Mike Liang
mlian031 [at] uottawa [dot] ca
I'm Mike! I'm a student at the University of Ottawa. I work on computational finance, statistics/optimization, and machine learning methods for time series analysis.
Recently, I've worked on generalizing importance sampling methods to improve variance reduction in pricing options under the Merton jump-diffusion model @ uOttawa.
I'm interested in building cool software and I'm always eager to discuss interesting and challenging problems in these areas—please reach out!
Research
My research interests are in optimal stochastic control problems and computational finance. Currently, the field I'm working to produce results in is variance reduction techniques for pricing path-dependent options where the payoff is complex under the jump diffusion model.
Talks + Seminars
Generalized Importance Sampling - Undergraduate Research Seminar @ uOttawa June 19th 2025
Monte Carlo simulation is an essential tool for pricing complex financial products, but often suffers from high variance, especially for rare events. This talk will introduce importance sampling, a technique that reweighs the sampling distribution to focus computational effort on scenarios that contribute most to the final estimate. We explore how adjusting sampling parameters can lead to more efficient and accurate results. As a proof of concept, we consider the European-style option valuation problem.
Publications
I'm still working on this, but stay tuned!
Education
University of Ottawa, Joint Honours B.Sc. Mathematics and Economics
Undergraduate Research Scholarship Recipient, 1x USRO program researcher, Deans Honour List (Fall 2024, Winter 2025), Admission Scholarship (97% admission average)
Relevant Coursework: Probability Theory, Statistics, Multivariable Calculus, Linear Algebra, Ordinary Differential Equations, Real Analysis
A.Y. Jackson Secondary School, Toronto ON
Excellence Award in Mathematics Recipient, Ontario Scholar, Coding Club President 2x, Lecturer 1x, Swim Team OFSAA Finalist T20. Dual credit enrollment @ Seneca College: Aeronautics I (AER121), Grade: 99%
AP Macroeconomics (5), AP Computer Science (4)