教师简介

通讯地址: 上海市华山路1954号上海交通大学安泰经济与管理学院1207室，200030

2019 -, 上海交通大学安泰经济与管理学院 金融系副教授（长聘）
2011 - 2019, 上海交通大学安泰经济与管理学院 金融系助理教授
2010, 香港中文大学, 金融工程博士
2006, 中国科学技术大学, 数学学士

科学研究

研究方向:

金融经济学,金融工程

Papers can also be downloaded from my SSRN Author Page:

http://ssrn.com/author=1581550

发表论文:

Non-Concave Utility Maximization with Portfolio Bounds. Management Science, 68(11):8368-8385, 2022. With Min Dai, Steven Kou, Shuaijie Qian .

Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. Journal of Economic Dynamics and Control, 125, 104083. 2021. With Nian Yang.

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion. Journal of Econometrics, 209(2), 256-288. 2019. With Nian Yang, Nan Chen.

The survival probability of the SABR model: Asymptotics and Application. Quantitative Finance, 18(10), 1767-1779, 2018. With Nian Yang.

Approximate arbitrage-free option pricing under the SABR model. Journal of Economic Dynamics and Control, 83, 198-214, 2017. With Nian Yang, Nan Chen, Yanchu Liu.

Sensitivity Analysis of Nonlinear Behavior with Distorted Probability. Mathematical Finance, 27(1), 115-150, 2017. With Xi-Ren Cao.

A Nonzero-Sum Game Approach to Convertible Bonds : Tax Benefit, Bankruptcy Cost, and Early/Late Calls. Mathematical Finance, 23(1), 57-93, 2013. With Nan Chen, Min Dai.

Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), 412-437, 2010. With Ning Cai, Nan Chen.

Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163-167, 2009. With Ning Cai, Nan Chen.

工作论文:

Pi Portfolio Management: Reaching Goals While Avoiding Drawdowns (2020). Available at SSRN: https://ssrn.com/abstract=3444836. With Jaksa Cvitanic, Steven Kou, Karyn Williams.

Explicit Expansions for Multivariate Diffusions (2020). Available at SSRN: https://ssrn.com/abstract=3748893 . With Nian Yang.

Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility (November 12, 2013). Available at SSRN: https://ssrn.com/abstract=2353740. With Xi-Ren Cao.

主讲课程

算法交易与量化投资，证券投资分析，金融经济学，金融学，投资学