Ph.D. in Mathematics, Fudan University, 2000
Nov 2014 to present Director and Principal Investigator, Risk Management & Quantitative Finance Centre, NUS Suzhou Research Institute
Jul 2004 to present Professor (since Jul 2013), Associate Professor (Jan 2010-Jun 2013), and Assistant Professor (Jul 2004-Dec 2009) Department of Mathematics, National University of Singapore
Jun 2002 to Jun 2007 Associate Professor (Sep 2003-Jun 2007) and Lecturer (Jun 2002-Aug 2003), Department of Financial Mathematics, Peking University
Associate Editor (Jan 2010- ), Journal of Economic Dynamics and Control; Associate Editor (May 2012- ), Asia-Pacific Journal of Operational Research
1. Mathematical Finance and Economics
2. Stochastic Control, Applied and Numerical PDEs
1. M. Dai, H. Liu, C. Yang, Y. Zhong, Optimal tax time with asymmetric long-term/short-term capital gain tax, Review of Financial Studies, to appear
2. M. Dai, P.F. Li, H. Liu, and Y. Wang Portfolio choice with market closure and implications for liquidity premia, Management Science, to appear
3. X. Chen and M. Dai, Characterization of optimal strategy for multiasset investment and consumption with transaction costs, SIAM Journal on Financial Mathematics,(2013), 4(1), 857-883.
4. N. Chen, M. Dai and X.W. Wan, A non-zero-sum game approach to convertible bonds: tax beneﬁt, bankruptcy cost and early/late calls, Mathematical Finance, (2013), 23(1), 57-93.
5. M. Dai, Z. Yang and Y.F. Zhong, Optimal stock selling based on the global maximum, SIAM Journal on Control and Optimization, (2012), 50, 1804-1822.
6. M. Dai, H.F. Wang and Z. Yang, Leverage management in a bull-bear switching market, Journal of Economic Dynamics and Control, (2012), 1585-1599.
7. M. Dai and Y.F. Zhong, Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance, (2012), 22(1):165–184.
8. B. Bian, M. Dai, L. Jiang, J. Zhang and Y.F. Zhong, Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications, (2011), 151(2):402-417.
9. M. Dai and Z.Q. Xu, Optimal redeeming strategy of stock loans with ﬁnite maturity, Mathematical Finance, (2011), 21(4):775-793
10. M. Dai, H.Q. Jin and H. Liu, Illiquidity, position limits, and optimal investment for mutual funds, Journal of Economic Theory, (2011),146:1598–1630
11. M. Dai, Y.F. Zhong and Y.K. Kwok, Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market, (2011), 31(4):394-406
12. M. Dai, Q. Zhang and Q. Zhu, Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, (2010),1:780-810
13. M. Dai and Y.F. Zhong, Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, (2010), 13(3):1-31
14. M. Dai, Z.Q. Xu and X.Y. Zhou, Continuous-time mean-variance portfolio selection with proportional transaction costs, SIAM Journal on Financial Mathematics, (2010), 1(1):96-125
15. M. Dai, P.F. Li and J.E. Zhang, A lattice pricing algorithm for moving-average barrier options, Journal of Economic Dynamics and Control, (2010), 34(3):542-554
16. M. Dai, L. Jiang, P.F. Li and F.H. Yi, Finite horizon optimal investment and consumption with transaction costs, SIAM Journal on Control and Optimization, (2009), 48(2):1134-1154
17. M. Dai and F.H. Yi, Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem, Journal of Differential Equations, (2009), 246:1445-1469
18. M. Dai, Y.K. Kwok and J. Zong, Guaranteed minimum withdrawal beneﬁt in variable annuities, Mathematical Finance (2008), 18(4):595-611