[1] C. Li (2013). Maximum-likelihood Estimation for Diffusion Processes via Closed-form Density Expansions, Annals of Statistics, 41(3), 1350-1380.
[2] C. Li (2014). Closed-form Expansion, Conditional Expectation, and Option Valuation, Mathematics of Operations Research, 39(2), 487-516.
[3] N, Cai, C. Li, and C. Shi (2014). Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models, Mathematics of Operations Research, 39(3), 789-822.
[4] C. Li (2016). Bessel Processes, Stochastic Volatility, and Timer Options, Mathematical Finance, 26(1), 122-148.
[5] C. Li and D. Chen (2016). Estimating Jump-Diffusions Using Closed-form Likelihood Expansions, Journal of Econometrics, 195(1), 51-70.
[6] C. Li (2010). Managing Volatility Risk: Innovation of Financial Derivatives, Stochastic Models and Their Analytical Implementation, PhD Dissertation, Columbia University.
Invited Presentations and Academic Visits:
Morgan Stanley, Global Quantitative Modelling Seminar, Beijing, China, June 2014
Financial Engineering and Risk Management International Symposium, Beijing, China, June 2014
Beijing Normal University, Beijing, China, June 2014
Chinese Academy of Sciences, Academy of Mathematics and System Sciences, Beijing, China, June 2014
Shanghai Jiaotong University, Antai College of Economics and Management, Shanghai, China, June 2014
Columbia University, Mathematical Finance Seminar, New York, US, May 2014
Princeton University, Bendheim Center for Finance, New Jersey, US, April 2014
Southwestern University of Finance and Economics, Chengdu, China, Nov. 2013
Asymptotic Statistics and Related Topics: Theories and Methodologies, Bernoulli Society Satellite Meeting to the ISI World Statistics Congress 2013, Tokyo, Japan, Sept. 2013
Risk Pricing and Related Topics in Financial Engineering, Shanghai, China, June, 2013
Workshop on Mathematical Finance and Related Issues, Kyoto, Japan, September 2012
Financial Engineering and Risk Management International Symposium, Changsha, China, June 2012
National University of Singapore, Singapore, May 2012
Young Researchers Workshop on Finance, Tokyo, Japan, March 2012
Statistical Analysis and Related Topics: Theory, Methodology, and Data Analysis, Tokyo, Japan, Dec. 2011
National School of Development, Beijing, China, Oct. 2011
Workshop on Nonlinear Expectation and it’s Applications in Financial Econometrics, Beijing, China, July 2011
Hongkong University of Science and Technology, Department of Mathematics, Hongkong, Jan. 2010
Professional Activities:
Reviewer for Refereed Academic Journals: Management Science, Mathematics of Operations Research, Annals of Statistics, Journal of Econometrics, Econometric Theory, Mathematical Finance, Quantitative Finance, European Journal of Operational Research, Operations Research Letters, Probability in the Engineering and Informational Sciences, Annals of the Institute of Statistical Mathematics, Asia-Pacific Financial Markets, etc.
