Jimin Lin

About

Welcome to my homepage. My name is Jimin Lin.

I am a PhD Candidate in the Department of Statistics and Applied Probability at University of California, Santa Barbara, supervised by Prof. Jean-Pierre Fouque and Prof. Nils Detering. I am a Bloomberg Quantitative Finance PhD Fellow for the 2022-2023 academic year as well. Prior to my PhD Program, I held an MS in Computational Finance and Risk Management from University of Washington and a BS in Finance from Southwestern University of Finance and Economics.

My primary research interests are mathematical finance, applied probability, and artificial intelligence. Recently, I have been working on reinforcement learning, mean field control game, and random graph. Besides academics, I am active in industry practice. More details can be found in my Curriculum Vitae.

Research

Recent Topics

Reinforcement Learning Algorithm for Mixed Mean Field Control Games

Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game

Percolation in Random Graphs of Unbounded Rank

Publications

Reinforcement Learning Algorithm for Mixed Mean Field Control Games. A. Angiuli, N. Detering, J.-P. Fouque, M. Laurière and J. Lin. Journal of Machine Learning. 2023
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game. A. Angiuli, N. Detering, J.-P. Fouque, M. Laurière and J. Lin. ICAIF22 Best Paper Award. 2022
Percolation in Random Graphs of Unbounded Rank. N. Detering and J. Lin. arXiv:2205.14782. 2022
On Carr and Lee’s Correlation Immunization Strategy. J. Lin and M. Lorig. Applied Mathematical Finance. 2019
The Quadrant Probabilities of Paired Financial Time Series. J. Lin. SSRN:3185813. 2018

Activity

Talks

SIAM Conference on Financial Mathematics and Engineering (FM23). June 2023. Philadelphia, PA.
3rd ACM International Conference on AI in Finance (ICAIF22). Nov 2022. New York, NY.
2022 INFORMS Annual Meeting. Oct 2022. Indianapolis, IN.
2022 CFMAR Workshop. Sept 2022. Santa Barbara, CA.
IMSI Workshop Flash Talk. Dec 2021. Chicago, IL.
CFMAR Seminar. Sept 2021. Santa Barbara, CA.

Visits

Cyberinfrastructure-Enabled Machine Learning Summer Institute. Summer 2022. University of California, San Diego. San Diego, CA.
IMSI Long Program in Distributed Solutions to Complex Societal Problems. Fall 2021. University of Chicago. Chicago, IL.
Erasmus Program in Business Engineering. Spring 2017. University of Liège. Liège, Belgium.

Teaching

(UCSB TA/Reader)

PSTAT 199: Undergraduate Level Independent Studies in Statistics. Fall 2022
PSTAT 223A: Graduate Level Stochastic Calculus. Fall 2021
PSTAT 213A: Graduate Level Probability Theory and Stochastic Process. Fall 2021
MATH CS 121: Undergraduate Level Probability. Fall 2021
PSTAT 160B: Undergraduate Level Stochastic Process. Winter, Spring 2021
PSTAT 174/274: Graduate Level Time Series Analysis. Fall 2020
PSTAT 130: SAS Base Program. Summer 2020
PSTAT 131/231: Graduate Level Statistical Machine Learning. Spring 2020
PSTAT 120C: Undergraduate Level Probability and Statistics. Spring 2020
PSTAT 127: Undergraduate Level Advanced Statistical Models. Winter 2020
PSTAT 126: Undergraduate Level Regression Analysis. Winter 2020