Prof. YANG, Chen 楊 晨 教授
Assistant Professor
BSc (Zhejiang University)
PhD (National University of Singapore)
Research Interests :
* Financial Technology
* Mathematical Finance
* Market Microstructure
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 optimal investment with market frictions, financial technology, mathematical finance, and market microstructure. One of his papers was published in the leading journal The Review of Financial Studies.
Selected Publications
Yizhou Cao, Min Dai, Steven Kou, Lewei Li and Chen Yang, “Designing Stable Coins”, submitted for publication.
Min Dai, Steven Kou, Mete Soner and Chen Yang, “Leveraged ETFs with Market Closure and Frictions”, submitted for publication.
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang, “Inventory Management for High-frequency Trading with Imperfect Competition”, submitted for publication.
Min Dai, Steven Kou and Chen Yang, “Stochastic Representation for Nonlocal Problems”, submitted for publication.
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.