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