Ning CAI
蔡寧
PhD in Operations Research
Columbia University, 2008

Professor
Department of Industrial Engineering and Decision Analytics



(852) 2358 8232
ningcai@ust.hk
Room 5596
Personal Web

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Google Scholar
noRYWv4AAAAJ

ORCID
0000-0002-3235-3340

Scopus ID
26029764600




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Financial engineering
FinTech
Applied probability
Stochastic modeling



Publications

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All Years 21 2022 0 2021 2 2020 1 2019 1 2018 2 2017 2 2016 13

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2021 2

A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
INFORMS Journal on Computing, v. 33, (1), December 2021, p. 216-229
Cai, Ning; Yang, Xuewei Article
Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms
Journal of Economic Dynamics and Control, v. 127, June 2021, article number 104113
Cai, Ning; Li, Chenxu; Shi, Chao Article

2020 1

Regime Classification and Stock Loan Valuation
Operations Research, v. 68, (4), July 2020, p. 965-983
Cai, Ning; Zhang, Wei Article

2019 1

Econometrics with Privacy Preservation
Operations Research, v. 67, (4), July 2019, p. 905-926
Cai, Ning; Kou, Steven Article

2018 2

Computable Error Bounds of Laplace Inversion for Pricing Asian Options
INFORMS Journal on Computing, v. 30, (4), September 2018, p. 634-645
Song, Yingda; Cai, Ning; Kou, Steven Article
International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model
Mathematical Finance, v. 28, (1), January 2018, p. 409-446
Cai, Ning; Yang, Xuewei Article

2017 2

Exact Simulation of the SABR Model
Operations Research, v. 65, (4), July-August 2017, p. 931-951
Cai, Ning; Song, Yingda; Chen, Nan Article
A unified approach to pricing equity and credit derivatives within a general framework
Proceedings of the International Conference on Industrial Engineering and Operations Management, 2017, p. 795
Cai, Ning Conference paper

2016 1

A Unified Framework for Options Pricing under Regime Switching Models
First PKU-NUS Annual International Conference on Quantitative Finance and Economics, Shenzhen, China, 7-8 May 2016
Song,Yingda; Cai, Ning; Kou, Steven Conference paper

2015 1

A General Framework for Pricing Asian Options Under Markov Processes
Operations Research, v. 63, (3), May 2015, p. 540-554
Cai, Ning; Song, Yingda; Kou, Steven Article

2014 4

A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications
Stochastic Systems, v. 4, (2), December 2014, p. 404-448
Cai, Ning; Shi, Chao Article
A Two-sided Laplace inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering
Advances in Applied Probability, v. 46, (3), September 2014, p. 766-789
Cai, Ning; Kou, Steven G.; Liu, Zongjian Article
Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models
Mathematics of Operations Research, v. 39, (3), August 2014, p. 789-822
Cai, Ning; Li, Chenxu; Shi, Chao Article
Valuation of Stock Loans with Jump Risk
Journal of economic dynamics & control, v. 40, (3), March 2014, p. 213-241
Cai, Ning; Sun, Lihua Article

2012 1

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Operations Research, v. 60, (1), January-February 2012, p. 64-77
Cai, Ning; Kou, Steven G. Article

2011 2

Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science, v. 57, (11), November 2011, p. 2067-2081
Cai, Ning; Kou, Steven G. Article
Pricing and hedging of quantile options in a flexible jump diffusion model
Journal of Applied Probability, v. 48, (3), September 2011, p. 637-656
Cai, Ning Article

2010 1

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
Mathematics of Operations Research, v. 35, (2), May 2010, p. 412-437
Cai, Ning; Chen, Nan; Wan, Xiangwei Article

2009 3

On first passage times of a hyper-exponential jump diffusion process
Operations Research Letters, v. 37, (2), March 2009, p. 127-134
Cai, Ning Article
Pricing double-barrier options under a flexible jump diffusion model
Operations Research Letters, v. 37, (3), May 2009, p. 163-167
Cai, Ning; Chen, Nan; Wan, Xiangwei Article
Numerical Pricing of Quantile Options with Jump Risk
The First POMS-HK International Conference, The Production and Operations Management Society (Hong Kong Chapter) and Logistics Research Center in the Department of Logistics and Maritime Studies at the Hong Kong Polytechnic University, 2009, p. 9-16
Cai, Ning Conference paper


