Prof. YANG, Chen 楊 晨 教授
Assistant Professor
BSc (Zhejiang University)
PhD (National University of Singapore)
Research Interests :
* Financial Technology
* Mathematical Finance
* Market Frictions
Office: Room 511A, William M.W. Mong Engineering Building
Tel: (852) 3943-8322
Email: cyang@se.cuhk.edu.hk
Biography
Chen Yang received a B.Sc. degree in Mathematics and Applied Mathematics from Zhejiang University in 2008, and his Ph.D. degree in Financial Mathematics from National University of Singapore in 2017. Prior to joining the Chinese University of Hong Kong, he was a postdoctoral researcher at ETH Zurich from 2017 to 2019.
Chen Yang’s research interests include portfolio selection and asset pricing with market frictions, financial technology, and mathematical finance. He has published in leading journals such as The Review of Financial Studies, Management Science, and Mathematics of Operations Research.
Selected Publications
Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang, “An Equilibrium Model for the Cross-Section of Liquidity Premia”, Mathematics of Operations Research, 48(3):1423-1453, 2023.
Min Dai, Steven Kou, Mete Soner and Chen Yang, “Leveraged ETFs with Market Closure and Frictions”, Management Science, 69(4):2517-2535, 2023.
Min Dai, Steven Kou and Chen Yang, “A Stochastic Representation for Nonlocal Parabolic PDEs with Applications”, Mathematics of Operations Research, 47(3):1707-1730, 2022.
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang, “Inventory Management for High-frequency Trading with Imperfect Competition”, SIAM Journal on Financial Mathematics, 11(1):1-26, 2020.
Min Dai, Hong Liu, Chen Yang and Yifei Zhong, “Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax”, The Review of Financial Studies, 28:2687-2721, 2015.