Faculty Profiles - CAI Ning | The Hong Kong University of Science and Technology

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

Google Scholar

noRYWv4AAAAJ

ORCID

0000-0002-3235-3340

Scopus ID

26029764600

Research Interest Publications Projects Teaching Assignment RPG Supervision Space used

Research Interest

Financial engineering
FinTech
Applied probability
Stochastic modeling

Publications

All Years 21 2023 0 2022 0 2021 2 2020 1 2019 1 2018 2 2017 15

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

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

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

Article 1

Regime Classification and Stock Loan Valuation

Operations Research, v. 68, (4), July 2020, p. 965-983
Cai, Ning; Zhang, Wei

Article 1

Econometrics with Privacy Preservation

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

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

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

Conference paper 1

A Unified Framework for Options Pricing under Regime Switching Models

Song,Yingda; Cai, Ning; Kou, Steven

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

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

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.

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

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

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

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

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

2022-23 Spring 0 2022-23 Winter 0 2022-23 Fall 0 2021-22 Summer 1 2021-22 Spring 3 2021-22 Winter 0

IEDA4920

Decision Analytics Final Year Project

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

No Teaching Assignments

Research Postgraduate (RPG) Supervision

From January 2020 to December 2023 (As of 25 March 2023)

All Supervisions Current RPGs Graduated RPGs

Current RPGs

Doctor of Philosophy

HAO, Ziyang
Industrial Engineering and Decision Analytics
WANG, Siyi
Industrial Engineering and Decision Analytics

Graduated RPGs

Doctor of Philosophy

KANG, Qingcan
Industrial Engineering and Decision Analytics( Completed in 2022 )

Master of Philosophy

SIM, Yuan An
Industrial Engineering and Decision Analytics( Completed in 2022 )

Projects

From January 2021 to December 2023

All Projects 5 Leading Projects 4 Participating Projects 1

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
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 -

Research Interest

Publications

2021 2

2020 1

2019 1

2018 2

2017 2

2016 1

2015 1

2014 4

2012 1

2011 2

2010 1

2009 3

Article 2

Article 1

Article 1

Article 2

Article 1

Conference paper 1

Conference paper 1

Article 1

Article 4

Article 1

Article 2

Article 1

Article 2

Conference paper 1

2017 2

2016 1

2015 1

2014 4

2012 1

2011 2

2010 1

2009 3

Teaching Assignment

Research Postgraduate (RPG) Supervision

From January 2020 to December 2023 (As of 25 March 2023)

Current RPGs

Graduated RPGs

Projects

From January 2021 to December 2023

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