Prof. LI, Lingfei 李 凌 飛 教授
Professor
BS (Peking University)
MS, PhD (Northwestern University)
Research Interests :
* Financial Engineering
* Mathematical Finance
* Computational Finance
* FinTech
Office: Room 608, William M.W. Mong Engineering Building
Tel: (852) 3943-8329
Email: lfli@se.cuhk.edu.hk
Biography
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 (SEEM) in 2012. Currently he is a full professor of SEEM and serves as Assistant Dean (Education) in the Faculty of Engineering. He received the Dean’s Exemplary Teaching Award in 2023.
Professor Li’s research interests include financial engineering, mathematical finance, computational finance, and FinTech. He has published in various top journals in the area and is currently focusing on developing deep learning and reinforcement learning methods for financial applications and their theoretical analysis. He serves as Associate Editor for Journal of the Operational Research Society.
Selected Publications
Z. Dai and L. Li, “Deep learning for enhanced index tracking”, Quantitative Finance 24(5), 569-591, 2024.
B. Wu and L. Li, “Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market”, Journal of Economic Dynamics and Control 158, 104787, 2024.
G. Zhang and L. Li, “A general approach for Parisian stopping times under Markov processes”, Finance and Stochastics 27(3), 769-829, 2023.
G. Zhang and L. Li, “A general method for analysis and valuation of drawdown risk”, Journal of Economic Dynamics and Control 152, 104669, 2023.
Q. Lai, X. Gao and L. Li, “A data-driven deep learning approach for options market making”, Quantitative Finance 23(5), 777–797, 2023.
G. Zhang and L. Li, “Analysis of Markov chain approximation for diffusion models with non-smooth coefficients”, SIAM Journal on Financial Mathematics 13(3), 1144– 1190, 2022.
G. Zhang and L. Li, “Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior”, Operations Research 67(2):407-427, 2019.
L. Li and G. Zhang, “Error analysis of finite difference and Markov chain approximations for option pricing”, Mathematical Finance, 28(3), 877-919, 2018.
J. Li, L. Li and G. Zhang, “Pure jump models for pricing and hedging VIX derivatives”, Journal of Economic Dynamics and Control 74(1), 28-55, 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.