Faculty > Professors > GU Jiawen

GU Jiawen

Associate Professor  

http://faculty.sustech.edu.cn/gujw/en/

  • Brief Biography
  • Research
  • Teaching
  • Published Works

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, The University of Hong Kong, Mathematics, PhD

2010, Sun Yat-Sen University, Mathematics, BSc

 

Working Experience:

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

2016.11-2017.07, The University of Hong Kong, Mathematics, Postdoc

2014.11-2016.08, University of Copenhagen, Mathematics, Postdoc

2014.06-2014.08, JP Morgan, Quantitative Research Intern

 

Selected Publications (* 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)

12. B. Wu, B. Lv, J.W. Gu, Weighted Multivariate Mean Reversion for Online PortfolioSelection, ECML-PKDD, (2023).
13. S. Guo, J.W. Gu∗, C. H. Fok, W.K. Ching, Online portfolio selection with state-dependent price estimators and transaction costs, European Journal of Operational Research, (2023),doi: 10.1016/j.ejor.2023.05.001.

14. Z. Wu, X. Qian, M. Huang*, W.K. Ching, X. Wang, J.W. Gu, Recycling channel choice in closed-loop supply chains considering retailer competitive preference, Enterprise Information Systems, (2023), 17.
15. F.H. Yu, W.K. Ching, C. Wu*, J.W. Gu, Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach, Journal of Optimization Theory and Applications, (2022), 196, 36-55.
16. D. Zhu, J.W. Gu, F. Yu, T. Siu and W. Ching, Optimal Pairs Trading with Dynamic Mean-variance, Mathematical Method of Operations Research, (2021), 94, 145-168.
17.  B. Wu, B. Lv, J.W. Gu, Weighted Multivariate Mean Reversion for Online Portfolio
Selection, ECML-PKDD, (2023).

18. S. Guo, J.W. Gu*, C. H. Fok, W.K. Ching, Online portfolio selection with state-dependent price estimators and transaction costs, European Journal of Operational Research, (2023), doi: 10.1016/j.ejor.2023.05.001.
19.  Z. Wu, X. Qian, M. Huang*, W.K. Ching, X. Wang, J.W. Gu, Recycling channel choice in closed-loop supply chains considering retailer competitive preference, Enterprise Information Systems, (2023), 17.

20.  F.H. Yu, W.K. Ching, C. Wu*, J.W. Gu, Optimal Pairs Trading Strategies: A Stochastic
Mean-Variance Approach, Journal of Optimization Theory and Applications, (2022), 196, 36-55.

21.  D. Zhu, J.W. Gu, F. Yu*, T. Siu and W. Ching, Optimal Pairs Trading with Dynamic Mean-variance, Mathematical Method of Operations Research, (2021), 94, 145-168.