Welcome to my homepage!
Left: Zaloong; Right: Xize
Hello there! My name is Xize Ye, a PhD candidate at Western University under the supervision of Prof. Marcos Escobar-Anel and Prof. Lars Stentoft. Our research focuses on the development of a novel class of Generalized Autoregressive Conditionally Stochastic Heteroskedasticity (GARCSH) models with applications in financial derivative pricing. You can download my most recent CV here.
I believe in the power of lifelong learning and exploration, and aim to make meaningful contributions both in my research and within my department. As a passionate educator, I strive to foster active, student-centered learning environments in mathematics, statistics and finance. Through ongoing participation in workshops and training programs, I continuously work to enhance my skills in teaching, communication, and conflict resolution.
Research interests
- Mathematical finance
- Derivative pricing
- Stochastic volatility
- GARCH
Here for the list of my publications and conference attendance.
News
November 13, 2024
After 3 years of participation in the University Teaching training program, I am glad to share that I officially graduated and obtained my Western Certificate in University Teaching and Learning:relaxed:! This is a very special moment because I have learned and grown so much in many directions, including curriculum design, effective means of delivery, active learning strategies, communication skills, conflict resolution, and diversity and inclusion. Special thanks to the instructors and staffs at the Center for Teaching and Learning (CTL) at Western University. Your collective effort elevated the whole experience :two_hearts:!
October 14, 2024
Keep learning, keep going ~ 🎉. Just received the edX verified certificate for the Stanford Online course in Relational Databases and SQL! Very helpful course with a detailed curriculum and practice tools, would definitely recommend! Another similar course is the SQL for Data Science by UC Davis. Wishing everybody good luck on the journey of self improvement!📈
September 12, 2024
I am happy to announce that our research project, supervised by Prof. Marcos Escobar-Anel and Prof. Lars Stentoft is finally published by Finance Research Letters 😀. This paper explores which volatility index (VIX) maturity to use in affine GARCH model estimation. To rank models’ forecasting performance, we utilize a novel modification, namely the model confidence class (MCC) upon the traditional and widely applied model confidence set (MCS) approach that will rank models in statistically comparably performing classes (tiers). In addition to the best-performing models, this procedure will also split the inferior models apart. With the help of MCC, our results show that 1-month VIX is an overall favourite 😁 and 1-year VIX (VIX1Y) is the least desirable to use 😭. This paper is now open access.
July 02, 2024
I passed the Financial Risk Manager (FRM) Exam Part I with top quartiles (1111) in all 4 subjects 😁. Topics in Part I give a holistic view of enterprise risk management and are beneficial to everyone working at finance firms. ~ One step further to the FRM designation ~.
June 21, 2024
I am deeply honored to receive the 2023 - 2024 Faculty of Science Graduate Student Teaching Award 😊.
March 13, 2024
Completed Teaching Mentor Program. ~ Keep sharpening lecturing and public speaking skills ~.
January 04, 2024
Completed Advanced Teaching Program. By discussing up-to-date research on university teaching with peers, I learned and practiced student-centered learning pricinples with active learning strategies. It was worth the time. [Certificate]
October 25, 2023
Happy to announce that I joined the Graduate Affairs Committee as a graduate student representative.
Education
- PhD candidate in Statistics, Financial Modelling, Western University, London, ON, Canada. 2021 - 2025 (expected).
- Graduate Affairs Committee (GAC) student representative
- Society of Graduate Students (SOGS) department councillor
- 2023 - 2024 Faculty of Science Graduate Student Teaching Award
- MSc in Statistics, Financial Modelling, Western University, London, ON, Canada. 2019 - 2021.
- BMath in Mathematical Finance, Pure Mathematics Minor, University of Waterloo, Waterloo, ON, Canada. 2015 - 2019.
- Graduated with distinction
- Faculty of Mathematics Entrance Scholarship
- University of Waterloo President’s Scholarship
Contact
Xize Ye, PhD candidate in Statistics
Department of Statistical and Actuarial Sciences
Western University, London, Ontario, Canada
Email: xye46 at uwo dot ca.
Webpage last updated: November 15, 2024