Projects per year
Personal Profile
Personal Profile
Professor Lingfei Li received his B.S. in Applied Mathematics from Peking University, China in 2007, and his M.S. and Ph.D. in Industrial Engineering and Management Sciences from Northwestern University, USA in 2008 and 2012. He joined the Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong in June 2012. His research interests include financial engineering, mathematical finance and computational finance. He worked as a quant in the commodity strategies group at Morgan Stanley in the summer of 2009.
Research Interests
* Financial Engineering
* Mathematical Finance
* Computational Finance
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
-
Continuous-time model-based reinforcement learning in financial engineering
LI, L. (PI)
1/10/24 → 30/09/27
Project: Research
-
Reinforcement Learning for the Optimal Trade Execution Problem in Financial Engineering
LI, L. (PI)
1/01/23 → 31/12/25
Project: Research
-
Data-Driven Deep Learning Methods for Financial Engineering
LI, L. (PI)
1/11/20 → 30/04/24
Project: Research
-
Pricing and Hedging Drawdown Derivatives in Financial Engineering
LI, L. (PI)
1/07/19 → 31/12/22
Project: Research
-
Multidimensional Hilbert Transform and Its Applications in Financial Engineering
LI, L. (PI)
1/07/18 → 31/12/21
Project: Research
-
Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis
Wang, B., Gao, X. & Li, L., Apr 2026, In: Finance and Stochastics. 30, 2, p. 597-655 59 p.Research output: Journal Publications › Publication in refereed journal › Academic research › peer-review
Open Access1 Link opens in a new tab Citation (Scopus) -
Reinforcement Learning for Jump-Diffusions, With Financial Applications
Gao, X., Li, L. & Zhou, X. Y., 17 Mar 2026, (E-pub ahead of print) In: Mathematical Finance.Research output: Journal Publications › Publication in refereed journal › Academic research › peer-review
Open Access2 Link opens in a new tab Citations (Scopus) -
Deep learning for enhanced index tracking
Dai, Z. & Li, L., May 2024, In: Quantitative Finance. 24, 5, p. 569-591 23 p.Research output: Journal Publications › Publication in refereed journal › Academic research › peer-review
Open AccessFile7 Link opens in a new tab Citations (Scopus)1 Downloads (Pure) -
Pricing and hedging autocallable products by Markov chain approximation
Cui, Y., Li, L. & Zhang, G., Oct 2024, In: Review of Derivatives Research. 27, 3, p. 259-303 45 p., 104669.Research output: Journal Publications › Publication in refereed journal › Academic research › peer-review
Open Access4 Link opens in a new tab Citations (Web of Science) -
Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Wu, B. & Li, L., Jan 2024, In: Journal of Economic Dynamics and Control. 158, 104787.Research output: Journal Publications › Publication in refereed journal › Academic research › peer-review
16 Link opens in a new tab Citations (Web of Science)
Professional & Knowledge Transfer Activities
-
Model-based reinforcement learning in diffusion environments
LI Lingfei (Invited speaker)
Jun 2024Activity: Talk or Presentation › Academic and Professional Conferences/ Workshop/ Seminar: Keynotes/ Distinguished Lectures/ Invited Talks › Higher Education & Industry
-
Deep learning for enhanced index tracking
LI Lingfei (Invited speaker)
Aug 2023Activity: Talk or Presentation › Academic and Professional Conferences/ Workshop/ Seminar: Keynotes/ Distinguished Lectures/ Invited Talks › Higher Education & Industry
-
Journal of the Operational Research Society (Journal)
LI Lingfei (Associate Editor)
Feb 2023 → Sept 2024Activity: Editorial Work and Peer Review › Editorial Work
-
A General Method for Analysis and Valuation of Drawdown Risk under Markov Models
LI Lingfei (Invited speaker)
Jun 2022Activity: Talk or Presentation › Academic and Professional Conferences/ Workshop/ Seminar: Keynotes/ Distinguished Lectures/ Invited Talks › Higher Education & Industry
-
11th World Congress of the Bachelier Finance Society
LI Lingfei (Chair)
Jun 2022Activity: Event Organisation and Participation › Academic and Professional Conference/ Workshop/ Seminar › Higher Education & Industry
Prizes/Honours
-
George L. Nemhauser Doctoral Dissertation Prize
LI Lingfei (Recipient), Sept 2012
Prize: Awards/ Prizes/ Honours