Dr BODA KANG
Lecturer in Mathematical Finance
Department of Mathematics
University of York
Heslington, York, YO10 5DD
Phone: +44 1904 32 4158
Fax: +44 1904 32 3071
Email: boda.kang@york.ac.uk

 

Research Interests:

·         Financial derivatives pricing, computational finance,  mathematical finance

·         Energy derivatives modeling and pricing, volatility modeling and volatility derivatives

·         Time consistent dynamic risk measures, risk analysis in environmental problems

·         Optimization, Markov decision processes and their applications

 

Employment

·       Senior Research Associate, Finance Discipline Group, UTS Business School, University of Technology, Sydney, Australia, March 2007 ~ August 2013

·       Research Assistant, School of Actuarial Studies, University of New South Wales, Australia, April ~ August 2013

 

Education

·       PhD, University of South Australia, Adelaide, Australia, 2006

·       Master of Science, Tsinghua University, Beijing, P.R. China, 2003

·       Bachelor of Science, Tsinghua University, Beijing, P.R. China, 2000

 

Publication

Books:

·         Boda Kang (2008), Measures of Risk – Time Consistency and Surrogate Processes. VDM-Verlag, Germany.

·         Carl Chiarella, Boda Kang and Gunter Meyer (2012), The Numerical Solution of American Pricing Problems – Finite Difference and Transform Methods. World Scientific Publishing Co. Pte. Ltd., Singapore. In Preparation.

 

Journal publications:

·         Yun Bao, Carl Chiarella and Boda Kang (2013), Particle Filters for Markov Switching Stochastic Volatility Models. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 299. Accepted by a new computational economics and finance handbook to be published by Oxford University Press.

·         Carl Chiarella, Boda Kang, Gunter H.Meyer and Andrew Ziogas (2013), Computational Methods for Derivatives with Early Exercise Features. Accepted by Handbook of Computational Economics, Volume 3, Judd, Kenneth L., Schmedders, Karl (Eds.).

·         Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy To (2013), Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 308. To appear on Energy Economics.

·         Carl Chiarella, Boda Kang and Gunter Meyer (2012), The Evaluation of Barrier Option Prices Under Stochastic Volatility. Computers and Mathematics with Applications. 64(6), 2034-2048.

·         Carl Chiarella, Les Clewlow and Boda Kang (2012), The Evaluation of Gas Swing Contracts with Regime Switching. Chapter 9 in "Topics in Numerical Methods for Finance", Springer Proceedings in Mathematics & Statistics 19, M. Cummins et al. (eds.), 155-176, Springer Science Business Media New York.

·         Carl Chiarella and Boda Kang (2011), The Evaluation of American Compound Option Prices Under Stochastic Volatility and Stochastic Interest Rates. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 245. Accepted by Journal of Computational Finance.

·         Carl Chiarella, Boda Kang, Gunter H.Meyer and Andrew Ziogas (2009), The Evaluation of American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. International Journal of Theoretical and Applied Finance. 12(3), 393-425.

·         Kang Boda and Jerzy A. Filar (2006). Time Consistent Dynamic Risk Measures. Mathematical Methods of Operations Research, 63(1), 169—186.

·         Jerzy A. Filar and Boda Kang (2006). Two Types of Risk. Chapter 7 in Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems, A Volume in Honor of Suresh Sethi, H.Yan, G. Yin, and Q. Zhang (eds.), 109-140, Springer, New York, NY.

·         Kang Boda, Jerzy A. Filar, Yuanlie Lin and Lieneke Spanjers (2004). Stochastic target hitting time and the problem of early retirement. IEEE Transactions on Automatic Control a Special Issue on Stochastic Control Methods in Financial Engineering, 49(3), 409--419.

·         Lin Yuanlie, Wu Congbin and Kang Boda (2003). Optimal Models with Maximizing the Probability of First Achieving Target Value in the Preceding Stages. Science in China Series A, 46(3), 396--414.

 

Working papers:

·         Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy To (2013), The Return-Volatility Relation in Commodity Futures Markets. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 336. Submitted to Journal of Banking and Finance.

·         Carl Chiarella, Les Clewlow and Boda Kang (2013), The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 288. Submitted to Quantitative Finance.

·         Ingo Beyna, Carl Chiarella and Boda Kang (2013), Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time Dependent Volatility. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 317. Submitted to Applied Mathematics and Computation.

·         Carl Chiarella, Susanne Griebsch and Boda Kang (2013), Investigating Time-Efficient Methods to Price Compound Options in the Heston Model. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 328. Submitted to Journal of Computational and Applied Mathematics.

