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寇星罡

寇星罡

寇星罡

首席研究员

matsteve@nusri.cn
1992年,苏州大学,学士
1997年,苏州大学,硕士
2000年,复旦大学,博士
电邮: mindai@nusri.cn, mindai@nus.edu.sg

研究领域
数理金融, 偏微分方程及其数值解, 随机控制

代表性论文
1. M. Dai, H. Liu, C. Yang, Y. Zhong, Optimal tax time with asymmetric long-term/short-term capital gain tax, Review of Financial Studies, to appear
2. M. Dai, P.F. Li, H. Liu, Y. Wang, Portfolio choice with market closure and implications for liquidity premia, Management Science, to appear
3. X. Chen, M. Dai, Characterization of optimal strategy for multi-asset investment and consumption with transaction costs, SIAM Journal on Financial Mathematics, 2013, 4(1):857-883
4. N.Chen, M. Dai, X. Wan, A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls, Mathematical Finance, 2013, 23(1): 57-93
5. M. Dai, H.F. Wang, Z. Yang, Leverage management in a bull-bear switching market, Journal of Economic Dynamics and Control, 2012, 36(10):1585-1599
6. M. Dai, Y.F. Zhong, Z. Yang, Optimal stock selling based on the global maximum, SIAM Journal on Control and Optimization, 2012, 50(4):1804-1822
7. M. Dai, Y.F. Zhong, Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance, 2012, 22(1):165-184
8. M. Dai, Z.Q. Xu, Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance, 2011, 21(4):775-793
9. B.J. Bian, M. Dai, L. Jiang, J. Zhang, Y.F. Zhong, Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications, 2011, 151(2):402-417
10. M. Dai, H.Q. Jin, H. Liu, Illiquidity, position limits, and optimal investment for mutual funds, Journal of Economic Theory, 2011, 146(4):1598-1630
11. M. Dai, Q. Zhang, Q. Zhu, Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, 2010, 1(1):780-810
12. M. Dai, P. Li, J. Zhang, A lattice pricing algorithm for moving-average barrier options, Journal of Economic Dynamics and Control, 2010, 34(3):542-554
13. M. Dai, Y. Zhong, Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, 2010, 13(3):1-31

相关人员

戴民
戴民

首席研究员 中心主任

mindai@nusri.cn
秦聪
秦聪

副研究员

matqc@nus.edu.sg