Quantitative Research | Applied Mathematics | Scientific Computing

I bridge the gap between complex stochastic theories and high-performance numerical implementations. I work at the intersection of stochastic modeling, numerical methods, and scientific computing, with a focus on translating mathematical ideas into practical computational systems.

• Numerical Optimization & Deep Equilibrium Models: Developed high-precision numerical solvers for Cascaded Monotone Equilibrium Networks (MonDEQs) using PyTorch (Double Precision).

  • Investigated inexact splitting schemes achieving substantial computational acceleration while preserving global stability properties.
  • Studied latency effects in sequential fixed-point solvers and proposed mechanisms enabling real-time Anytime Convergence behavior.
  • Achieved numerical precision up to $10^{-14}$ in coupled monotone inclusion systems.
  • Related theoretical results were accepted as an oral presentation at MTNS 2026, hosted by the University of Waterloo.

• Continuous-Time Dynamics Modeling (Denison Research): Designed deterministic continuous-time dynamical systems for modeling population flux and state transitions in longitudinal biological data.

  • Solved high-dimensional linear ODE systems via Matrix Exponentials, ensuring exact probability mass conservation for irregularly sampled observations.
  • Developed custom Maximum Likelihood Estimation (MLE) pipelines with AIC/BIC-based model selection for sparse transition systems.
  • Incorporated observational uncertainty through Mixture Likelihood formulations with latent probabilistic states.
  • Extended the framework to non-autonomous systems $\mathbf{Q}(t)$ using RK45 numerical integration for time-dependent covariate simulations and counterfactual analysis.

• Quantitative Portfolio Construction & Risk Management: Developed modular quantitative finance tools for strategic asset allocation, portfolio optimization, and stress testing.

  • Implemented constrained Mean-Variance Optimisation frameworks using Sequential Least Squares Programming (SLSQP).
  • Studied optimizer fragility under stressed and economically inconsistent correlation structures.
  • Constructed numerical repair procedures for non-Positive Semi-Definite (non-PSD) covariance matrices via Eigenvalue Decomposition, clipping, and PSD projection.
  • Evaluated portfolio performance under both Sharpe Ratio objectives and Exponential Utility formulations under CARA preferences.

• Asymptotic-Guided Deep BSDEs for Non-Semimartingale Optimal Control (SSRN, under review at Journal of Computational Finance) Research on deep BSDE methods and rough volatility models for high-dimensional stochastic control problems. [SSRN]

• Breakdown of Adiabatic Scaling and Noise-Induced Functional Synchronization in Deeply Quiescent Excitable Systems (arXiv, under review at Chaos) Investigates coherence resonance, multiplicative noise, and stochastic synchronization in excitable nonlinear systems. [arXiv]

• Noise-accelerated Kramers Escape and Coherence Resonance in a 5D Neural Manifold (arXiv, under review at Physical Review E) Studies noise-driven transitions, bifurcation structures, and stochastic escape dynamics in high-dimensional neural oscillators. [arXiv]

• MTNS 2026 (Oral Presentation) Extended abstract accepted at the International Symposium on Mathematical Theory of Networks and Systems, hosted by the University of Waterloo, Canada.

• Quantitative Trading Intern — XY Investments (Shanghai) Working on quantitative trading and systematic research workflows within a multi-strategy investment environment, with interests in stochastic modeling and market microstructure.

• Mathematics: Stochastic Analysis, Dynamical Systems, Nonlinear Dynamics, Scientific Computing, Quantitative Modeling.
• Programming: Python (PyTorch, NumPy, SciPy, Pandas, JAX, Numba), R, MATLAB, SQL.
• Tools & Workflow: Linux, GitLab, LaTeX, XPPAUT.

• Mandarin & Gan: Native proficiency.
• English: Professional working proficiency (C1~C2).
• German: Elementary proficiency (A2, currently learning).

• Bachelor of Science in Mathematics, Financial Mathematics & Statistics.
• Focus: Stochastic & Nonlinear Dynamics.
• Honors: Recipient of competitive research scholarships (Denison Research Scholar, Vacation Research internship) and academic achievement awards.

Outside research, I spend a significant amount of time exploring music, remote travel, and strategy games. I play electric guitar and enjoy experimenting with effects pedals, especially within Shoegaze, Post Rock, Space Rock, and Psychedelic Rock. I also collect rare first-press vinyl records and CDs.

I frequently travel alone through remote regions and long-distance overland routes. My journeys have included traveling across New Zealand from Cape Reinga to Bluff entirely by bus, exploring the Australian Outback, navigating the winter landscapes of East Hokkaido, and reaching the northernmost parts of the Scottish Highlands.

I also enjoy Go (Weiqi), traditional Chinese poetry, and philosophy, particularly Daoist thought and strategic thinking in complex systems.

Reach me at: [wuyefan718@gmail.com]