公开出版物(2009年-2012年)

发布时间:2012-5-15 17:21:28 浏览次数:5455   

 2009

 

[1]  Lishang Jiang and Harry Zheng, Basket CDS Pricing with Interacting Intensities , Finance and Stochastics, Vol.13,(2009) , 445-459.

[2]  Bei Hu,Jin Liang and Lishang Jiang,Optimal convergence rate of the explicit finite difference scheme for American option valuation, Journal of Computational and Applied Math,Vol.230 (2009) , 583-599.

[3]  Min Dai, Lishang Jiang. Peifan Li, and Fahuai Yi,Finite horizon optimal investment and consumption with transaction costs. SIAM J. Control Optim. 48 (2009), no.2, 1134–1154.

[4]  Y. Dong, G. Wang. On the Renewal Risk Model Under a Threshold Strategy. Journal of Computational and Applied Mathematics. Journal of Computational and Applied Mathematics 2009, 230, 22-33.

[5]   Ji Fan, Wanghui YU, Strong solution to the compressible magnetohydro dynamic equations with vaccum, Nonlinear Analysis: Real world Applications, V.10 (2009), 392-409.

[6]   Lanfen Dang, Ning Zhu, Haiming Zhang. Survival Probability for A Two-dimensional Risk Model. Insurance: Mathematics and Economics 2009, 44, 491-496.

 

2010

 

[1]  Jin Liang, Bei Hu and Lishang Jiang, Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries, SIAM J. Financial Math,Vol.1, No.1,(2010),30-65,

[2]   毕玉升,林建伟,任学敏,姜礼尚,王效俐.银行间互相持有次级债券的风险分析.管理科学学报 ,Vol.17,No.5,(2010),66-75.

[3]   Q. Tang, G. Wang, Yuen, K. C. Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Insurance: Mathematics and Economics 201046(2), 362-370.

[4]   S. Wang, C. Zhang, G. Wang, A constant interest risk model with tax payments. Stochastic Models 2010, 26(3), 384-398.

[5]   Yun BAI, Xingye YUE, Qingfeng ZENG. Multi-scale modeling and numerical simulation for CVI process. Comm. Comput. Phys. V.7(2010), 597-612.

[6]   Z. Kang and S. Stojanovic, Interest rate risk premium and equity valuation, J. Systems Sci & Comp 23 (2010) 484-498.

[7]   刘亮. 美国次贷危机与亚洲金融危机的比较. 金融教学与研究,2010年第1

 

2011

 

[1]  Kwang Ik Kim , Hyun Suk Park, & Xiaosong Qian, A mathematical modeling for the Lookback Option with Jump-diffusion using Binomial Tree Method,  J. Comput. Appl. Math., 235 (2011), 5140-5154.

[2]  Gechun Liang  and Lishang JiangA Modified Structural Model for Credit Risk, IMA Journal of Management Mathematics Advance Access Published April 26,(2011),1-24.

[3]  B.Bian, M.Dai,L.Jiang, Q.Zhang,Y.ZhongOptimal Decision for Selling an Illiquid Stock, Journal of Optimization Theory and Applications, Vol.151, No.2,(2011)

[4]  Dong, Y., Wang, G, Wu, R. Pricing zero-coupon bond and its fair premium under a structural credit risk model with jumps. Journal of Applied Probability 2011, 42 (2), 404-419.

[5]  Song Liping & Yu Wanghui, A parabolic variational inequality related to the perpetual American executive stock options, Nonlinear Analysis 74 (2011) ,65836600.

[6]  Tao YU, Xingye YUE.Residual-free bubble methods for numerical homogenization of elliptic problems, Comm. Math. V.9(2011), 1163-1176.

[7]  S. Stojanovic, Neutral and Indifference Portfolio Pricing, Hedging & Investing, hardcover , Springer, New York, 2011.

[8]  刘亮. 美国次贷危机对欧洲主权债务危机的传染. 南方金融. 2011.1260-63

[9]  印梅, 王光伟.江苏省外贸出口的价格弹性及收入研究. 江苏商论. 2011年第8

[10] 印梅, 王光伟.人民币汇率变动对江苏省进出口贸易的影响. 江苏国际金融. 2011年第3

[11] Srdjan Stojanovic, Neutral and Indifference Portfolio Pricing,Hedging and Investing: With applications in Equity and FX ,Springer, New York,(2011)

[12] 刘亮,资本约束与商业银行信贷亲周期研究,上海:复旦大学出版社 ,201112  

 

2012

 

[1]   Xiaosong Qian, Lishang Jiang, Cheng-long Xu & Sen Wu, Explicit formulas for pricing of callable Mortgage-Backed Securities in a case of prepayment rate negatively correlated with interest rates, J. Math. Anal. Appl. 2012 Vol 393,421-433, DOI: http://dx.doi.org/10.1016/j.jmaa.2012.03.057.

[2]   L.Jiang, B.Bian, The Regularized Implied Local Volatility Equations-A New Model to Recover the Volatility of Underlying Asset from Observed Market Option PriceDiscrete and Continuous Dynamical Systems, Series B, Vol.17,No.6,(2012).

[3]   Y. Dong, G. Wang.The dependence of assets and default threshold with thinning- dependence structure. Journal of Industrial and Management Optimization 2012. (录用)

[4]   Y. Dong, G. Wang. Fair valuation of life insurance contracts under a two-sided jump diffusion model. Commuications in statistics-Theory and methods 2012. (录用)

[5]   H. Meng , G.Wang. On the Expected Discounted Penalty Function in a Delayed- claims Risk Model. Acta Mathematicae Applicatae Sinica, English Series 2012, Vol.28 (2), 215-224.

[6]   Tao YU, Xingye YUE. Exponentially fitted local discontinuous Galerkin Method for convection-diffusion problems. J. Comput. Math. V.30 2012, 298-310.

[7]   Bei Hu,  Lishang Jiang,  Jin Liang and Wei Wei,A fully non-linear PDE problem from pricing CDS with counterparty risk,  Discrete and Continuous Dynamical Systems – Series B (DCDS-B),Vol. 17, no. 6 (2012), 2001 - 2016.

[8]   Y. Cui and S. Stojanovic , Equity valuation under stock dilution and buy-back, accepted for publication in Discrete and Continuous Dynamical Systems - Series B 2012.12(DCDS-B).

[9]   赵玉娟, 王光伟.服务业FDI,制造业FDI的技术进步效应比较研究.统计与决策. 2012年第4

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