Pengyu Wei

DPhil Student, Mathematical and Computational Finance Group

Pengyu Wei is a DPhil student at the Mathematical and Computational Finance Group at the Mathematical Institute, under supervision of Prof. Xunyu Zhou.He received his undergraduate degree in statistics and also a bachelor's degree in economics, all from Peking University. His research interest includes financial big data and principal-agent problems. His current project is to analyse transaction data of foreign exchange traders and identify talented traders.


Working Paper

Wei, P (2017). Risk management with weighted VaR.
Wei, P (2017). Eqilibrium analysis of expected shortfall.