Academic Profile : Faculty

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Assoc Prof Pun Chi Seng
Associate Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Programme Director, MSc in Financial Technology (FinTech) Programme, School of Physical and Mathematical Sciences (SPMS)
 
External Links
 
Patrick Pun is currently a tenured Associate Professor and the Programme Director of Master of Science in Financial Technology (MSc in FinTech) at School of Physical and Mathematics Sciences, Nanyang Technological University, Singapore. In 2018, Patrick founded the MSc in FinTech programme to cultivate the FinTech talents. The programme has been well-received in Asia.

Prior to NTU, Patrick obtained his Ph.D. in Statistics at the Chinese University of Hong Kong (CUHK) in 2016. His Ph.D. thesis on “Robust Stochastic Control and High-Dimensional Statistics with Applications in Finance” won numerous awards, including Nicola Bruti Liberati Prize 2016 (Best Ph.D. Thesis in Quantitative Finance, worldwide) and the Young Scholars Thesis Award 2016 (Best Ph.D. Thesis from Faculty of Science, CUHK). His research paper on high-dimensional portfolio selection won Best Student Research Paper (First Place) in INFORMS Financial Section in 2015. Patrick also won Best Teaching Assistant Award in 2014. Patrick obtained his M.Phil. in Risk Management Science from CUHK in 2013 and obtained his B.Sc. in Statistics, from Nankai University in 2011. He also passed the Financial Risk Manager (FRM) qualification examinations in 2012.

Patrick has strong research interests in Financial / Actuarial Mathematics, Big Data Analytics, and AI applications in Finance, as evidenced by his numerous top-tier publications in these fields. He has received several distinguished grants, namely from MOE, NRF, DSAIR, and NTU, to further his research work alongside his tertiary teaching responsibilities.
Financial Mathematics: Robust Stochastic/Impulse Controls, Time-Inconsistency, Systemic Risk Measures, Perturbation Methods, ​Derivatives Pricing

Big Data Analytics, esp. in Finance: High-Dimensional Statistics, Functional Time Series Analysis, (Statistical, Deep, Sparse) Learning, Topological Data Mining

Financial Technology (FinTech): AI+Finance
 
  • Computer science approaches to quantum computing for finance
  • New Directions in Constrained Sparse Learning Problems: Theory and Applications
  • Portfolio Selection With Advanced Statistical Techniques
  • Topology-Based Featurization for Machine Learning Models in Materials Informatics
Awards
2017 - Nicola Bruti Liberati Prize 2016, recognized by Bachelier Finance Society and Politecnico di Milano
2017 - CUHK Young Scholars Thesis Award 2016, recognized by Graduate School and Faculty of Science, CUHK
2015 - Best Student Research Paper (First Prize), recognized by INFORMS Financial Section
2014 - Best Teaching Assistant Award, recognized by Department of Statistics, CUHK
 
Courses Taught
MH4501 - Multivariate Analysis (AY16/17 - Present Sem 2)
MH4510 - Statistical Learning and Data Mining (AY16/17-AY19/20 Sem 1 | No longer taught)
MH4518 - Simulation Techniques in Finance (AY22/23 - Present Sem 1)
MH6811 - Machine Learning in Finance (AY20/21 - Present Tri 1)
MH8804 - Quantitative Methods in Finance (AY19/20 - Present Tri 2)
FE8506 - Calculus & Linear Algebra (AY19/20 - Present Tri 1)
FF6125 - FinTech (AY20/21 Tri 4 | No longer taught)
FF6126 - Machine Learning in Finance (AY20/21 - Present Tri 3)
Supervision of PhD Students
CHEN Yichao (2021) - Non-stationary Functional Time Series and Functional Machine Learning: Inference and Applications
YE Zi (2022) - Dynamically Optimal Portfolio Selection with Frictions and Portfolio Constraints
LEI Qian (2022) - Parabolic Systems and Stochastic Controls: Nonlocality, Nonlinearity, and Time Inconsistency