姓 名:

蒋萍萍

职 称: 

优秀青年学者（副教授）

性 别: 

女

研究方向: 

金融工程、实证金融

出生年月: 

1990年10月

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

介 绍: 

Education

2016.09-2019.12, Nankai University, Ph.D. in Probability and Statistics

2017.09-2018.09, University of Illinois at Urbana-Champaign, Joint Ph.D.

Academic Experience

2024.07-now，Soochow University, Associate Professor

2022.04-2024.06, Soochow University, Lecturer

2020.01-2022.03, The Chinese University of Hong Kong, Shenzhen, Postdoc

2019.03-2019.10, Southern University of Science and Technology, Visiting Scholar

Research Interests

Derivatives Pricing, Stochastic Modeling, Quantitative Methods, Simulation

ESG/Sustainable Empirical Finance

Publications (*corresponding author)

[1] Zeng, P., Xu, Z., Jiang, P.*, Kwok, Y. Analytical solvability and exact simulation in models with affine  stochastic volatility  and Lévy jumps. Mathematical Finance, 2023, 33:842-890.

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

[3] Zhang, H., Jiang, P*. On some properties of sticky Brownian motion. Stochastics and Dynamics, 2021, 21(06), 2150037.

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

[5] Jiang, P.*, Li, B., Wang, Y. Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps. Methodology and Computing in Applied Probability, 2020, 22, 693-710. 

Working Papers(*corresponding author)

[1] Feng, R., Jiang, P.*, Volkmer, H. Modeling financial market movement with winning and losing streaks: sticky extrema processes.      (Global Association of Risk Professionals (GARP) Best Paper Award for Quantitative Methods in Finance 2019)

[2] Feng, R., Jiang, P.*, Volkmer, H. Persistent of winning streaks: new perspective on momentum. Submitted.  

Teaching

Undergraduate: Stochastic Process, Econometrics

Graduate: Econometrics

Funds

[1]国家自然科学基金(管理学部) 面上项目：期权方差及高阶矩风险计算理论与应用：基于等价期望测度和机器学习的研究(No.72471030)，2025-2028，主要参与。

[2]国家自然科学基金(数理学部) 青年项目：粘性极值模型的构造、理论及其金融中的应用研究(No.12301608)，2024-2026，主持。

[3]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(2020M671853)，2020-2021，主持，已结题。