Qin Lu, CFA

Mailing Address: Department of Mathematics, Lafayette College, Easton, PA 18042
Email: luq@lafayette.edu
Phone: 4848942361

Research Interests
Specializing in Financial Mathematics, with expertise in financial derivative pricing and risk management. Actively pursuing a part-time (summer) position in Quantitative Finance consulting or a teaching role at a business school, while simultaneously fulfilling academic commitments at Lafayette College

Ph.D. Thesis
Title: Cohomological properties of the punctured mapping class groups
Advisor: Professor Guido Mislin
Education:

• 1994-1998: The Ohio State University
  D. in Mathematics
• 1986-1991: Tsinghua University, People’s Republic of China
  S. in Applied Mathematics

Experience

Aug. 2008 – Present: Associate Professor, Lafayette College

Spring 2022-Assistant Department Head of the Mathematics Department

Aug. 2000 – July 2008:  Assistant Professor, Lafayette College

Aug. 1999 – June 2000: Visiting Assistant Professor, Lafayette College

Jan. 1999 – June 1999 Lectureship at the Ohio State University

1994-1998: Recitation instructor and lecturer at the Ohio State University

Courses taught at Lafayette:

related to Statistics: Applied Statistics, Probability, Mathematical Statistics.

related to Mathematics: Applied Calculus, Calculus I, II, III.

related to Finance: Financial Mathematics

related to Finance in Economics Department: Options, futures, and other derivatives.

 

Courses taught at the Ohio State University: Introductory and Intermediate Algebra, Standard Calculus Sequence, Calculus Sequence with Mathematica, Calculator-based Applied Calculus Sequence.

Technology used: R, Python, Java, Mathematica, Excel, TI-83

 

Papers and Books

• Textbook “Introduction to Financial Mathematics with computer applications”, 2021, CRC press, ISBN 9780367410391. (joint work with Prof. Donald Chambers)
• “Semivolatility of Returns as a Measure of Downside Risk”, Journal of Alternative Investments, 19 (3), pp 68-74, Winter 2017. (Joint work with Prof. Donald Chambers.)
• “Curriculum Guidelines for Undergraduate Programs in Data Science”, Annual Review of Statistics, 2017.(Joint work with other 24 undergraduate faculty from a variety of institutions in the United States. These guidelines are endorsed by the ASA Board of Directors—are meant to provide structure for institutions planning for or revising a major in data science.)
• “The Effects of Housing Price Volatility on Mortgage Rates”, Journal of Housing research, volume 25, issue 1, pp17-37, 2016.(Joint work with Prof. Donald Chambers, Prof. Ge Xia, Prof. Yun Lu, and honors thesis student Ying Quan*)
• “Estimating Heston’s and Bates’ models parameters using Markov Chain Monte Carlo simulation”, Journal of Statistical Computation and Simulation, Volume 85, Issue 11 pp. 2295-2314 ,2015.(Joint work Prof. Jeffrey Liebner and REU students Joshua Cape*, William Dearden*, William Gamber*, and Linh Nguyen*)
• “Index Option Returns: Still Puzzling”, The Review of Financial Studies, Vol 27(6), pp 1915-1928, 2014.(Joint work with Prof. Donald Chambers, Prof. Jeffrey Liebner and EXCEL student Matthew Foy*)
• “Understanding the Estimation Risks of Value at Risk”, Journal of Alternative Investments, Vol 16. No 3, pp. 64-85, 2014.(Joint work with Prof. Donald Chambers, Prof. Michael Kelly)
• “Copula Correlation, Default Correlation and the Financial Crisis”, International Review of Applied Financial Issues and Economics, Vol. 3 Issue 3, pp: 594-605, 2011.(Joint work with Prof. Donald Chambers, Prof. Jeffrey Liebner)
• “CDO Squared: The Case of Subprime Mortgages”, The Journal of Structured Finance, Vol. 17, No. 2, pp: 96–113, summer 2011.(Joint work with Prof. Donald Chambers, Prof. Michael Kelly and REU students Adam Biesenbach*, Angela King*, Kuni Natsuki* and Qi Sun*)
• “The Role of the Constant Recovery Assumption in the Subprime Bubble”, The Journal of Alternative Investments, Vol. 13, No. 1, pp: 30-40, summer 2010.(Joint work with Prof. Donald Chambers, Prof. Michael Kelly)
• A pedagogical book: September 2007 CAIA® Level I Study Guide for Chartered Alternative Investment Analyst Association ®Quantitative Methods: 12 topics.(joint work with Prof. Donald Chambers)
• “A tree model for pricing convertible bonds with equity, interest-rate and default risk”, Journal of Derivatives, Vol 14, pp: 25-46, summer 2007.(joint work with Prof. Donald Chambers)
• “Algebraic K-theory of Mapping Class Groups”, K-theory 32: pp 83-100, 2004.(joint work with Prof. Ethan Berkove and Prof. Daniel Juan-Pineda)
• “Farrell cohomology of low genus pure mapping class group with punctures”, Algebraic & Geometric Topology, No.2 , pp: 537-562, 2002.
• “Periodicity of the punctured mapping class group”, Journal of pure and applied algebra, Vol. 155/2-3: pp 211-235, Dec. 2000.

