Assisstant Professor Department of Mathematics

Gu Jiawen, Assistant Professor,graduated from the Mathematics Department of Sun Yat-Sen University in 2010 with a bachelor's degree in mathematics. In 2014, she graduated from the Department of Mathematics of the University of Hong Kong with a Ph.D. in financial mathematics. Between June 2014 and August 2014, at JP Morgan, she engaged in a quantitative research group internship. From November 2014 to August 2016, she worked as a postdoctoral researcher in the Department of Mathematics at the University of Copenhagen. During the period from November 2016 to July 2017, she worked as a postdoctoral researcher in the Department of Mathematics at the University of Hong Kong. Her main research areas include Optimal portfolio selection, Quantitative trading, Credit risk modeling and credit derivatives pricing, Supply chain management, Machine learning and its application in finance.

Personal Profile

Gu Jiawen, Assistant Professor,graduated from the Mathematics Department of Sun Yat-Sen University in 2010 with a bachelor's degree in mathematics. In 2014, she graduated from the Department of Mathematics of the University of Hong Kong with a Ph.D. in financial mathematics. Between June 2014 and August 2014, at JP Morgan, she engaged in a quantitative research group internship. From November 2014 to August 2016, she worked as a postdoctoral researcher in the Department of Mathematics at the University of Copenhagen. During the period from November 2016 to July 2017, she worked as a postdoctoral researcher in the Department of Mathematics at the University of Hong Kong. Her main research areas include Optimal portfolio selection, Quantitative trading, Credit risk modeling and credit derivatives pricing, Supply chain management, Machine learning and its application in finance.

Research

Optimal Portfolio Selection

Quantitative Trading

Credit Risk Modeling and Credit Derivatives Pricing

Supply Chain Management

Machine Learning and its Application in Finance


Teaching

Nonlife Actuarial,Financial Economics, Stochastic Control and Portfolio Selection Theory


Publications Read More

      Selected publication (* corresponding author) :

  1. S. Guo*, J.W. Gu, and W. K. Ching, Adaptive Online Portfolio Selection with Transaction Costs, European Journal of Operational Research, (2021), doi:10.1016/j.ejor.2021.03.023.
  2. D.M. Zhu*, J.W. Gu, F.H. Yu, W.K. Ching, T.K. Siu, How correlation risk in basket credit derivatives might be priced and managed? IMA Journal of Management Mathematics, (2021), 32(2), 195-219.
  3. J.W. Gu*, M. Steffensen and H. Zheng, A Note on P- vs. Q-Expected Shortfall Portfolio Constraints, Quantitative Finance, (2021), 21(2), 263-270.
  4. J.W. Gu*, S.J. Si and H. Zheng, Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation, SIAM Journal on Control and Optimization, (2020), 58, 866-894.
  5. Y. Lin, M.Y. Leung, L. Zhang* and J.W. Gu, Single-item repairable inventory system with stochastic new and warranty demands, Transportation Research Part E: Logistics and Transportation Review, (2020), 142: 102035.
  6. J.W. Gu*, M. Steffensen and H. Zheng, Optimal Dividend Strategies of Collaborating Businesses in the Diffusion Approximation Case, Mathematics of Operations Research, (2018), 43, 377-398.
  7. Q. Yang, W.K. Ching*, J.W. Gu* and T.K. Siu, Market-Making Strategy with Asymmetric Information and Regime-Switching, Journal of Economic Dynamics and Control, (2018), 90, 408-433.
  8. F.H. Yu, W.K.Ching*, J.W. Gu and T.K. Siu, Interacting Default Intensity with Hidden Markov Process, Quantitative Finance, (2017), 17, 781-794.
  9. X. Huang*, J.W. Gu, W.K. Ching and T.K. Siu, Impact of Secondary Market on Consumer Return Policies and Supply Chain Coordination, OMEGA-The International Journal of Management Science, (2014), 45, 57-70.
  10. J.W. Gu, W.K Ching*, T.K. Siu and H. Zheng, On Reduced Form Intensity-based Model with Trigger Events, Journal of the Operational Research Society, (2014), 65, 331-339.
  11. J.W. Gu*, W.K Ching, T.K. Siu and H. Zheng, On Pricing Basket Credit Default Swaps, Quantitative Finance, (2013), 13, 1845-1854. (Lead feature article)

News More

  • 2019 “Shenzhen Cup” Mathematical Modeling Challenge launched

    2019-11-10
  • Department of Mathematics visits counterparts of Huizhou University

    2019-11-10
  • Department of Mathematics approved for the post-doctoral research station

    2019-11-10

Lab members Read More

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Contact Us

Contact Address

No 1088,xueyuan Rd., Xili, Nanshan District,Shenzhen,Guangdong,China

Office Phone

‭88015924‬

Email

gujw@sustech.edu.cn

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