一分时时彩

徐光利 讲 师

姓名  徐光利

专业  概率论与数理统计

系别  统计与数量金融系

职称  讲师

办公电话  01064494590

电子邮件  .cn

 

教育背景:

20079月至20117月    电子科技大学应用数学系        理学学士

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

201411201511月  University of Lausanne(瑞士)   访问博士生

 

工作经历: 20168月至今,对外经济贸易大学统计学院

教授课程: 概率论,奇异期权定价,高等数学(二),大学数学,数学(上)

研究领域: 金融衍生品定价,信用风险,利率期限结构,随机过程和随机计算

 

主要研究成果:

  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)

 

主持或参加的科研项目:

1.主持国家自然科学基金青年项目,11701085,几类典型双斜过程的性质及其在金融衍生品定价中的应用研究,2018.01-2020.12.

2.主持中央高校基本科研业务费专项资金(对外经济贸易大学新进教师项目),16QD19,几类随机过程的性质及其在金融衍生品中的应用,2017.01-2018.12.

3.参加国家自然科学基金青年项目,11701084,随机波动率模型下场外期权的定价和对冲策略研究,2018.01-2020.12.

4.参加国家自然科学基金青年项目,11701083,两类非标准随机环境中随机游动的极限性质,2018.01-2020.12.

5.参加国家自然科学基金面上项目,11571190,几类随机(偏)微分方程的理论性质与参数估计,2016.01-2019.12.

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