Other conference papers:

• “What does the VIX index tell us?” AMS Special Session on Financial Mathematics I, 2023 JMM joint meetings
• “Value at Risk Estimation: A Review and Extension” , Proceedings of  Hawaii University International Conferences in July 2011.(joint work with Prof. Donald Chambers)
• “Were ABS-CDOs Rated Reasonably?’’ presented at The Conference of Northeastern Association of Business, Economics and Technology in Oct. 2010

Scholarly Activity

• Guided 12 Honors thesis advisors or 2 EXCEL students, resulting in publications and presentations within the field of Financial Mathematics.
• May 2020: “LIBOR Transition: Estimating Forward-Looking Term Rates for SOFR” (joint with Prof. Michael Kelly)
• May 2017: “Stochastic Volatility Option-pricing Models and Bayesian Parameter Estimation” (joint with Prof. Jeffrey Liebner)
• May 2016: “Analysis of Volatility Surface” (joint with Prof. Donald Chambers)
• 2012-2013 (EXCEL): Led to the paper “Estimating Heston’s and Bates’ Models Parameters using Markov Chain Monte Carlo Simulation,” mentioned in the publication list.
• 2011-2012 (EXCEL): Student presentation in NUCR 2011, led to the paper “Index Option Returns: Still Puzzling,” mentioned in the publication list.
• May 2011: “Analyzed the credit rating for CDO Tranches through the Copula method”, student presented at NCUR 2011. (joint with Prof. Donald Chambers).
• May 2010: “Volatility Analysis of U.S. Metropolitan Housing Market”, student presented the time series project at AMS/MAA annual meeting 2010. (joint with Prof. Donald Chambers).
• 2008: “A Tree Model for Pricing Mortgage with Prepayment and Default Options” led to the paper “The Effects of Housing Price Volatility on Mortgage Rates,” mentioned in the publication list (joint with Prof. Donald Chambers).
• May 2008: “An Analysis of Correlation in Copula’s Model of Pricing CDOs”, student presented her project at AMS/MAA annual meeting 2008. (joint with Prof. DonaldChambers).
• May 2007: “A Copula Approach to Pricing Collateralized Debt Obligations”, student presented at NCUR 2007. (joint with Prof. Michael Kelly).
• May 2005: “A Binomial Tree Approach to Pricing Callable Convertible Bonds”, student presented his thesis work at NCUR 2005.
• May 2005: “Stock Portfolio Continuous Trading Strategies by Simulation”, student presented her thesis work at NCUR 2005.
• May 2002: “Markowitz Model: Finding the Efficient Frontier Using the Current Stock Market”, student presented her thesis work at NCUR 2002. (joint work with Prof. Handy).
• May 2001: “The Magic Behind the Black-Scholes Option Pricing Model”

REU Program Advisor for five summers in the field of financial mathematics

• Summer 2022:

Students presented at AMS/MAA annual meeting 2023 on “Options and Market Price Volatility.”

Paper submitted: “Bayesian Estimation of Stochastic Volatility Jump Diffusion Model Parameters using S&P 500 and VIX Data.”

• Summer 2014:

Students presented at AMS/MAA annual meeting 2015 on “Estimating the Risk Neutral Density of the S&P 500.”

Paper published: “Quantifying Options Implications” by Michael Bauer*, Xiaowen Chang*, Michael Conway* in SIAM Undergraduate Research Online (SUIRO), 8 (2015) 177-204.

• Summer 2012:

Students presented at AMS/MAA annual meeting 2013.

Published a paper: “Estimating Heston’s and Bates’ Models Parameters using Markov Chain Monte Carlo Simulation,” mentioned in the publication list.

Another paper published: “First Encounters with Option Pricing and Return Simulation” by Joshua Cape*, William Dearden*, William Gamber*, Linh Nguyen* in Rose-Hulman Undergraduate Math Journal, Vol. 16, Issue 1, 2015.

• Summer 2009:

Students presented at AMS/MAA annual meeting 2010.

Published a paper: “CDO Squared: The Case of Subprime Mortgages,” mentioned in the publication list.

• Summer 2002:

Students presented at AMS/MAA annual meeting 2003 on “Some Geometrical Properties on the Markowitz Frontier.”

 

Honors

• Beidleman Award for outstanding faculty researcher or scholar from Lafayette College in 2013.
• CFA (Chartered Financial Analyst) charter holder since 2006.
• Project NExT fellow 2000.
• Nominated for the 1998-1999 Graduate Associate Teaching Award of Ohio State University.
• Summer department fellowships at Ohio State University during 1994-1998.

Service

At Lafayette College:

(1) Governance committee

(2)Retirement Plan Committee

(3) Policy Study Committee

(2) Data Science and Visualization Program Investigation Group

(2) Diversity Committee

(3) Enrollment Planning Committee Liaison, interviewing incoming students

(4) Academic Research Committee. (Twice)

(5) Student Appeals Committee

(6) Fellowship Advice Committee (Under provost)

(7) Academic Advisor for Freshmen

(8) Honors Thesis Committee for numerous students

(9) Guest lecturer for History of Modern China course and first year seminar

(10) Board of Trustees Committee of Final Policy (Alt. for Professor Chambers)

(11) Board of Trustees Committee of Audit

(12) Lafayette Retirement Plan Investment Committee

 

 

At Department:

Search Committee, Math/Econ Joint Major Committee, Statistics Committee, Barge Committee, MAAD Talks Committee, high school outreach program, problem solving group, Lehigh Valley math contest, Students Math Awards Committee, Math 400 Course Committee, gift coordinator

 

Professional:

NSF REU review panelist in fall 2011.

 

Referee for Economic modeling

Referee for Journal of Systems Science and Systems Engineering

Referee for Journal of Financial Research

Referee for Journal of Alternative Investment

Referee for Journal of Information Science and Engineering

Reviewer for Zentralblatt MATH, edited by the European Mathematical Society, the Heidelberg Academy of Sciences and Fachinformationszentrum Karlsruhe.

Grants

• NSF REU grants PI (2012-2015):NSF REU 1063070
• NSF REU grants Co-PI (2022-2025): NSF REU 2150343