H. Y. (Ian) Ip

I am a Physics PhD student at Nanyang Technological University, working on stochastic modelling, opinion dynamics and computational methods. My work spans derivatives pricing, empirical market behaviour and the measurement of political opinions.

I also build things to explore questions that catch my attention—from distributed topology algorithms to a squat-controlled game and a simulation of barbecue sausages.

A living notebook of research, working prototypes and things I wanted to try.

Selected Work

Vanilla and Barrier Options in the Heston Model

stochastic volatilityPDE methodsmanuscript under review

A positive-kernel iteration for pricing vanilla, down-and-out and double-knockout calls under Heston stochastic volatility. The method combines Wei–Norman factorization with a closed-form zeroth order and an internal error estimate. I validated prices and Greeks against converged Monte Carlo and QuantLib, and investigated a published benchmark grid where transform and finite-difference values disagree. Solo-author manuscript under review at Quantitative Finance.

Retail Investor Herding and Attention Dynamics

empirical marketstime seriesself-initiated research

Does online retail attention lead prices, or follow them? In seven years of data across 15 stocks, asymmetric cross-correlation showed comment activity mainly following price shocks, with a 60–90 minute half-life. A next-day resurgence in GME and AMC episodes suggested a possible herding-regime indicator.

Mapping Voters and Parties into a Shared Policy Space

doctoral researchopinion dynamicsNLP

I combine LLM paraphrasing of European Social Survey statements with ManifestoBERTa to map survey responses and party manifestos into the same policy space. This measurement layer provides empirical inputs for opinion-dynamics models and counterfactual simulations, connecting observed political positions to models of how opinions change.

Stochastic Models of Default Risk and Climate Transition Exposure

HKIMR working paperstochastic modelsclimate risk

Developed during my visiting scholarship at HKIMR: an interacting stochastic model of firms’ leverage and sector-level default risk, calibrated to daily Bloomberg data. Deriving analytic gradients and Hessians accelerated maximum-likelihood calibration by roughly 100 times and removed spurious spikes in rolling estimates.

Read the working paper →

Distributed Betti Number Computation

Rust / C++Rayon / MPIalgebraic topology

A distributed engine for computing Betti numbers on large networks, combining METIS partitioning, PHAT-style bit-tree reduction and Mayer–Vietoris merging. The implementation scales to complexes with approximately 100 billion simplices. Code available upon request.

Background: Mayer–Vietoris approach →

Other Things I’ve Built and Tried

Jump King × Squat Controller

C#pose trackingworking prototype

A working prototype that maps real-time body pose to Jump King controls, using squats to control jump mechanics. An experiment in whether a game built around precise button timing can be played through whole-body movement.

Hong Kong BBQ, Simulated

CFDOpenFOAMvisualization

What happens inside a sausage over a Hong Kong-style barbecue? These OpenFOAM experiments model heat convection and conduction, with attempts to incorporate rotation. A small everyday question that turned into a computationally expensive simulation.

Median Map — Where Should We Meet?

SvelteKitFastAPIgraph algorithms

A meeting-point finder for Hong Kong that minimizes median travel time across participants. It combines a transit graph of roughly 15,000 bus and MTR stops with driving-time estimates, then suggests restaurants near the chosen location.

Open Median Map →

CUHK Rock-Paper-Scissors Competition 2018

tournament designevent organization

A conversation about the standard of student events turned into a university-wide rock-paper-scissors competition with 150 participants. As Director, I designed the tournament format and formal rules, coordinated university-wide promotion, and managed logistics and budgeting. The rules were endorsed by the World Rock Paper Scissors Association; Nintendo Switch and PS4 Pro consoles were the prizes.

Papers and Manuscripts

manuscript

Ip, H. Y. (2026). A positive-kernel iteration for vanilla and barrier options in the Heston model. Quantitative Finance, under review.

working paper

Ip, H. Y., Lo, C. F., & Hui, C. H. (2025). Stochastic Cooperation Model for Measuring Firms’ Default Probabilities: An Application to Climate Transition Risk. Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper, No. 02/2025.

journal

Hui, C. H., Lo, C. F., & Ip, H. Y. (2022). Modelling asymmetric unemployment dynamics: The logarithmic-harmonic potential approach. Entropy, 24(3), 400.

journal

Lo, C. F., & Ip, H. Y. (2021). Modified leaky competing accumulator model of decision making with multiple alternatives: the Lie-algebraic approach. Scientific Reports, 11(1), 10923.

Elsewhere

Publicity Chair for the Asia-Pacific Summer School and Conference on Networks and Complex Systems 2026.

GitHub · LinkedIn