校园百科

基于反射扩散模式的汇率风险与违约风险研究（国家自然科学基金青年项目）

随机微分方程及其在数理金融中的应用（教育部新世纪优秀人才支持计划）

违约传染和违约反馈机制下的信用衍生品最优投资组合问题研究（国家自然科学基金面上项目）

中国科学院前沿科学重点研究项目

1) Systemic Risk in Interbanking Networks - SIAM Journal on Financial Mathematics - 2015 - Vol. 6, 2015

2) Robust Optimization of Credit Portfolios - Mathematics of Operations Research - 2016 - Accepted

3) Counterparty Risk for CDS: Default Clustering Effects - Journal of Banking and Finance - 2015 - Vol. 52, 2015

4) Optimal Investment in Credit Derivatives Portfolio under Contagion Risk - Mathematical Finance - 2014 - online first

5) Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios - Finance and Stochastics - 2014 - Vol. 18, 2014

6) Kernel Correlated Levy Field Driven Forward Rate and Application to Derivative Pricing - Applied Mathematics and Optimization - 2013 - Vol. 68, 2013

7) Optimal Investment and Consumption with Default Risk: HARA Utility - Asia-Pacific Financial Market - 2013 - Vol. 20, 2013

8) On the Conditional Default Probability in A Regulated Market with Jump Risk - Quantitative Finance - 2013 - Vol. 13, 2013

9) First Passage Times of Reflected O-U Processes with Two-Sided Jumps - Queueing Systems: Theory and Applications - 2013 - Vol. 73, No. 1

10) Levy Risk Model with Two-Sided Jumps and A Barrier Dividend Strategy - Insurance: Mathematics and Economics - 2012 - Vol. 50, No. 2

11) First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers - Journal of Applied Probability - 2012 - Vol. 49, No. 4

12) Derivative Pricing Based on the Exchange Rate in A Target Zone with Realignment - International J. Theoretical and Applied Finance - 2011 - Vol. 14, No. 6

13) Exponential Change of Measure Applied to Term Structures of Interest Rates and Exchange Rates - Insurance: Mathematics and Economics - 2011 - Vol. 49, No. 2

14) On the Conditional Default Probability in A Regulated Market: A Structural Approach - Quantitative Finance - 2011 - Vol. 11, No. 12

15) First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries - Journal of Applied Probability - 2011 - Vol. 48, No. 3

16) Maximum Likelihood Estimation for Reflected Ornstein–Uhlenbeck Processes - Journal of Statistical Planning and Inference - 2011 - Vol. 141, No. 1

17) Some Integral Functionals of Reflected SDEs and Their Applications in Finance - Quantitative Finance - 2011 - Vol. 11, No. 3

18) Markov-Modulated Jump–Diffusions for Currency Option Pricing - Insurance: Mathematics and Economics - 2010 - Vol. 46, No. 3

19) An Optimal Portfolio Problem in A Defaultable Market - Advances in Applied Probability - 2010 - Vol. 42, No. 3

20) Support Theorem for A Stochastic Cahn-Hilliard Equation - Electronic Journal of Probability - 2010 - Vol. 15, No. 1

21) On A Stochastic Wave Equation Driven by A Non-Gaussian Levy Process - Journal of Theoretical Probability - 2010 - Vol. 23, No. 1

22) Large Deviations for Perturbed Reflected Diffusion Processes - Stochastics - 2009 - Vol. 81, No. 6

23) Lyapunov Exponent Estimates of A Class of Higher-Order Stochastic Anderson Models - Proceedings of AMS - 2008 - Vol. 136, No. 11

24) Explosive Solutions of Stochastic Wave Equations with Damping on R^d - Journal of Differential Equations - 2008 - Vol. 244, No. 1

25) On the First Passage Times of Reflected OU Processes with Two-Sided Barriers - Queueing Systems: Theory and Applications - 2006 - Vol. 54, No. 4

26) Stochastic Cahn–Hilliard Partial Differential Equations with Levy Spacetime White Noises - Stochastics and Dynamics - 2006 - Vol. 6, No. 2