For More Information
- Ph.D., Industrial Engineering and Management Sciences, Northwestern University, 2006
- M.S., Mathematics, Northwestern University, 2000
- B.S., Mathematics, Beijing Normal University, 1997
- Associate Professor, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2012-present
- Assistant Professor, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2006-2012
Other Professional Employment
- Interim Director, Master of Science in Financial Engineering, University of Illinois at Urbana-Champaign, 2021-present
Other Professional Activities
- External reviewer for faculty candidate, City University of Hong Kong, Spring 2018
- External examiner for student Honor project, Knox College, Spring 2016
- External examiner for graduate thesis for The Chinese University of Hong Kong, Spring 2014
- University of Missouri Research Board reviewer: Fall 2013, Spring 2014
- University of Illinois Research Board reviewer, Spring 2013
- Book reviewer for Birkhauser, 2012, Chapman & Hall, Fall 2017
- Referee for: Operations Research, Management Science, SIAM Journal on Applied Mathematics, Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications, Mathematics of Operations Research, Journal of Economic Dynamics & Control, Journal of Applied Probability, ACM Transactions on Modeling and Computer Simulation, IEEE Transactions on Signal Processing, Quantitative Finance, Annals of Operations Research, Operations Research Letters, Journal of Computational Finance, Journal of Computational and Applied Mathematics, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Futures Markets, Journal of Risk, Journal of Systems Science and Systems Engineering, Journal of Simulation, Proceedings of the Winter Simulation Conference
- IE 598, MSFE Professional Development, Fall 2022
- IE 597 ML, MSFE Practicum Project, Fall 2022
- IE 597, Independent Study, Fall 2022
- IE 522, Statistical Methods in Finance, Fall 2022
- IE 525, Stochastic Calculus and Numerical Models in Finance, Spring 2021
- IE 420, Financial Engineering, Spring 2021
- IE 497, Independent Study, Spring 2020
- IE 430, Economic Found of Quality Syst, Fall 2019
- IE 599, Thesis Research, Spring 2019
- SE 494/495, Senior Engineering Project I/II, Spring 2018
- IE 525, Numerical Methods in Finance, Spring 2016
- IE 526, Stochastic Calculus in Finance, Spring 2015
- IE 300, Analysis of Data (GE 331, Analyt Methods for Uncertainty), Spring 2010
- Computational Methods
- Operations Research
- Stochastic Modeling
- Financial Engineering
- Financial Engineering
Chapters in Books
- Feng, L., P. Kovalov, V. Linetsky and M. Marcozzi, 2008, Variational methods in derivatives pricing, Handbooks in Operations Research and Management Sciences, vol 15, Financial Engineering, J.R. Birge and V. Linetsky, Editors, Elsevier, Amsterdam, 301-342.
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, https://doi.org/10.1093/imaman/dpab025.
- 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, 2011,2022
- 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, FA20, SP21, FA21
- "Optimal portfolio execution with a Markov chain approximation approach" was the 2013 INFORMS Financial Services Section Best Student Research Paper (2013)
- "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)
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