Expand All Collapse All


Article 2

A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
INFORMS Journal on Computing, v. 33, (1), December 2021, p. 216-229
Cai, Ning; Yang, Xuewei
Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms
Journal of Economic Dynamics and Control, v. 127, June 2021, article number 104113
Cai, Ning; Li, Chenxu; Shi, Chao


Expand All Collapse All


Article 1

Regime Classification and Stock Loan Valuation
Operations Research, v. 68, (4), July 2020, p. 965-983
Cai, Ning; Zhang, Wei


Expand All Collapse All


Article 1

Econometrics with Privacy Preservation
Operations Research, v. 67, (4), July 2019, p. 905-926
Cai, Ning; Kou, Steven


Expand All Collapse All


Article 2

Computable Error Bounds of Laplace Inversion for Pricing Asian Options
INFORMS Journal on Computing, v. 30, (4), September 2018, p. 634-645
Song, Yingda; Cai, Ning; Kou, Steven
International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model
Mathematical Finance, v. 28, (1), January 2018, p. 409-446
Cai, Ning; Yang, Xuewei


Expand All Collapse All


Article 1

Exact Simulation of the SABR Model
Operations Research, v. 65, (4), July-August 2017, p. 931-951
Cai, Ning; Song, Yingda; Chen, Nan

Conference paper 1

A unified approach to pricing equity and credit derivatives within a general framework
Proceedings of the International Conference on Industrial Engineering and Operations Management, 2017, p. 795
Cai, Ning


Expand All Collapse All


Conference paper 1

A Unified Framework for Options Pricing under Regime Switching Models
First PKU-NUS Annual International Conference on Quantitative Finance and Economics, Shenzhen, China, 7-8 May 2016
Song,Yingda; Cai, Ning; Kou, Steven


Expand All Collapse All


Article 1

A General Framework for Pricing Asian Options Under Markov Processes
Operations Research, v. 63, (3), May 2015, p. 540-554
Cai, Ning; Song, Yingda; Kou, Steven


Expand All Collapse All


Article 4

A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications
Stochastic Systems, v. 4, (2), December 2014, p. 404-448
Cai, Ning; Shi, Chao
A Two-sided Laplace inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering
Advances in Applied Probability, v. 46, (3), September 2014, p. 766-789
Cai, Ning; Kou, Steven G.; Liu, Zongjian
Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models
Mathematics of Operations Research, v. 39, (3), August 2014, p. 789-822
Cai, Ning; Li, Chenxu; Shi, Chao
Valuation of Stock Loans with Jump Risk
Journal of economic dynamics & control, v. 40, (3), March 2014, p. 213-241
Cai, Ning; Sun, Lihua


Expand All Collapse All


Article 1

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Operations Research, v. 60, (1), January-February 2012, p. 64-77
Cai, Ning; Kou, Steven G.


Expand All Collapse All


Article 2

Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science, v. 57, (11), November 2011, p. 2067-2081
Cai, Ning; Kou, Steven G.
Pricing and hedging of quantile options in a flexible jump diffusion model
Journal of Applied Probability, v. 48, (3), September 2011, p. 637-656
Cai, Ning


Expand All Collapse All


Article 1

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
Mathematics of Operations Research, v. 35, (2), May 2010, p. 412-437
Cai, Ning; Chen, Nan; Wan, Xiangwei


Expand All Collapse All


Article 2

On first passage times of a hyper-exponential jump diffusion process
Operations Research Letters, v. 37, (2), March 2009, p. 127-134
Cai, Ning
Pricing double-barrier options under a flexible jump diffusion model
Operations Research Letters, v. 37, (3), May 2009, p. 163-167
Cai, Ning; Chen, Nan; Wan, Xiangwei

Conference paper 1

Numerical Pricing of Quantile Options with Jump Risk
The First POMS-HK International Conference, The Production and Operations Management Society (Hong Kong Chapter) and Logistics Research Center in the Department of Logistics and Maritime Studies at the Hong Kong Polytechnic University, 2009, p. 9-16
Cai, Ning


Expand All Collapse All


2016 1

A Unified Framework for Options Pricing under Regime Switching Models
First PKU-NUS Annual International Conference on Quantitative Finance and Economics, Shenzhen, China, 7-8 May 2016
Song,Yingda; Cai, Ning; Kou, Steven Conference paper

2015 1

A General Framework for Pricing Asian Options Under Markov Processes
Operations Research, v. 63, (3), May 2015, p. 540-554
Cai, Ning; Song, Yingda; Kou, Steven Article

