Yuying Li

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Waterloo

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#12 Middle School

Description: Description: Z:\public_html\Li_05web.jpg
Professor (PhD, Waterloo, 1988)
School of Computer Science
DC 3623
200 University Avenue West
University of Waterloo
Waterloo, Ontario, Canada, N2L 3G1

email: yuying@uwaterloo.ca
phone: 519 888 4567 ext. 7825
fax: 519 885 1208

Courses  

In Spring 2012, I will teach CS 870: Optimization in Finance and Machine Learning,  CS870_2012

Miscellaneous

Call for papers, The first workshop on parallel and distributed computing in finance (computational finance)

Research and Publications

My research interest is algorithm design, analysis, and implementation for scientific computing problems. My main focus has been on continuous optimization problems and applications. More specifically, I am interested in:

  • Optimization in finance  and data mining
  • Computational methods for optimization
  • Trust region methods
  • Large scale optimization
  • Image restoration and segmentation

I have a few recent manuscripts available on-line: ( More Publications here )

  • T. F. Coleman and Y. Li, Optimization \& Finance, Encyclopedia of Quantitative Finance, R. Cont (Ed), John Wiley \& Sons Ltd. Chichester, UK. pp. 1322-1327. 2010.
  • S. Moazeni, T. F. Coleman and Y. Li, ''Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters'', pdf, 619KB. Submitted to SIAM J. Optimization, 2008.
  • L. Zhu, T. F. Coleman and Y. Li, ''Min-Max Robust and CVaR Robust Mean-Variance Portfolios'', pdf, 619KB. Submitted to Journal of Risk, 2007.
  • S. Moazeni, Y. Li, K. Larson, ''Execution Costs in financial markets with several institutional investors'', pdf, 229KB. Proceedings of the Fourth IASTED International Conference, Financial Engineering and Application , pp 31-37, 2007.
  • T. F. Coleman, Y. Kim, Y. Li and M. Patron, '' Robustly Hedging Variable Annuities with Guarantee Under Jump and Volatility Risks'', pdf, 229KB. Journal of Risk and Insurance , Vol 74, pp 347-376, June 2007.
  • C. He, T. F. Coleman, and Y. Li, ''Calibrating Volatility Function Bounds for An Uncertain Volatility Model '', pdf, 190KB. 2006
  • C. He, T. F. Coleman, and Y. Li, ''Computation and Analysis for a Constrained Entropy Optimization Problem in Finance '', pdf, 234KB. 2006. To appear in Journal of Computational and Applied Mathematics.
  • S. Alexander, T. F. Coleman, and Yuying Li, ''Minimizing VaR and CVaR for a Por tfolio of Derivatives'', pdf, 690KB. Journal of Banking and Finance, Vol. 30, no. 2, pp. 583-605, 2006.
  • T. F. Coleman, J. Henninger, Y. Li, '' Minimizing Tracking Error While Restricting the Number of Assets'', pdf, 257KB. Journal of Risk, vol 8, pp. 33-56, 2006.
  • T. F. Coleman, Y. Li and M. Patron, '' Hedging Guarantees in Variable Annuities (Under Both Market and Interest Rate Risks)'', pdf, 190KB. Insurance: Mathematics and Economics , vol 38, pp. 215-228, 2006.
  • T.F. Colemanm, Y. Li, and C. Patron ``Total risk minimization'', pdf, 607KB. Handbook of Financial Engineering. Published by Elsevier, Edited by John R. Birge and Vadim Linetsky, pp. 593-635, 2007.
  • C. He, J. S. Kennedy, T. F. Coleman, P. A. Forsyth, Y. Li and K. Vetzal, pdf, 1,334KB. ''Calibration and Hedging under Jump Diffusion'', Review of Derivative Research, vol 9, pp 1-35, 2006.
  • T. F. Coleman, D. Levchenkov and Y. Li, ''Discrete hedging of American-type options using local risk minimization'', pdf, 338KB. Journal of Banking and Finance, vol 31, pp 3398-3419, 2007.
  • S. Alexander, T. F. Coleman and Y. Li, ''Derivative Portfolio Hedging Based on CVaR'', pdf, 248KB. New Risk Measures for the 21st Century, edited by G. Szego, pp. 3 39-363, 2004.
  • T. F. Coleman, Y. Li and M. Patron, ''Discrete Hedging under Piecewise Linear Ri sk Minimization'', pdf,179LB. Journal of Risk , Vol. 5, pp. 39-65, 2003.
  • K. Boyle, T. F. Coleman and Y. Li, ''Hedging a Portfolio of Derivatives by Modeling Cost'', pdf,822KB. IEEE Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), March 21-23, 2003, Hong Kong.
  • T. F. Coleman, Y. Li and A. Verma, ''A Newton Method for American Option Pricing'', pdf,183KB. Journal of Computational Finance. Vol. 5, No 3, Spring 2002: 51-78.
  • T. F. Coleman, Y. Li, Y. Kim and A. Verma, ''Dynamic Hedging with a Deterministic Volatility Function Model'', pdf,376KB. Journal of Risk , pp. 64-90, Vol. 4, 2001.
  • T. F. Coleman, Y. Li and A. Mariano, ''Segmentation of Pulmonary Nodule Image Using 1-norm Minimization'', pdf, 9,839KB. Computational Optimization and Applications , Vol. 19, September 2001, pp. 243-272.
  • T. F. Coleman and Y. Li, ''A Trust Region and Affine Scaling Interior Point Method for Nonconvex Minimization with Linear Inequality Constraints'', pdf, 12,416KB. Mathematical Programming Series A , 88(1), 2000, pp. 1-32.
  • T. F. Coleman, Y. Li and Arun Verma, '' Reconstructing the Unknown Local Volatility Function'', pdf,595KB. Journal of Computational Finance, Vol. 2, 1999, pp. 77-102.
  • M. Branch, T. F. Coleman and Y. Li, ''A Subspace, Interior and Conjugate Gradient Method for Large-scale Bound-constrained Minimization Problems'', pdf,10,387KB. SIAM Journal on Scientific Computing, Vol. 21, 1999 pp. 1-21.