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Faculty

GU Jiawen


Tenure-Track Assistant Professor

Department of Mathematics

Block 3 Room 504, Wisdom Valley

gujw@sustc.edu.cn


Research Fields

Optimal portfolio selection

Quantitative trading

Credit risk modeling and credit derivatives pricing

Supply chain management

Machine learning and its application in finance

 

Education

2014, TheUniversityofHong Kong, Mathematics, PhD

2010,SunYat-SenUniversity, Mathematics, BSc

 

Working Experience:

2017.08-, Southern University of Science and Technology, Mathematics, Assistant Professor

2016.11-2017.07, TheUniversityofHong Kong, Mathematics, Postdoc

2014.11-2016.08,UniversityofCopenhagen, Mathematics, Postdoc

2016.06-2014.08, JP Morgan, Quantitative Research Intern

 

Selected Publications:

1 J.W. Gu, M. Steffensen and H. Zheng, “Optimal Dividend Strategies of Collaborating Businesses in the Diffusion Approximation Case”, Mathematics of Operations Research, accepted.

2 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, 45, (2014), 57-70.

3 J.W. Gu, W.K. Ching, T.K. Siu and H. Zheng, “On Pricing Basket Credit Default Swaps”, Quantitative Finance, 13, (2013), 1845-1854. [Lead Feature Article]

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