Yang Yang

University of Calgary

Yang Yang obtained his PhD degree in Mathematics in the University of Calgary and his currently employed as as a postdoc researcher at Humboldt-Universität zu Berlin. His current research interests include stochastic optimal control theories, path-dependent dynamics, path-dependent volatility modeling in financial and energy markets, path-dependent filtering problems.

Articles by Yang Yang

Original research

Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing

With a focus on price–storage dynamics in natural gas markets, the authors propose a stochastic path-dependent volatility model with path dependence in both price volatility and storage increments

13 Jan 2026