古嘉雯
助理教授  

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

简历
科研
教学
发表论著
研究兴趣：
最优资产配置
量化交易
信用风险建模及其衍生品定价
供应链管理
机器学习在资产配置上的应用

教育背景：
2014年，香港大学，数学系，获金融数学哲学博士学位
2010年，中山大学，数学系，获数学学士学位

工作经历:
2017年8月至今，南方科技大学，数学系，助理教授
2016年11月至2017年7月，香港大学，数学系，博士后
2014年11月至2016年8月，哥本哈根大学，数学系，博士后
2014年6月至2014年8月，摩根大通，量化研究组实习


代表著作(* 通讯作者):


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)