Yuying Li

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Description: Description: Li_05web.jpg
Professor (PhD, Waterloo, 1988)
School of Computer Science
DC 3623
200 University Avenue West
University of Waterloo
Waterloo, Ontario, Canada, N2L 3G1

email: yuying@uwaterloo.ca
phone: 519 888 4567 ext. 7825
fax: 519 885 1208

Research and Publications

Google Scholar Link

Panda (Predictive Advanced Nonlinear Diagnostic Analyzer, Aditya Tayal, Yuying Li, Tom Coleman), ranks the fourth place in the Heritage Health Provider Network Competition.

My current research interest is data mining and computational finance. I am generally interested in algorithm design, analysis, and implementation for scientific computing problems. More specifically, I am interested in:

  • Data mining: supervised, semi-supervised learning, feature selection, ordinal regression, similarity measure
  • Fraud detection, e.g., unsupervised auto insurance fraud detection
  • Computational finance
  • Computational methods for optimization
  • Trust region methods
  • Large scale optimization
  • Image restoration and segmentation

I have a few recent manuscripts available on-line: ( More Publications here )

  • K. Nian, T. F. Coleman ,and Y. Li, ''Learning Minimum Variance Discrete Hedging from Market'', pdf , To appear, Journal of Quantitative Finance, 2017.
  • A. Tayal, T. F. Coleman ,and Y. Li, ''Bounding the Difference Between RankRC and RankSVM and Application to Multi-Level Rare Class Kernel Ranking'', pdf , Data Mining and Knowledge Discovery, To appear, 2017.
  • E. Cheung and Y. Li, ''Self-training with adaptive regularization for S3VM'', pdf, Neural Networks (IJCNN), 2017 International Joint Conference on, 3633-3640.
  • E. Cheung and Y. Li, ''Projection Free Rank Drop Steps'', pdf, IJCAI, 2017
  • K. Nian, H. Zhang.A. Tayal, T. F. Coleman ,and Y. Li, ''Auto insurance fraud detection using unsupervised spectral ranking for anomaly'', pdf ,The Journal of Finance and Data Science 2 (1), 58-75, 2016
  • DM Dang, PA Forsyth, and Y. Li, ''Convergence of the embedded mean-variance optimal points with discrete sampling'', pdf, Numerische Mathematik, 132 (2), 271-302, 2016
  • A. Tayal, T. F. Coleman ,and Y. Li, ''RankRC: Large-scale Nonlinear Rare Class Ranking'', pdf , IEEE Transactions on Knowledge and Data Engineering, Vol 27, December 2015.
  • A. Tayal, T. F. Coleman ,and Y. Li, ''Primal Explicit Max Margin Feature Selection for Nonlinear Support Vector Machines'', pdf, Pattern Recognition 47 (6), 2153-2164, 2014.
  • J. Xi,T. F. Coleman ,and Y. Li, ''A Gradual Non-convexification Method for Minimizing VaR'', pdf. Journal of Risk, vol 26, (3), 23-47,2014.
  • S. Moazeni,T. F. Coleman ,and Y. Li, ''Regularized Optimal Portfolio Optimization, an Optimal Execution Case'', pdf , Journal of Computational Optimization and Application, 55(2), 341-377, 2013.
  • S. T. Tse, P. A. Forsyth, and Y. Li, ''Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization'', pdfpdf. SIAM Journal on Control and Optimization 52 (3), 1527-1536, 2015
  • T. F. Coleman,Y. Li and C. Wang, ''Stable Local Volatility Calibration Using Kernel Splines'', pdf.  Journal of Computational Optimization and Application, 55(3), 675-702, 2013.
  • T. F. Coleman and Y. Li, Optimization & Finance, Encyclopedia of Quantitative Finance, R. Cont (Ed), John Wiley \& Sons Ltd. Chichester, UK. pp. 1322-1327. 2010.
  • S. Moazeni, T. F. Coleman and Y. Li, ''Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters'', pdf . SIAM J. Optimization, 30, 1620-1654, 2010.
  • L. Zhu, T. F. Coleman and Y. Li, ''Min-Max Robust and CVaR Robust Mean-Variance Portfolios'', pdf . Submitted to Journal of Risk, 2007.
