徐光利 副传授

姓名  徐光利

专业  几率论与数理统计

系别  统计与数目金融系

职称  讲师

办公德律风  01064494590

电子邮件  xuguangli@bikinisbarandgrill.com

 

教导背景:

20079月至20117月    电子科技大学利用数学系        理学学士

20119月至20167月    南开大学几率论与数理统计专业  理学博士(硕博连读) 

201411201511月  University of Lausanne(瑞士)   拜候博士生

 

任务履历: 20168月至今,瑞典1分彩平台

传授课程: 几率论,奇特期权订价,高档数学(二),大学数学,数学(上)

研讨范畴: 金融衍生品订价,信誉危险,利率刻日布局,随机进程和随机计较

 

首要研讨功效:

  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)

 

掌管或参与的科研名目:

1.掌管国度天然科学基金青年名目,11701085,几类典范双斜进程的性子及其在金融衍生品订价中的利用研讨,2018.01-2020.12.

2.掌管中心高校根基科研营业费专项资金(对外经济商业大学新进教员名目),16QD19,几类随机进程的性子及其在金融衍生品中的利用,2017.01-2018.12.

3.参与国度天然科学基金青年名目,11701084,随机动摇率模子了局外期权的订价和对冲战略研讨,2018.01-2020.12.

4.参与国度天然科学基金青年名目,11701083,两类非规范随机情况中随机游动的极限性子,2018.01-2020.12.

5.参与国度天然科学基金面上名目,11571190,几类随机(偏)微分方程的实际性子与参数估量,2016.01-2019.12.

瑞典1分彩平台 瑞典1分彩网址 加拿大pc 加拿大pc预测 加拿大pc开奖结果 加拿大pc官网 加拿大pc平台 加拿大pc软件下载 pc加拿大 pc加拿大预测 pc加拿大开奖结果