蒋萍萍

发布时间:2022-05-26 浏览次数:15

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蒋萍萍

 

优秀青年学者(讲师)


 

研究方向

金融工程、实证金融

出生年月

199010

联系方式

ppjiang@suda.edu.cn

本部览秀楼303办公室

最后学历

博士

毕业学校

南开大学

 

Research Interests

 Derivatives Pricing

 Stochastic Modeling,

 Quantitative Methods,

 ESG/Sustainable Empirical Finance

 Academic Experience

 2016.09-2019.12    Nankai University

Ph.D in Probability and Statistics (Financial Engineering)

Supervisor: Prof. Yongjin Wang

 2017.09-2018.09    University of Illinois at Urbana-Champaign

Joint Ph.D. in Financial Engineering

 2020.01-2022.03    The Chinese University of Hong Kong, Shenzhen

Postdoc Research Fellow

Supervisor: Prof. Bohui Zhang

 2022.04-Now     Soochow University

  Lecturer

Courses

 Stochastic Process

 Publications

[1] Feng, R., Jiang, P.*, & Volkmer, H. (2021). Geometric Brownian motion with affine drift and its time-integral. Applied Mathematics and Computation, 395, 125874.

[2] Zhang, H., & Jiang, P.* (2020). On some properties of sticky Brownian motion. Stochastics and Dynamics, 2150037.

[3] Feng, L., Jiang, P.*, & Wang, Y. (2020). Constant elasticity of variance models with target zones. Physica A: Statistical Mechanics and its Applications, 537, 122702.

[4] Jiang, P.*, Li, B., & Wang, Y. (2020). Exit times, undershoots and overshoots for reflected cir process with two-sided jumps. Methodology and Computing in Applied Probability, 22(2), 693-710.  (*corresponding author)

 Working Papers

[1]. Feng, R., Jiang, P.*, & Volkmer, H. Persistent of Winning Streaks: New Perspective on Momentum. (GARP Best Paper Award at the QMF 2019 Meeting)

[2]. Zeng, P., Xu, Z., JiangP.* & Kwok, Y. Analytical Solvability and ExactSimulation of Stochastic Volatility Models with Levy jump.

Funds

1. 中国博士后科学基金面上项目,粘性扩散过程的性质及其在金融衍生品定价中的应用研究,2020M6718538万元,主持,2020-2021已结题



 
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