  • S. Moazeni, Y. Li, K. Larson, ''Execution Costs in financial markets with several institutional investors'', pdf . Proceedings of the Fourth IASTED International Conference, Financial Engineering and Application , pp 31-37, 2007.
  • T. F. Coleman, Y. Kim, Y. Li and M. Patron, '' Robustly Hedging Variable Annuities with Guarantee Under Jump and Volatility Risks'', pdf . Journal of Risk and Insurance , Vol 74, pp 347-376, June 2007.
  • C. He, T. F. Coleman, and Y. Li, ''Calibrating Volatility Function Bounds for An Uncertain Volatility Model '', pdf. Journal of Computational Finance, 13, 69-93, 2010 2006
  • C. He, T. F. Coleman, and Y. Li, ''Computation and Analysis for a Constrained Entropy Optimization Problem in Finance '', pdf . 2006. Journal of Computational and Applied Mathematics, 222(1), 159-174
  • S. Alexander, T. F. Coleman, and Yuying Li, ''Minimizing VaR and CVaR for a Por tfolio of Derivatives'', pdf. Journal of Banking and Finance, Vol. 30, no. 2, pp. 583-605, 2006.
  • T. F. Coleman, J. Henninger, Y. Li, '' Minimizing Tracking Error While Restricting the Number of Assets'', pdf. Journal of Risk, vol 8, pp. 33-56, 2006.
  • T. F. Coleman, Y. Li and M. Patron, '' Hedging Guarantees in Variable Annuities (Under Both Market and Interest Rate Risks)'', pdf, . Insurance: Mathematics and Economics , vol 38, pp. 215-228, 2006.
  • T.F. Colemanm, Y. Li, and C. Patron ``Total risk minimization'', pdf . Handbook of Financial Engineering. Published by Elsevier, Edited by John R. Birge and Vadim Linetsky, pp. 593-635, 2007.
  • C. He, J. S. Kennedy, T. F. Coleman, P. A. Forsyth, Y. Li and K. Vetzal, pdf . ''Calibration and Hedging under Jump Diffusion'', Review of Derivative Research, vol 9, pp 1-35, 2006.
  • T. F. Coleman, D. Levchenkov and Y. Li, ''Discrete hedging of American-type options using local risk minimization'', pdf. Journal of Banking and Finance, vol 31, pp 3398-3419, 2007.
  • S. Alexander, T. F. Coleman and Y. Li, ''Derivative Portfolio Hedging Based on CVaR'', pdf. New Risk Measures for the 21st Century, edited by G. Szego, pp. 3 39-363, 2004.
  • T. F. Coleman, Y. Li and M. Patron, ''Discrete Hedging under Piecewise Linear Ri sk Minimization'', pdf. Journal of Risk , Vol. 5, pp. 39-65, 2003.
  • K. Boyle, T. F. Coleman and Y. Li, ''Hedging a Portfolio of Derivatives by Modeling Cost'', pdf. IEEE Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), March 21-23, 2003, Hong Kong.
  • T. F. Coleman, Y. Li and A. Verma, ''A Newton Method for American Option Pricing'', pdf. Journal of Computational Finance. Vol. 5, No 3, Spring 2002: 51-78.
  • T. F. Coleman, Y. Li, Y. Kim and A. Verma, ''Dynamic Hedging with a Deterministic Volatility Function Model'', pdf. Journal of Risk , pp. 64-90, Vol. 4, 2001.
  • T. F. Coleman, Y. Li and A. Mariano, ''Segmentation of Pulmonary Nodule Image Using 1-norm Minimization'', pdf . Computational Optimization and Applications , Vol. 19, September 2001, pp. 243-272.
  • T. F. Coleman and Y. Li, ''A Trust Region and Affine Scaling Interior Point Method for Nonconvex Minimization with Linear Inequality Constraints'', pdf, . Mathematical Programming Series A , 88(1), 2000, pp. 1-32.
  • T. F. Coleman, Y. Li and Arun Verma, '' Reconstructing the Unknown Local Volatility Function'', pdf. Journal of Computational Finance, Vol. 2, 1999, pp. 77-102.
  • M. Branch, T. F. Coleman and Y. Li, ''A Subspace, Interior and Conjugate Gradient Method for Large-scale Bound-constrained Minimization Problems'', pdf. SIAM Journal on Scientific Computing, Vol. 21, 1999 pp. 1-21.