研究方向
主要研究興趣為金融工程，金融科技，金融計(jì)量經(jīng)濟(jì)學(xué)，以及相關(guān)應(yīng)用。
人物經(jīng)歷
教育背景
香港中文大學(xué)系統(tǒng)工程與工程管理學(xué)系，金融工程專業(yè)，哲學(xué)博士
中國科學(xué)技術(shù)大學(xué)統(tǒng)計(jì)與金融系，概率論與數(shù)理統(tǒng)計(jì)專業(yè)，理學(xué)碩士
中國科學(xué)技術(shù)大學(xué)統(tǒng)計(jì)與金融系，概率論與數(shù)理統(tǒng)計(jì)專業(yè)，理學(xué)學(xué)士
職業(yè)經(jīng)歷
2018年12月至今，中山大學(xué)嶺南(大學(xué))學(xué)院，院長助理
2018年4月至今，中山大學(xué)嶺南(大學(xué))學(xué)院金融系，副教授
2014年7月至2018年4月，中山大學(xué)嶺南(大學(xué))學(xué)院金融系，助理教授
2013年11月至2014年1月，香港中文大學(xué)系統(tǒng)工程與工程管理學(xué)系，博士后
2013年2月至2013年7月，香港中文大學(xué)系統(tǒng)工程與工程管理學(xué)系，博士后
學(xué)術(shù)成果
發(fā)表論文
《基金競爭與泡沫資產(chǎn)配置的同群效應(yīng)研究》,（與 劉京軍，熊和平合作），《管理科學(xué)學(xué)報(bào)》，2018年第2期。
American Option Sensitivities Estimationvia a Generalized Infinitesimal Perturbation Analysis Approach,
with Nan Chen,Operations Research,62 (3), 616-632. (2014)(UTD24, FT50)
On the Variance of Single-Run Unbiased Stochastic Derivative Estimators,
with Zhenyu Cui, Michael Fu, Jianqiang Hu, Yijie Peng and Lingjiong Zhu,INFORMS Journal on Computing,forthcoming. (2019)(UTD24)
Robust Upper Bounds for American Put Options,
with Ye Du and Shan Xue,Journal of Futures Markets,39 (1), 3-14.(2019)(Lead Article)
Dynamic Risk-Sharing Game and Reinsurance Contract Design,
with Shumin Chen and Chengguo Weng,Insurance: Mathematics and Economics, 86, 216-231. (2019)
Vertical Merger, R&D Collaboration, and Innovation,
with Kaiguo Zhou and Runyu Yan,European Journal of Finance, 25 (14), 1289-1308. (2019)
Risk Measures for Variable Annuities: a Hermite Series Expansion Approach,
with Zhenyu Cui, Jinhyoung Kim and Guanghua Lian,Journal of Management Science and Engineering, forthcoming. (2019)
Optimal Procurement Strategies for Contractual Assembly Systems with Fluctuant Procurement Price,
with Yi Yang, Jianan Wang, Zhiyuan Chen and Frank Youhua Chen,Annals of Operations Research, forthcoming. (2019)
Single Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes,
with Zhenyu Cui and Chihoon Lee,European Journal of Operational Research,266(3), 1134-1139.(2018).
Approximate Arbitrage-Free Option Pricing under the SABR Model,
with Nian Yang, Nan Chen, and Xiangwei Wan,Journal of Economic Dynamics and Control, 83, 198-214.(2017)
Index Futures Trading and Spot Volatility in China: a Semi-Parametric Approach with Range-Based Proxies,
with Na Tan, Yulei Peng, and Zhewen Pan,Journal of Futures Markets, 37, 1003-1030. (2017)
Integral Representation of Vega for American Put Options,
with Zhenyu Cui and Ning Zhang,Finance Research Letters,19, 204-208. (2016)
Pricing Continuously Monitored Barrier Options under the SABR Model: a Closed-Form Approximaiton,
with Nian Yang and Zhenyu Cui,Journal of Management Science and Engineering,2, 116-131.(2017)
The Substitutability of Non-Fossil Energy, Potential Carbon Emission Reduction and Energy Shadow Prices in China,
with Hualin Xie, Yanni Yu, and Wei Wang,Energy Policy, 107, 63-71. (2017)
The Energy Rebound Effects across China’s Industrial Sectors: an Output Distance Function Approach,
with Ke Li and Ning Zhang,Applied Energy, 184, 1165-1175. (2016)
Environmental Catching-Up, Eco-Innovation, and Technological Leadership in China’s Pilot Ecological Civilization Zones,
with Yanni Yu, Wenjie Wu, and Tao Zhang,Technological Forecasting & Social Change, 112, 228-236. (2016)
A Variant of L^#-Convexity and Its Application to Inventory Models with Batch Ordering,
with Zhiyuan Chen, Yi Yang, and Yun Zhou,Asia-Pacific Journal of Operational Research,31(6), 1-16. (2014)
Network Analysis to Uncover Stock Comovement from a Chinese Financial Portal,
with Wuyue Shangguan, Xi Chen, and Alvin Chung Man Leung,Pacific Asia Conference on Information Systems(PACIS) 2016 Proceedings,302. (2016)
Sensitivity Estimationof SABR Model via Derivative of Random Variables,
with Nan Chen,Proceedings of the 2011Winter Simulation Conference,3871-3881.(2011)
《Lévy過程下金融期權(quán)風(fēng)險(xiǎn)對沖參數(shù)的模擬仿真估計(jì)》,（與 劉剛，謝金貴，崔振崳合作），《中國科學(xué)技術(shù)大學(xué)學(xué)報(bào)》，Vol. 47，No. 3, 262-266。(2017)
《比特幣交易市場的風(fēng)險(xiǎn)對沖功能研究》,（與 趙飛霞，陳南合作），《金融前沿》，Vol. 1，No. 1, 64-81。(2017)
《股指期貨套期保值率的小波分析方法》,（與 王欣，方兆本合作），《預(yù)測》，Vol. 28，No. 6, 60-64。(2009)
科研項(xiàng)目
1. 國家自然科學(xué)基金青年項(xiàng)目，2016.01-2018.12， 主持，結(jié)題。
2. 中央高�；究蒲袠I(yè)務(wù)費(fèi)，2015.01-2017.12，主持，結(jié)題。
3. 廣東省創(chuàng)新團(tuán)隊(duì)項(xiàng)目，子課題，2017.01-2019.12，主持，在研。
4. 中山大學(xué)高�；究蒲袠I(yè)務(wù)費(fèi)青年教師重點(diǎn)培育項(xiàng)目，2019.01-2020.12，主持，在研。
當(dāng)前研究
Simulation-Based Asset Pricing and Risk Management;
FinTech;
Analytical ApproximationMethods in Financial Engineering;
Empirical Asset Pricing with Machine LearningMethods;
Systemic Risk Assessment and Mitigation Methods.
教授課程
本科課程：Financial Engineering（英）；
金融專碩課程：投資學(xué), 金融衍生工具，行為金融學(xué)；
博士課程：行為金融，實(shí)證金融，金融學(xué)前沿講座，學(xué)術(shù)論文寫作；
英文EMBA課程：Advanced Financial Management；
MBA課程：行為金融，金融衍生工具實(shí)務(wù)；
EDP課程：金融科技創(chuàng)新，區(qū)塊鏈技術(shù)，金融衍生工具實(shí)務(wù)等。
最后更新于：2019-07-18
