Faculty

GU Jiawen
Tenure Track Assisstant Professor
gujw@sustech.edu.cn

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, TheUniversityofHong Kong, Mathematics, PhD
2010,SunYat-SenUniversity, Mathematics, BSc

Working Experience:
2017.08-, Southern University of Science and Technology, Mathematics, Assistant Professor
2016.11-2017.07, TheUniversityofHong Kong, Mathematics, Postdoc
2014.11-2016.08,UniversityofCopenhagen, Mathematics, Postdoc
2016.06-2014.08, 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]