Academic Experience

Associate Professor,  Antai College of Economics and Management, Shanghai Jiao Tong University, 2017 - now

Assistant Professor,  Antai College of Economics and Management, Shanghai Jiao Tong University, 2017 - 2019

Research Associate, School of Management, University of Science and Technology of China, 2015 - 2017

Research Fellow, Centre for Quantitative Finance, National University of Singapore, 2013 - 2015

Education

Ph. D. , Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, 2013

B. S. , Department of Mathematical Sciences, Tsinghua University, 2009

Research Interests

Financial Engineering, Fintech, Stochastic Models, Simulation

Research Grants

Options Pricing under General Regime Switching Models, NSFC-Project 71701197, PI, 2018-2020

Working Papers

[1] N. Cai, S. Kou, and Y. Song. A Unified Framework for Regime-Switching Models. [SSRN]

[2] L. J. Hong, Y. Song, and T. Wang. Fast Discrete-Event Simulation of Markovian Queueing Networks through Euler Approximation. [arXiv]

[3] N. Lin, Y. Song, and L. J. Hong. Efficient Nested Estimation of CoVaR: A Decoupled Approach. [arXiv]

Published Papaers

[1] F. Liu, and Y. Song. (2025) Analysis of Credit ABS based on Markov Chain Approaches. Finance Research Letters, 71: 106432. [DOI]

[2] F. Liu, and Y. Song. (2024) Risk-free Rate Caplets Pricing by CTMC Approximation. Quantitative Finance, 24(11): 1579-1595. [DOI]

[3] P. Chen, and Y. Song. (2024) A General Approximation Method for Optimal Stopping and Random Delay. Mathematical Finance. 34(1): 5-35. [DOI]

[4] T. Wang, Y. Song, and L. J. Hong. (2023) Fast Approximation to Discrete-Event Simulation of Markovian Queueing Networks. Proceedings of the 2023 Winter Simulation Conference, 3613-3623. [DOI]

[5] P. Chen, and Y. Song. (2022) Irreversible Investment with Random Delay and Partial Prepayment. Operations Research Letters. 50(5): 434-440. [DOI]

[6] X. Lian, and Y. Song. (2021) Pricing and Calibration of the Futures Options Market: A Unified Approximation. Journal of Futures Markets. 41(7): 1074-1091. [DOI]

[7] Y. Song, N. Cai, and S. Kou. (2018) Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS Journal on Computing. 30(4): 634-645. [DOI]

[8] N. Cai, Y. Song, and N. Chen. (2017) Exact Simulation of the SABR Model. Operations Research. 65(4): 931–951. [DOI]

[9] N. Cai, Y. Song, and S. Kou. (2015) A General Framework for Pricing Asian Options under Markov Processes. Operations Research. 63(3): 540–554. [DOI]

Teaching

Business Statistics (UG: 2020-2024)

Financial Engineering (UG: 2019-2024)

Investment Science (UG: 2021-2023; PG: 2019-2022)

Stochastic Models in Operations Research (PG: 2023-2024)

Probability and Statistics (UG: 2019)

Data Model and Decision (MIB: 2018)