Qin LU, CFA
Associate Professor, Department of Mathematics, Lafayette College, Easton, PA 18042
Voice: (610) 330-5569 FAX: (610) 330-5721
Tsinghua University, Beijing, China, B.S. in Applied Mathematics, 1991.
The Ohio State University, Ph.D. in mathematics, 1998.
ACADEMIC EMPLOYMENT EXPERIENCE:
Associate Professor, Department of Mathematics, Lafayette College, Easton, PA, 2008 – present.
Assistant Professor, Department of Mathematics, Lafayette College, Easton, PA, 2000 – 2008.
Visiting Assistant Professor, Department of Mathematics, Lafayette College, Easton, PA, 1999 – 2000.
Lecturer, Department of Mathematics, The Ohio State University, Columbus, Ohio, 1999.
Textbook “Introduction to Financial Mathematics with computer applications” (joint work with Prof. Donald Chambers), 2021, CRC press.
”Semivolatility of Returns as a Measure of Downside Risk”, The Journal of Alternative Investments, Vol. 19, No. 3, Winter 2017: pp. 68-74. (Joint with Prof. Donald Chambers)
“Curriculum Guidelines for Undergraduate Programs in Data Science”, appear in a forthcoming issue of the Annual Review of Statistics.” (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*, Wiliaml Dearden*, Wiliaml 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 a previous Lafayette EXCEL student Matthew Foy*) .
“Understanding the Estimation Risks of Value at Risk”, Journal of Alternative Investments, Vol 16. No 3, pp. 64-85, Winter 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, September 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, volume 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, volume 155/2-3, pp. 211-235, Dec. 2000.
Other conference papers:
“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 ( joint with Prof. Donald Chambers and Prof. Michael Kelly and REU/EXCEL students ).
PI for NSF REU 2012-2015
Beidleman award for outstanding faculty researcher or scholar from Lafayette College in 2013.
CFA (Chartered Financial Analyst) charter holder.
Project NExT Fellow.
Served as the advisor for Honors theses/EXCEL for the following students:
- Ryan Barnett, honors thesis,May 2020, “LIBOR Transition: Estimating Forward-Looking Term Rates for SOFR” (joint with Prof. Michael Kelly.)
- My Bui, honors thesis,May 2017, “Stochastic Volatility Option-pricing Models and Bayesian Parameter Estimation” (joint with Prof. Jeffrey Liebner.)
- Jawad Awan, honors thesis, May 2016, “Volatility surface” (joint with Prof. Donald Chambers.).
- Lihn Nguyen from 2012-2013, EXCEL, led to paper “Estimating Heston’s and Bates’ models parameters using Markov Chain Monte Carlo simulation”, mentioned in publication list.
- Matthew Foy, May 2012, EXCEL student, paper title “put option puzzle”, (joint with Prof. Donald Chambers and Prof. Jeffrey Liebner)
- Qi Sun, May 2011, Thesis title “ Copula Correlation, Default Correlation and Copula Method with Mixture Normal Model on Asset-Backed Security” (joint with Prof. Donald Chambers)
- Ying Quan(Amy), May 2009. Thesis title “A Tree Model for Pricing Mortgage with Prepayment and Default Options” (joint with Prof. Donald Chambers)
- Jinjin Qian, May 2008. Thesis title “Analysis of correlation in Copula’s model of pricing CDO” (joint with Prof. Donald Chambers)
- Lindsay Bryant, May 2007. Thesis title “Price CDO by copula method” (joint with Prof. Michael Kelly)
- Usman Khan, May 2005. Thesis title “Price convertible bond”
- Katharine Wolchik, May 2005. Thesis title “Monte Carlo simulation on continuous trading strategy for stock portfolio”
- Lindsay Carifi, May 2002. Thesis title “Markowitz Model: Finding the Efficient Frontier Using the Current Stock Market” (joint work with Prof. Handy)
- Mark Coslette, May 2001. Thesis title “The Magic Behind the Black-Scholes Option Pricing Model”
Led NSF REU group, “Analysis on Markowitz Frontier” June and July, 2002.
Led NSF REU group “Analysis on CDOs Price and Risk” June and July, 2009.
Led NSF REU group “Model implied risk adjusted ratios” June and July, 2012
(publication above and another paper by REU students alone:
“First Encounters with Option Pricing and Return
Simulation” accepted by Rose-Hulman Undergraduate Mathematics Journal.)
(as part of Lafayette’s REU Site grant in mathematics. )