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
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), 474C493.
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, 2016-2017
Associate Editor, Mathematical Finance, 2013-2018
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
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