Research areas

Mathematical finance, stochastic processes, probability theory.

Biography

Kevin Lu's area of research is in mathematical finance, stochastic processes, probability theory. His current work focuses on derivatives pricing with Lévy-driven Ornstein-Uhlenbeck processes and its applications to energy markets. He has worked on the theory of multivariate subordinated Lévy processes, estimation for Lévy-driven Ornstein-Uhlenbeck processes, and their applications to pairs trading.

Kevin is the Statistics Seminar Co-convenor.

Kevin completed his PhD at the Australian National University. He was previously an Acting Instructor at the University of Washington.

Google Scholar

Teaching

FINM3003/6006 Continuous Time Finance

FINM3007/6007 Advanced Derivatives Pricing and Applications