千亿体育

徐光利 副教授

姓名 徐光利(li)

專業 概率論與數理統計

系別 數量金融系

職稱 副教(jiao)授

辦公電(dian)話 01064494590

電子(zi)郵件 xuguangli@yukkuribunbun.com

教育背景(jing):

2007年(nian)9月至20117 電子科技大學(xue)應用數學(xue)系 理(li)學(xue)學(xue)士(shi)

2011年(nian)9月至20167 南開大學概率論與數理統計專(zhuan)業 理學博士(shi)(碩博連讀)

201411月至201511 University of Lausanne(瑞(rui)士) 訪問(wen)博士(shi)生

工作經歷: 20168月至(zhi)今,千億體育

教授(shou)課程: 概率論,奇異期權定價,高等數學(二(er)),大學數學,數學(上)

研究領域: 金融衍生品定價,信用風(feng)險,利率期限結構,隨機(ji)過程和隨機(ji)計算

主要研究(jiu)成果(guo):

  1. Analytical Valuation of Power Exchange Options with Default Risk (with Xinjian SHAO and Xingchun WANG), Finance Research Letters, 28: 265-274, 2019. (SSCI)

  2. A Closed-form GARCH Valuation Model for Power Exchange Options with Counterparty Risk (with Xingchun WANG and Dan LI), Probability in the Engineering and Informational Sciences, 1-18, 2019. (SCI)

  3. The Valuation of Executive Stock Options under GARCH Models (with Xingchun WANG and Zhiwei SU), Probability in the Engineering and Informational Sciences, 32(3): 409-433, 2018. (SCI)

  4. A Simple Trinomial Lattice Approach for the Skew-extended CIR Models (with Xiaoyang ZHUO and Haoyan ZHANG), Mathematics and Financial Economics, 11(4): 499-526, 2017. (SSCI/SCI)

  5. Long Time Stability of Nonlocal Stochastic Kuramoto-Sivashinsky Equations with Jump Noises (with Guanying WANG and Xingchun WANG), Statistics and Probability Letters, 127: 23-32, 2017. (SCI)

  6. The Issuer-pays Business Model and Competitive Rating Market: Rating Network Structure (with Xiaoyang ZHUO and Yongjin WANG), Journal of Real Estate Finance and Economics, 55(2): 216-241, 2017. (SSCI)

  7. On First Hitting Times for Skew CIR Processes (with Shiyu SONG and Yongjin WANG), Methodology and Computing in Applied Probability, 18: 169-180, 2016. (SCI)

  8. Some Properties of Doubly Skewed CIR Processes (with Shiyu SONG and Yongjin WANG), Journal of Mathematical Analysis and Applications, 434 (2): 1194--1210, 2016. (SCI)

  9. On the stability of Markov-modulated skew CIR process (with Yongjin WANG), Statistics and Probability Letters, 109: 139--144, 2016. (SCI)

  10. The Valuation of Options on Foreign Exchange Rate in a Target Zone (with Shiyu SONG and Yongjin WANG), International Journal of Theoretical and Applied Finance, 19: 1-19, 2016. (ESCI)

主持或參加的科研項目:

1.主(zhu)持國(guo)家自然科學基金(jin)青(qing)年項(xiang)目,11701085,幾(ji)類典型雙斜過程的性質及(ji)其在金(jin)融衍生品定(ding)價中的應(ying)用研究(jiu),2018.01-2020.12.

2.主持中央(yang)高校基本科研業務費(fei)專項資金(千(qian)億體(ti)育新進教師項目),16QD19,幾類隨機過程的性質及其(qi)在(zai)金融衍生品中的應用,2017.01-2018.12.

3.參加國家(jia)自(zi)然(ran)科學基金(jin)青年項目,11701084,隨機波動率模型下場外期(qi)權的定價(jia)和對(dui)沖策略研(yan)究,2018.01-2020.12.

4.參加國(guo)家(jia)自然科學基金(jin)青年項目,11701083,兩(liang)類(lei)非(fei)標準隨機環(huan)境中(zhong)隨機游動的(de)極限性質,2018.01-2020.12.

5.參加國家自然科學基(ji)金(jin)面上項目,11571190,幾類隨機(偏)微(wei)分方程的理(li)論性質與參(can)數估計,2016.01-2019.12.

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