, SIAM Journal on Control and Optimization, SIAM Journal on Financial Mathematics, Queueing Systems, IEEE Transactions on Information Theory, Advances in Applied Probability, IIE Transactions, etc
Research Group Members
Past Ph.D. Students
  • Wei Zhang (graduated in 2018); Postdoctoral Felow, Department of IEDA, HKUST
  • 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) 
    • Received the Ph.D. Fellowship Award in 2013-14 for excellent research from the School of Engineering at HKUST
  • Yingda Song (graduated in 2013; Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai)
  • Lihua Sun (graduated in 2010, Co-advised by Prof. L. Jeff Hong;  School of Economics and Management, Tongji University, Shanghai)
Current Ph.D. / MPhil Students
  • Qingcan Kang. 2018 - present
  • Yu Cheng. 2019 - present
  • Ziyang Hao. 2019 - present
  • Siyi Wang. 2019 - present
  • Yuan An Sim. 2020 - present
Selected Publications
  1. N. Cai and X. Yang. (2021). A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes. INFORMS Journal on Computing. 33(1), pp. 216--229. 

  2. N. Cai and W. Zhang. (2020). Regime Classification and Stock Loan Valuation. Operatons Research, 68(4), pp. 965-983.  

  3. N. Cai and S. G. Kou (2019). Econometrics with Privacy Preservation. Operations Research, 67(4), pp. 905-926. 

  4. N. Cai and X. Yang. (2018). International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model, Mathematical Finance, 28(1), pp. 409-446.

  5. 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. 

  6. N. CaiY. Song and N. Chen. (2017). Exact Simulation of the SABR Model, Operations Research, 65(4), pp. 931-951. 

  7. N. CaiY. Song and S. G. Kou. (2015). A General Framework for Pricing Asian Options under Markov Processes, Operations Research, 63(3), pp. 540-554. 

  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.

  9. N. Cai and S. G. Kou. (2012). Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model, Operations Research, 60(1), pp. 64-77. 

  10. N. Cai and S. G. Kou. (2011). Option Pricing under a Mixed-Exponential Jump Diffusion Model, Management Science, 57(11), pp. 2067-2081. 

  11. 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. 

PhD and Postdoc Recruitment
I am planning to recruit Postdoctoral Fellow in FE and FinTech who can join anytime. If interested, please send your CV, transcripts and representative publications directly to 

Requirements for Postdoc applicants:

(i) A strong technical background

Applicants with PhD degrees in the following areas are preferred:  

   (a) FinTech, financial engineering, financial math, probability;    (b) statistics, machine learning, data analysis;    (c) optimization, operations research;   (d) finance, economics, business analytics.

(ii) Self-motivated and highly interested in conducting research in finance-related areas.

In addtion, I am also planning to recruit PhD students in FE and FinTech who are expected to start their PhD studies in Fall 2019 or Spring 2020. If interested, please send your CV and transcripts directly to 

Requirements for PhD applicants:

(i) A strong mathematical background

Applicants with bachelor or master degrees in mathematics, including pure math, applied math, probability, statistics, and financial math, are preferred.

I also invite applications from those with strong analytical skills but with bachelor or master degrees in other areas such as physics, finance, economics, machine learning, and data analysis.

(ii) Self-motivated and highly interested in conducting research in finance-related areas.