PhD candidate Yunhong Lyu won the Probability Section Student Research Presentation Award at the 2023 Statistical Society of Canada annual meeting, held in Ottawa from May 28 to 31. The award is given to the student who made the best presentation with substantial novelties in probability and stochastic processes.

“This award is evaluated by presentation and theory of your work, so winning validates my work on this topic,” says Lyu.

The mathematics and statistics graduate student presented her findings on probabilistic aspects of improving a mathematical model that is used to model some interest rate movements.

“The classical Cox-Ingersoll-Ross (CIR) model is not suitable for fitting the financial data with long-term periodic behaviour, such as historical corn price, or spot gold price. Indeed, this classical model is set up for data with a constant long-term trend,” Lyu says.

“Our new model generalizes the classical CIR model, fits the data better, and gives good prediction for future values. Our model can be used in several areas where the classical CIR has been applied, as in finance and economics.”

Lyu’s supervisor, math and stats professor Sévérien Nkurunziza, says he is “very proud” of his student.

“I would like to highlight the fact that, this is the second time within the last three years a student from the University of Windsor mathematics and statistics department wins such a distinguished award for a PhD candidate,” says Dr. Nkurunziza.

Nkurunziza adds that a couple of years ago, such awards seemed to be reserved to big Canadian universities.

“The fact that, every two out of three years, we have a winner, gives a strong indication of a very high performance of our mathematics and statistics department. Once again, I would like to congratulate Yunhong Lyu for this great job.”

The award carries with it a cash prize of $750.