·         Carl Chiarella, Les Clewlow and Boda Kang (2011), Modelling and Estimating the Forward Price Curve in the Energy Market. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 260. Revision and resubmit to Energy Economics.

·         Carl Chiarella, Boda Kang and Ser-Huang Poon (2012), Forward Variance Dynamics and Volatility Derivatives. In Preparation.

·         Jerzy A. Filar, Boda Kang and Malgorzata Korolkiewicz (2006). Pricing Financial Derivatives on Weather-Sensitive Assets. Quantitative Finance Research Centre, University of Technology, Sydney. Research paper, No 223.

 

Invited talks:

·         Seminar at Department of Mathematics, National University of Singapore, Singapore, April 24, 2013.

·         Seminar at the Manchester Business School, Manchester, UK, July 4, 2012.

·         Research Forum on Finance and Decision Making, Tokyo, 13 March, 2009.

·         Daiwa Young Researchers' Workshop on Finance, Kyoto University, 9-12 March, 2009.

 

Selected conference presentations:

·         SIAM Conference on Financial Mathematics and Engineering, Minneapolis, Minnesota, US, July 8 – 11, 2012.

·         18th International Conference on Computing in Economics and Finance, Prague, Czech Republic, June 27 – 29, 2012.

·         7th World Congress of Bachelier Finance Society, Sydney, Australia, June 19 – 22, 2012.

·         29th International Conference of the French Finance Association, Strasbourg, France, May 15 – 16, 2012.

·         17th International Conference on Computing in Economics and Finance, San Francisco, USA, June 29 – July 1, 2011.

·         3rd International Conference on Numerical Methods for Finance, Limerick, Ireland, June 8 – 10, 2011.

·         16th International Conference on Computing in Economics and Finance, London, UK, July 15-17, 2010.

·         24th European Conference on Operations Research, Lisbon, Portugal, July 11-14, 2010.

·         6th World Congress of the Bachelier Finance Society, Toronto, Canada, June 22-26, 2010.

·         3rd International Conference on Computational and Financial Econometrics, Limassol, Cyprus, October 29-31, 2009.

·         15th International Conference on Computing in Economics and Finance, University of Technology, Sydney, July 15-17, 2009.

·         1st PRIMA Congress, University of New South Wales, Sydney, July 6-10, 2009.

·         3rd Workshop on High-Dimensional Approximation, University of New South Wales, Sydney, 16-20 February, 2009.

·         Quantitative Method in Finance Conference, Sydney, 17-20 December, 2008.

·         A poster presentation by Boda Kang on the Fifth World Congress of the Bachelier Society, London 15-19 July 2008.

·         Quantitative Methods in Finance Conference in Sydney, 13--16 Dec. 2006.

·         Quantitative Methods in Finance Conference in Sydney, 14--17 Dec. 2005.

·         Optimal Control and Dynamic Games: Workshop in Honor of Suresh Sethi, Aix en Provence, France, June 2-5, 2005

·         Poster in the Workshop on Mathematical Methods in Finance and the 3rd National Symposium on Financial Mathematics in Melbourne, Australia, 2004.

 

Reviewer for the following journals: Journal of Economic Dynamics and Control, Journal of Risk Finance, Mathematics of Operations Research, Journal of Mathematical Analysis and Applications, Operations Research, Computers and Mathematics with Applications, Mathematical Reviews, Mathematical Methods of Operations Research, Journal of Computational and Applied Mathematics, Journal of Selected Topics in Signal Processing, Journal of Computational Finance, European Journal of Finance

Grants:

·         Chief Investigator on Faculty of Business Research Grants. Project titled “Consistent pricing of volatility derivatives”, Funding: AUD$ 9,961. During: Jan 1st – Dec 31st, 2011.

·         Chief Investigator on Faculty of Business Research Grants. Project titled "Pricing and hedging of multi-dimensional American option portfolios using the Fourier transform and sparse grid approach", Funding: AUD$9,999. Duration: Jan. 1st –Dec. 31st, 2010.

·         Chief Investigator on Faculty of Business Research Grants. Project titled "Modelling and managing the risk of fluctuations of gas and electricity forward prices in the energy market", Funding: AUD$9,816. Duration: Jan. 1st –Dec. 31st, 2009.

·         Chief Investigator on Faculty of Business Research Grants. Project titled "The Accurate & Efficient Pricing & Hedging of Multi-Dimensional American-Style Financial Derivatives Using the Meshfree Approach", Funding: AUD$9,368. Duration: Jan. 1st –Dec. 31st, 2008.