Academic Profile : Faculty
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Assoc Prof Chi Seng Pun （潘志成）
Assistant Chair (MSc Programmes), School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Associate Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
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Patrick Pun is currently a tenured Associate Professor, Assistant Chair (MSc Programmes), 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, QEP, DSAIR, and NTU, to further his research work alongside his tertiary teaching responsibilities.
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, QEP, DSAIR, and NTU, to further his research work alongside his tertiary teaching responsibilities.
Stochastic Controls with Robustness and/or Time Inconsistency
Statistical Finance / AI in Finance: Sparse Learning and Deep Learning
Machine Learning and Reinforcement Learning with Financial Applications
Theory of Differential Equations: PDE Asymptotics, HJB, BSDE, Nonlocal PDE, BSVIE
Statistical Finance / AI in Finance: Sparse Learning and Deep Learning
Machine Learning and Reinforcement Learning with Financial Applications
Theory of Differential Equations: PDE Asymptotics, HJB, BSDE, Nonlocal PDE, BSVIE
- Artificial Intelligence for Quantitative Trading
- Computer science approaches to quantum computing for finance
- New Directions in Constrained Sparse Learning Problems: Theory and Applications
- Virality Modelling and Analysis of Firm-specific Information on Social Media
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
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
MH4518 - Simulation Techniques in Finance (AY22/23 - Present Sem 1)
MH6805 - Machine Learning in Finance (AY20/21 - Present Tri 1)
MH6831 - Quantitative Methods in Finance (AY19/20 - Present Tri 2)
FE6801 - Calculus & Linear Algebra (AY19/20 - Present Tri 1)
FF6126 - Machine Learning in Finance (AY20/21 - Present Tri 3)
SC6122 - Emerging Topics in FinTech (AY23/24 - Present Tri 3)
MH4501 - Multivariate Analysis (AY16/17 - AY22/23 Sem 2 | No longer taught)
MH4510 - Statistical Learning and Data Mining (AY16/17-AY19/20 Sem 1 | No longer taught)
FF6125 - FinTech (AY20/21 Tri 4 | No longer taught)
MH6805 - Machine Learning in Finance (AY20/21 - Present Tri 1)
MH6831 - Quantitative Methods in Finance (AY19/20 - Present Tri 2)
FE6801 - Calculus & Linear Algebra (AY19/20 - Present Tri 1)
FF6126 - Machine Learning in Finance (AY20/21 - Present Tri 3)
SC6122 - Emerging Topics in FinTech (AY23/24 - Present Tri 3)
MH4501 - Multivariate Analysis (AY16/17 - AY22/23 Sem 2 | No longer taught)
MH4510 - Statistical Learning and Data Mining (AY16/17-AY19/20 Sem 1 | No longer taught)
FF6125 - FinTech (AY20/21 Tri 4 | No longer taught)
Supervision of PhD Students
CHEN Yichao (2021) - Non-stationary Functional Time Series and Functional Machine Learning: Inference and Applications
LEI Qian (2022) - Parabolic Systems and Stochastic Controls: Nonlocality, Nonlinearity, and Time Inconsistency
YE Zi (2022) - Dynamically Optimal Portfolio Selection with Frictions and Portfolio Constraints
Nixie Sapphira LESMANA (2024) - Time Inconsistency in Reinforcement Learning: An Equilibrium Control
LEI Qian (2022) - Parabolic Systems and Stochastic Controls: Nonlocality, Nonlinearity, and Time Inconsistency
YE Zi (2022) - Dynamically Optimal Portfolio Selection with Frictions and Portfolio Constraints
Nixie Sapphira LESMANA (2024) - Time Inconsistency in Reinforcement Learning: An Equilibrium Control