JCF 19.1 Authors
The Journal of Computational Finance
Volume 19, Number 1
Duan Li received the B.S. degree from Fudan University, Shanghai, China, in 1977, the M.E. degree in automatic control from Shanghai Jiaotong University, Shanghai, China, in 1982; and the Ph.D. degree in systems engineering from Case Western Reserve University, Cleveland, OH, USA, in 1987. From 1987 to 1994, he was a faculty member at the University of Virginia, Charlottesville, VA, USA, where he also served as Associate Director of the Center for Risk Management of Engineering Systems. He joined the Chinese University of Hong Kong in December 1994, where he is currently the Patrick Huen Wing Ming Professor of Systems Engineering and Engineering Management. He has authored and coauthored over 175 journal publications and is a coauthor of the book "Nonlinear Integer Programming" published by Springer in 2006. He was or currently serves as an Associate Editor or a Guest Editor for the IEEE Transactions on Automatic Control, Journal of the Operations Research Society of China, the Journal of Global Optimization, and the IIE Transactions on Operations Engineering. His research interests include optimization, optimal control, financial engineering, and decision-making methodologies.
Shushang Zhu received his Ph.D. degree from the Institute of Systems Science, Chinese Academy of Sciences, Beijing, China in 2003. He is currently a Professor of the Department of Finance and Investment at the Sun Yat-Sen University. His main areas of research interest are portfolio selection, financial optimization and financial risk management. He has published more than 30 journal articles.
Xiaodong Ji is an associate Professor at Business College of Hebei Normal University, P.R.C.. She received PhD degree in 2004 from Academy of Mathematics and Systems Science, Chinese Academy of Sciences. Her research interests cover financial risk management, operational optimization, financial time-series analysis and forecasting, and quantitative methods for economic and statistical analysis. Her research publications have appeared in journals such as IIE Transactions, International Journal of Information Technology and Decision Making. She can be reached by email at email@example.com.
Gareth Haslip FIA PhD
Gareth Haslip FIA PhD is global head of insurance strategy and analytics at J.P. Morgan Asset Management. An employee since 2013, he is responsible for delivering customized investment solutions to (re)insurers to achieve their objectives within the risk, regulatory, capital, and accounting environment of their business. Prior to joining J.P. Morgan Asset Management he held senior positions at Aon: as both a director at Aon Benfield Securities, and co-head of Aon Hewitt's Insurance Asset Solutions, a global cross-practice team providing investment advice to insurers. Before these roles at Aon, he was an executive director at Goldman Sachs Asset Management specializing in asset management for the insurance industry. He has extensive experience in the insurance and investment industry, and his areas of expertise include stochastic modeling of insurance and asset risk, optimal investment strategies, as well as regulatory and rating agency capital. Gareth is a Fellow of the Institute of Actuaries with over 14 years of industry experience and holds a PhD in Actuarial Science from Cass Business School on the topic of derivative pricing. Gareth has published research papers in actuarial and finance journals such as ASTIN Bulletin and Quantitative Finance and Journal of Computational Finance.
Prof Vladimir Kaishev
Vladimir is internationally renowned academic with over 30 years of experience conducting top theoretical and applied research in stochastic modelling in insurance, finance and other fields of science and industry. Recent projects with partners from the public and private sector include, evaluation of basis risk within the framework of longevity risk assessment, graduation of mortality data, cause-specific multivariate survival analysis, development of an Economic Scenarios Generator, and efficient marketing and cross-selling of insurance products. He has been visiting professor at a number of universities in the USA, Europe, Australia, Canada and the UK.
He has previously served as the President of the Bulgarian Actuarial Society (1993-2002) which he was integral in re-establishing and as the Director of the Actuarial Research Centre at Cass Business School (2007-2009)
Vladimir has won Cass Business School, City University, 2013 and 2009 award for Excellence in Research. His current research focuses on applying a range of statistical and mathematical techniques to practical problems in actuarial science and finance, including:
- the application of dependent risks models and copulas to finance and insurance, for example in developing competing risk models to answer such questions as: ‘How much would life expectancy increase by if we eliminated deaths from cancer?'
- deriving explicit numerically efficient formulas for ruin probabilities in risk models under general claim arrival process with application in solvency and risk analysis;
- developing new Monte Carlo and Fourier Transform based methods for option pricing using spline functions