Two student teams from Illinois participated in the 2015 CME Group Trading Challenge,
- Ph.D., Industrial Engineering and Management Sciences, Northwestern University, 2006
- M.S., Mathematics, Northwestern University, 2000
- B.S., Mathematics, Beijing Normal University, 1997
- Assistant Professor, University of Illinois at Urbana-Champaign, Department of Industrial and Enterprise Systems Engineering, 2006-2012
- Associate Professor, University of Illinois at Urbana-Champaign, Department of Industrial and Enterprise Systems Engineering, 2012-present
- IE 526, Stochastic Calculus in Finance, Spring 2012
- IE 522, Statistical Methods in Finance, Fall 2011
- IE 420, Financial Engineering, Fall 2010
- IE 300, Analysis of Data, Spring 2010
- Quantitative Finance, Stochastic Modeling and Operations Research
Selected Articles in Journals
- Chen, J., L. Feng, J. Peng, and Y. Ye, 2014, Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact, Operations Research, 62(1), 195-206. (Jingnan Chen won the first runner-up of the 2012 Morgan Stanley Prize for Excellence in Financial Markets)
- Feng, L., and X. Lin, 2013, Pricing Bermudan options in Levy process models, SIAM Journal on Financial Mathematics, 4(1), 474¨C493.
- Robinson, D., L. Feng, J. Nocedal, and J.-S. Pang, 2013, Subspace accelerated matrix splitting algorithms for symmetric and asymmetric linear complementarity problems, SIAM Journal on Optimization, 23(3), 1371-1397.
- Feng, L., and X. Lin, 2013, Inverting analytic characteristic functions and financial applications, SIAM Journal on Financial Mathematics, 4(1), 372-398.
- Feng, L., and V. Linetsky, 2009, Computing exponential moments of the discrete maximum of a Levy process and lookback options, Finance and Stochastics,13(4), 501-529.
- Feng, L., and V. Linetsky, 2008, Pricing discretely monitored barrier options and defaultable bonds in Levy process models: a fast Hilbert transform approach, Mathematical Finance, 18(3), 337-384
- Feng, L., and V. Linetsky, 2008, Pricing options in jump diffusion models: an extrapolation approach, Operations Research, 56(2), 304-325
- Editorial Board, World Scientific Book Series: Modern Trends in Financial Engineering, 2016-present
- Associate Editor, Operations Research Letters, 2016-present
- Associate Editor, Mathematical Finance, 2013-present
- Sharp Outstanding Teaching Award in Industrial Engineering, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2011
- On the list of teachers ranked as excellent by their students, University of Illinois at Urbana-Champaign, FA07, SP09, SP11, FA11, SP12, FA12, SP13, SP15, FA15, SP16, FA16
- IE 420 - Financial Engineering
- IE 522 - Statistical Methods in Finance
- IE 525 - Numerical Methods in Finance
- IE 526 - Stochastic Calculus in Finance