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Faculty > Professors > GU Jiawen

GU Jiawen

Tenure-Track Assisstant Professor  

  • 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:

1 J.W. Gu, M. Steffensen and H. Zheng, “Optimal Dividend Strategies of Collaborating Businesses in the Diffusion Approximation Case, Mathematics of Operations Research, 43, (2018), 377–398.

2 Q. Yang, W. Ching, J. W. Gu and T. Siu, “Market-Making Strategy with Asymmetric Information and Regime-Switching”, Journal of Economic Dynamics and Control, 90, (2018), 408-433.

3 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.

4 J.W. Gu, W. Ching, T. Siu and H. Zheng, “On Reduced Form Intensity-based Model with Trigger Events”, Journal of the Operational Research Society, 65, (2014), 331-339.

5 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]




Recruitment Notice:

Dr. Gu Jiawen from Southern University of Science and Technology would like to hire a RA or postdoc in the coming academic year. Ideal candidates should be familiar in one of the following areas: mathematical finance, stochastic control, operations management, machine learning. Salary package is competitive and subject to research experience. If interested, please send your CV to gujw@sustc.edu.cn.