2014 4

A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications
Stochastic Systems, v. 4, (2), December 2014, p. 404-448
Cai, Ning; Shi, Chao Article
A Two-sided Laplace inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering
Advances in Applied Probability, v. 46, (3), September 2014, p. 766-789
Cai, Ning; Kou, Steven G.; Liu, Zongjian Article
Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models
Mathematics of Operations Research, v. 39, (3), August 2014, p. 789-822
Cai, Ning; Li, Chenxu; Shi, Chao Article
Valuation of Stock Loans with Jump Risk
Journal of economic dynamics & control, v. 40, (3), March 2014, p. 213-241
Cai, Ning; Sun, Lihua Article

2012 1

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Operations Research, v. 60, (1), January-February 2012, p. 64-77
Cai, Ning; Kou, Steven G. Article

2011 2

Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science, v. 57, (11), November 2011, p. 2067-2081
Cai, Ning; Kou, Steven G. Article
Pricing and hedging of quantile options in a flexible jump diffusion model
Journal of Applied Probability, v. 48, (3), September 2011, p. 637-656
Cai, Ning Article

2010 1

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
Mathematics of Operations Research, v. 35, (2), May 2010, p. 412-437
Cai, Ning; Chen, Nan; Wan, Xiangwei Article

2009 3

On first passage times of a hyper-exponential jump diffusion process
Operations Research Letters, v. 37, (2), March 2009, p. 127-134
Cai, Ning Article
Pricing double-barrier options under a flexible jump diffusion model
Operations Research Letters, v. 37, (3), May 2009, p. 163-167
Cai, Ning; Chen, Nan; Wan, Xiangwei Article
Numerical Pricing of Quantile Options with Jump Risk
The First POMS-HK International Conference, The Production and Operations Management Society (Hong Kong Chapter) and Logistics Research Center in the Department of Logistics and Maritime Studies at the Hong Kong Polytechnic University, 2009, p. 9-16
Cai, Ning Conference paper


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 3 2020-21 Summer 0 2020-21 Spring 3 2020-21 Winter 0 2020-21 Fall 3

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IEDA3330 Introduction to Financial Engineering
IEDA4920 Decision Analytics Final Year Project
MFIT5005 Foundations of FinTech


FTEC5040 Financial Technology Research
IEDA4500 Engineering Foundations of FinTech
IEDA4920 Decision Analytics Final Year Project


IEDA3330 Introduction to Financial Engineering
IEDA4920 Decision Analytics Final Year Project
MFIT5005 Foundations of FinTech


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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Current RPGs

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Doctor of Philosophy HAO, Ziyang
Industrial Engineering and Decision Analytics( 2019 - )

WANG, Siyi
Industrial Engineering and Decision Analytics( 2019 - )

KANG, Qingcan
Industrial Engineering and Decision Analytics( 2018 - )

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Master of Philosophy SIM, Yuan An
Industrial Engineering and Decision Analytics( 2020 - )









ProjectsFrom January 2020 to December 2022

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All Projects 6 Leading Projects 5 Participating Projects 1

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A Trading Bot By Ensemble Learning


一個集成學習的交易機器人 Participating


Innovation and Technology Fund


Project Team (HKUST)
CHEN Kani (Lead)
CAI Ning
WU Lixin
YANG Can


2021 -




A Hilbert Transform Approach to Pricing Path-dependent Options under Multidimensional Models


多維模型下路徑依賴期權定價的希爾伯特變換方法 Leading


RGC - General Research Fund


Project Team (HKUST)
CAI Ning (Lead)


2018 - 2021




Analytical Pricing of Asset Loans with Holding Cost and Jump Risk


跳躍風險下具有持有成本的資產貸款的解析定價 Leading


RGC - General Research Fund


Project Team (HKUST)
CAI Ning (Lead)


2017 - 2020




Exact simulation of stochastic volatility models Leading


RGC - Direct Allocation Grant


Project Team (HKUST)
CAI Ning (Lead)


2012 -




Flexible modeling of equity derivatives markets and energy markets Leading


RGC - Direct Allocation Grant


Project Team (HKUST)
CAI Ning (Lead)


2011 -




Probabilistic properties of first passage times of a flexible jump diffusion process Leading


RGC - Direct Allocation Grant


Project Team (HKUST)
CAI Ning (Lead)


2009 -