Libo Li

PhD Student
School of Mathematics and Statistics
The University of Sydney
Sydney, 2006, Australia

Office: Carslaw 807
Phone No: 9114 1248
Email: L.Li@maths.usyd.edu.au

Welcome to my personal webpage!

I am currently a PhD student in the School of Mathematics and Statistics at University of Sydney under the supervision of Prof. Marek, Rutkowski.

Biography

I was born and raised in Fuzhou, China and came to Sydney, Australia in 1995. After 3 years in Sydney, I went on and spent most of my teenager years in Singapore before coming back to Sydney in 2004 to attend University of New South Wales, where I completed my undergraduate studies and started my PhD. In 2010, following my supervisor, I came to University of Sydney. I speak fluent Chinese, English and really bad (if not any) Japanese and French.


Research Interest

My research interest is in the area of stochastic processes and their applications in finance. I am currently working on constructions of random times from a given supermartingale and also generic market models for forward swap rates and credit default spreads.


Publication

  1. Li, L. and Rutkowski, M.: Market models of forward CDS spreads. Forthcoming in "Progress in Probability", A. Kohatsu-Higa, N. Privault and S.-J. Sheu, eds., Birkhauser, 2010.
  2. Gapeev, P.V., Jeanblanc, M., Li, L. and Rutkowski, M.: Constructing random times with given survival processes and applications to valuation of credit derivatives . "Contemporary Quantitative Finance", C. Chiarella and A. Novikov, eds., Springer-Verlag, 2010.

Working Papers

  1. Li, L. and Rutkowski, M.: Constructing random times through multiplicative systems . submitted to Stochastic Processes and Their Applications.
  2. Li, L. and Rutkowski, M.: Admissibility of generic market models of forward swap rates, submitted to Mathematical Finance.
  3. Jeanblanc, M. and Li, L.: Stability of Random times under Min and Max . Working Paper.
  4. Li, L. and Rutkowski, M.: Progessive enlargements of filtration and semimartingale decompositions, Working Papaer.