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个人信息：Personal Information
教授 博士生导师 研究生导师
性别：男
毕业院校：南开大学
学历：博士研究生毕业
学位：理学博士学位
在职信息：在岗
所在单位：数学与统计学院
学科：统计学 概率论与数理统计
电子邮箱：
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- [1]Optimal Tracking Portfolio with a Ratcheting Capital Benchmark.SIAM Journal on Control and Optimization.2021,59 (3):2346-2380
- [2]Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.SIAM Journal on Control and Optimization.2019,57 (1):366-401
- [3]Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios.Finance and Stochastics.2014,18 (2):431-482
- [4]Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching.Journal of Economic Dynamics and Control.2017,83 :175-197
- [5]Portfolio Choice with Market-Credit Risk Dependencies.SIAM Journal on Control and Optimization
- [6]OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK.MATHEMATICAL FINANCE.2016,26 (4):785-834
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