The Marsland Fellowship in Information Technology provides a visible, enduring legacy for the Marsland family’s support of information technology at the University of Waterloo. The fellowship also provides a key element in supporting the expansion of the David R. Cheriton School of Computer Science.
Current Marsland Fellow
Yuying Li's research interests include the design, analysis and application of computational algorithms for continuous optimization problems and, more generally, problems in scientific computing.
Yuying has been working on developing efficient and robust algorithms for various mathematical programming problems. Specifically, she has focused on designing methods for solving large-scale constrained optimization problems using interior point and trust region approaches. This work includes analysis of theoretical algorithmic properties and development of efficient and robust software. She has also developed algorithms for solving piecewise differentiable optimization problems using an affine scaling approach.
Yuying is also interested in applying computational methods to practical applications. In recent years, she has been focusing on financial applications.
Fundamental problems in computational finance include the pricing and hedging of financial derivatives. One of the major components of derivative pricing and hedging is calibration of stochastic models. This can be mathematically and computationally challenging since model calibration in finance is often an ill-posed problem due to insufficient market information.
Yuying has been working on developing computationally efficient parametric (as well as non-parametric) methods for robust calibration of stochastic models for option pricing and hedging. Another important problem in computational finance is the determination of optimal trading strategies in a multi-period framework. Yuying has been interested in efficient computation of optimal portfolios for investment, hedging, and risk management under various risk measures suitable for portfolios including financial derivatives.
Previous Marsland Fellows