个人简介

从事数量金融方面的研究，目前专注于国内CDS指数的定价和风险分析，以及永续合约的定价。

研究领域

信用衍生品分析，加密资产定价

代表论文

1. with X. Tan and R. Wang, Term structure of defaultable bonds with recovery of market value, Journal of Mathematical Finance, 15(3): 535-549.

2. with G. Wang, X. Wang and Y. Wang, Quadratic hedging strategies for volatility swaps, Finance Research Letters, 15: 125-132.

3. A Simple top-down approach for pricing portfolio credit derivatives, Acta Scientiarum Naturalium Universitatis Nankaiensis, 45(6): 51–58.

4. with X. Wang and Y. Wang, Credit spreads, endogenous bankruptcy and liquidity risk, Computational Management Science, 9(4): 515-530.