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Prof. LI, Lingfei 李 凌 飛 教授

Prof. LI, Lingfei 李 凌 飛 教授
Associate Professor
BS (Peking University)
MS, PhD (Northwestern University)

Research Interests :
* Financial Engineering
* Mathematical Finance
* Computational Finance

Office: Room 608, William M.W. Mong Engineering Building
Tel: (852) 3943-8329
Email: lfli@se.cuhk.edu.hk

=> Prof . Li’s personal home page


Professor Lingfei Li received his B.S. in Applied Mathematics from Peking University, China in 2007, and his M.S. and Ph.D. in Industrial Engineering and Management Sciences from Northwestern University, USA in 2008 and 2012. He joined the Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong in June 2012. His research interests include financial engineering, mathematical finance and computational finance. He worked as a quant in the commodity strategies group at Morgan Stanley in the summer of 2009.


Selected Publications

L. Li and G. Zhang, “Error analysis of finite difference and Markov chain approximations for option pricing”, Mathematical Finance, forthcoming, 2017.
L. Li and G. Zhang, “Option pricing in some non-Levy jump models”, SIAM Journal on Scientific Computing 38(4), B539-B569, 2016.

J. Li, L. Li and R. Mendoza-Arriaga, “Additive subordination and its applications in finance”, Finance and Stochastics 20(3), 589-634, 2016.

L. Li and V. Linetsky, “Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach”, Finance and Stochatics 19(4), 941-977, 2015.

L. Li and V. Linetsky, “Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models”, Mathematical Finance 24(2), 289-330, 2014.

L. Li and V. Linetsky, “Optimal stopping and early exercise: an eigenfunction expansion approach”, Operations Research 61(3),625-643, 2013.

Department of Systems Engineering and Engineering Management, CUHK