- 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
Other Professional Activities
- Book reviewer for Birkhauser, 2012, Chapman & Hall, Fall 2017
- University of Illinois Research Board reviewer, Spring 2013
- University of Missouri Research Board reviewer: Fall 2013, Spring 2014
- External examiner for graduate thesis for The Chinese University of Hong Kong, Spring 2014
- Outside examiner for student Honor project, Knox College, Spring 2016
- 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 (GE 331, Analyt Methods for Uncertainty), Spring 2010
- Quantitative Finance, Stochastic Modeling and Operations Research
- Financial Engineering
Selected Articles in Journals
- Chen, J., L. Feng, J. Peng and Y. Zhang, 2021, Optimal portfolio execution with a Markov chain approximation approach, IMA Journal of Management Mathematics.
- Feng, L., P. Jiang, and Y. Wang, 2020, Constant elasticity of variance models with target zones, Physica A: Statistical Mechanics and its Applications, 537.
- Chen, J., L. Feng and J. Peng, 2015, Optimal deleveraging with nonlinear temporary price impact, European Journal of Operational Research, 244(1), 240-247.
- 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)
- Zhang, Y., H. Pang, L. Feng, and X. Jin, 2014, Quadratic finite element and preconditioning for options pricing in the SVCJ model, Journal of Computational Finance, 17(3), 3-30.
- Feng, L., and X. Lin, 2013, Pricing Bermudan options in Levy process models, SIAM Journal on Financial Mathematics, 4(1), 474-493.
- 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.
- Chen, Z., L. Feng, and X. Lin, 2012, Simulating Levy processes from their characteristic functions and financial applications, ACM Transactions on Modeling and Computer Simulation, 22(3), 14:1-14:26.
- Feng, L., V. Linetsky, J.L. Morales, and J. Nocedal, 2011, On the solution of complementarity problems arising in American options pricing, Optimization Methods and Software, 26(4-5), 813-825.
- Chen, A., L. Feng, and R. Song, 2011, On the monitoring error of the supremum of a normal jump diffusion process, Journal of Applied Probability, 48(4), 1021-1034.
- 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, 2016-2017
- Associate Editor, Mathematical Finance, 2013-2019
Service on Department Committees
- ISE Faculty Search Committee, 2008-2009, 2012-2013, 2018-2019
- ISE Courses and Curriculum Committee, 2006-2012, 2014-present (Chair/Co-Chair: 2014-2017)
- MSFE Committee, Spring 2010-Spring 2013, Fall 2014-present
Service to Federal and State Government
- DOE ARPA-E PERFORM proposal reviewer, Fall 2019, Spring 2020
- Department Head Teaching Award, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2017
- 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, FA17, FA18, FA19
- "Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact" was the first runner-up of the 2012 Morgan Stanley Prize for Excellence in Financial Markets (2012)
- "Optimal portfolio execution with a Markov chain approximation approach" was the 2013 INFORMS Financial Services Section Best Student Research Paper (2013)
Recent Courses Taught
- IE 420 - Financial Engineering
- IE 430 - Economic Found of Quality Syst
- IE 522 - Statistical Methods in Finance
- IE 525 - Stochastics & Numerics in Fin
- IE 598 LF - MSFE Professional Development