I was a PhD student at IEMS, Northwestern University under the supervision of Professor Vadim Linetsky in the areas of applied probability and financial engineering. I graduated in June, 2017.

I was born and raised in the city of Shanghai, China. Before coming to the United States, I received my bachelor's degrees in mathematics and physics and in economics from Tsinghua University in Beijing.

My hobbies are board gaming and dancesport.


Northwestern University, 2011--2015 (ABD)

M.S., PhD, Department of Industrial Engineering and Management Sciences
Dissertation: Term Structure Modeling at the Zero Lower Bound
Advisor: Vadim Linetsky

Tsinghua University, 2007--2011

B.S., Department of Physics and School of Economics and Management


My research interests lie at the intersection of mathematics and finance. I study and apply mathematical tools, including stochastic analysis, semimartingale theory, Markov theory, numerical methods and simulation, to address practical issues in the financial industry.

My previous research concerns studying the properties of Lévy processes time changed with inverse subordinators and their potential use in financial modeling. The resulting processes possess sample path behavior that is different from any existing financial model. A pricing model has been established and efficient numerical methods have been developed.

My dissertation was on the study of term structure models under the zero interest rate policy (ZIRP). We developed one- and multi-factor term structure models based on the theory of diffusion processes with sticky boundary and empirically studied their performance with historical U.S. Treasury data.

When I was in the research group of Professor Zongxia Liang at DMS, Tsinghua University. We studied the pricing of stock loans, a new financial product, in jump diffusion and general Lévy models.


Long Forward Probabilities, Recovery, and the Term Structure of Bond Risk Premiums (with Likuan Qin and Vadim Linetsky), The Review of Financial Studies, accepted.

Sticky Reflecting Ornstein-Uhlenbeck Diffusions and the Vasicek Interest Rate Model with the Sticky Zero Lower Bound (with Vadim Linetsky), submitted

Diffusions with Sticky Boundaries, PDEs with Wentzell Boundary Conditions and Interest Rates with the Zero Lower Bound (with Vadim Linetsky), submitted


Email: ynie [at] u [dot] northwestern [dot] edu