Yu Tian

Dr

Accepting PhD Students

PhD projects

Retirement income product innovation

20102019

Research output per year

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Personal profile

Biography

Dr Yu Tian is a Senior Lecturer of Monash Centre for Quantitative Finance and Investment Strategies, and is a Senior Consultant, Pricing and Risk Analysis, of NAB/MLC Wealth. He is also the Vice President of Q Group Australia and the Chair of its Melbourne chapter, Industry Fellow of UNSW CEPAR, Advisory Committee Member of CSIRO Data61 RiskLab and Associate Editor of ANZIAM Journal in financial mathematics section. His research interests include: retirement income product design and pricing, portfolio optimisation, derivatives pricing and risk management.

Education/Academic qualification

Financial Mathematics, PhD, MONASH UNIVERSITY

Mar 2010Sep 2013

Award Date: 1 May 2014

Computational Finance, Master of Science with Distinction, Technische Universiteit Delft (Delft University of Technology)

Sep 2007Jun 2009

Award Date: 1 Jul 2009

Mathematics, Bachelor of Science, Shandong University

Sep 2003Jun 2007

Award Date: 1 Jul 2007

Finance, Bachelor of Economics, Shandong University

Sep 2003Jun 2007

Award Date: 1 Jul 2007

Research area keywords

  • volatility modelling
  • option pricing
  • risk management
  • retirement income products

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Research Output

  • 6 Conference Paper
  • 5 Article

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2019, In : Quantitative Finance. 19, 3, p. 519-532 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method

Zhang, H., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 1 Jun 2019, In : Journal of Computational Finance. 23, 1, p. 97-127 31 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. C. & Hamza, K., 2016, Proceedings of 4th Annual International Conference on Operations Research and Statistics. Ganikhodjaev, N. (ed.). Singapore: Global Science and Technology Forum, p. 75-83 9 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Calibrating and pricing with a stochastic-local volatility model

Tian, Y., Zhu, Z., Lee, G. M., Klebaner, F. C. & Hamza, K., 2015, In : Journal of Derivatives. 22, 3, p. 21-39 19 p.

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Using exotic option prices as control variates in Monte Carlo pricing under a local-stochastic volatility model

Lee, G., Zhu, Z. & Tian, Y., 2015, IAENG Transactions on Engineering Sciences: Special Issue for the International Association of Engineers Conferences 2014. Ao, S., Chan, A. H., Katagiri, H. & Xu, L. (eds.). Toh Tuck Link Singapore: World Scientific Publishing, p. 15-28 14 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review