姜礼尚

发布时间:2011-11-8 20:53:51 浏览次数:2518   

  

姓 名:

姜礼尚

职 称:

教授

性 别:

研究方向:

金融数学,偏微分方程

出生年月:

193510

联系方式:

jiang_lishang@aliyun.com

最后学历:

研究生

毕业学校:

北京大学

职 务:

“中心”名誉主任

介 绍:

  

奖励:

[1] 2005年获中国数学会颁发华罗庚数学奖

[2] 2006年获第三届金融学年会优秀论文一等奖

[3] 2012年获中国工业和应用数学协会颁发苏步青应用数学奖。

主要任历:

1954年 北京大学数学专修科毕业

1954-1956年 北京航空学院助教

1957-1960年 北京大学数学力学系偏微分方程专门化研究生学习

1961-1986年 北京大学数学系讲师,副教授,教授

1984-1986年 北京大学数学研究所副所长

1987-1996年 苏州大学数学系教授

1989-1996年 苏州大学校长

1988-2001 Journal of Partial Differential Equations 主编

1997- 同济大学数学系教授

2001-2005年 上海市数学会理事长

2006- 同济大学风险管理研究所所长

2007- 苏州大学数学学院名誉院长、苏州大学应用数学研究所所长

200712- 苏州大学金融工程研究中心主任

近期出版教材

[1]姜礼尚.期权定价的数学模型和方法.北京:高等教育出版社,第一版(2003年),第二版(2008年)

[2]Jiang Lishang, Mathematical Modeling and Methods of Option Pricing, World Scientific, Singapore,(2005).

[3]姜礼尚,徐承龙,任学敏,李少华.金融衍生品产品定价的数学模型与案例分析.北京:高等教育出版社,20086

[4]姜礼尚,边保军.数学物理方程简明教程.北京:高等教育出版社,2012

[5]任学敏,魏嵬,姜礼尚,梁进.信用风险估值的数学模型和?例分析.北京:高等教育出版社,2013


近期发表学术论文:

[1]L. Jiang and M. Dai, Convergence of bionomial tree method for American options, Proceedings of PDE and Applications, World Scientific, (1999),106-119,

[2]L.Jiang and M. Dai, Convergence analysis of bionomial tree method for American-type path-dependent options, Free boundary Problems: Theory & Applications (I), GAKUTO International Series, Math. SCI.& Appl., Vol.13,(2000),153-166,

[3]  L.Jiang and M. Dai, On path-dependent options, Mathematical Finance-Theory and Applications, Higher Education Press, (2000),290-316.

[4] 姜礼尚,戴民,新型期权的数学分析,中国学术期刊文摘(科技快报),Vol. 6, (2000) 910-912

[5] L.Jiang and Y. Tao, Identifying the volatility of underlying assts

from option prices, Inverse Problems, Vol.17 (2001) 137-155.

[6] L.Jiang,Analysis of pricing American options on the maximum (minimum) of two risk assets, Interface& Free Boundaries, Vol.4 (2002)  27-46l      

[7] L. Jiang and B.Bian A note on the valuation of American options,  J. Partial Differential EquationsVol.16 (2003),29-3

[8]袁桂秋,姜礼尚,罗俊,固定支付利率的抵押贷款定价理论-限于在支付日提前支付或违约,系统工程理论与实践,Vol.23, No.9 (2003)4855.

[9] Chenglong Xu, Xiaosong Qian & Lishang Jiang, Numerical analysis on binomial tree methods for a jump-diffusion model, J. Comput. Appl. Math. 156 (2003), no.1, 23--45.

[10] L. Jiang, Q. Chen,L.Wang & J. Zhang, A new well-posed algorithm to recover implied local volatility, Quantitative Finance, Vol.3 (2003) 451457.

[11]L. Jiang and M. Dai,Convergece of explicit difference scheme and the binomial tree method for American options, Journal of Computational Math, Vol. 22, (2004) 371-380,

[12] L. Jiang and D.Yang , On pricing model of reset option with N predetermined levels, J. of Systems Science & Complexity, Vol.17, (2004) 137142.

[13] L. Jiang and X. Ren, Limitations and modifications of Black-Scholes models, Proceedings of Conference on Differential Equations & Asymptotic Theory in Math Physics, World Scientific (2004) 295-309

[14]Xiaosong Qian, Cheng-Long Xu, Li-Shang Xu & Bao-Jun Bian, Convergence of the binomial tree method for American options in a jump-diffusion model, SIAM J. Numer. Anal. 42 (2005),no.5, 1899--1913 .

[15] L. Jiang, B. Bian, F.Yi, A parabolic variational inequality arising from the valuation fixed rate mortgages, Euro. J. of Appl. Math. (2005)

[16] L.Jiang B.Bian,Identifying the principal coefficient of parabolic equations with nondivergent form, Journal of Physics ,Conference Series, Vol.12 (2005),58-65.

[17] C.Yang, L. Jiang, and B. Bian, Free Boundary and American Options in a Jump-Diffusion Model, European J. of Applied Mathematics, Vol. 17 (2006) 95-127.

[18]Jin Liang,Bai hu, Lishang Jiang and Baojun Bian, On the rate of convergence of the binomial tree scheme for American options,Vol.107,(2007),333-352,

[19] 姜礼尚,罗俊, 跳扩散模型下永久美式看跌期权定价,系统工程理论与实践,Vol.28,No.2(2008),10-18.

[20] X.Chen, J.Chadam, L.Jiang and W.Zheng, Convexity of the exercise boundary of the American put option on a zero dividend asset, Math Finance Vol.18, N0.1 (2008) ,185-197.

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

[22]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.

[23] 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, 11341154.

[24]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,

[25] 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,

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

[27] 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)

[28] 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).

[29] Xiao-song Qian , Li-shang 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,Journal of Mathematical Analysis and Applications,Vol.393 (2012) 421–433.

[30]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.

[31]Jin Liang, Min Yang and Lishang Jiang,A closed form solution for the exercise strategy in a real options model with jump-diffusion process, SIAM J.of Applied Math.Vol.73,No.1,(2013),549-571.

[32]Min Dai, Lishang Jiang and Jiwei Lin ,Pricing corporate debt with finite maturity and chapter 11 proceedings, Quantitative Finance, Vol11, No.12,(2013),1855-1861.


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