楊學偉(南京大學副教授)

楊學偉(南京大學副教授)

楊學偉，南京大學副教授，碩士生導師。南開大學理學博士，美國伊利諾伊大學（UIUC）聯合培養博士，香港城市大學經濟與金融系博士後，曾受邀訪問 UCLA Anderson 管理學院和香港科技大學工業工程與物流管理學系。主要研究興趣為金融衍生品（期權、CDS等）定價，行為金融與金融產品創新，信用（違約）風險管理與信用評級。研究成果發表於國際頂級金融學期刊 Journal of Financial Economics，並曾獲得由“金融風險管理師（FRM，Financial Risk Manager）”唯一認證機構——“美國國際金融風險管理師協會（Global Association of Risk Professionals）”評選的“2014 GARP Risk Management Research Award”。

在 Journal of Financial Economics, Mathematical Finance, Quantitative Finance, Insurance: Mathematics and Economics, Advances in Applied Probability 等期刊發表論文 20 余篇；多篇論文入選 AFA 2017, WFA 2016, The 5th Miami Behavioral Finance Conference（論文接受率 12/195）, CICF2014, EFMA 2014, INFORMS Annual Meeting（2013, 2015, 2016, 2017）等高水平國際學術會議。擔任 Management Science, PNAS 等國際頂級期刊匿名審稿人以及 INFORMS Annual Meeting（2015, 2016, 2017）分會場主席。曾經受邀到北京大學、復旦大學、中國科學技術大學、中山大學、南開大學、天津大學、對外經濟貿易大學做學術報告。目前為 AEA 會員，AFA 會員，WFA 會員，INFORMS 會員。

基本介紹

  • 中文名：楊學偉
  • 外文名：YANG, Xuewei
  • 國籍：中國
  • 民族：漢族
  • 職業：副教授
  • 畢業院校：南開大學 
  • 主要成就：GARP Risk Management Research Award 
    南開十傑（特等獎學金）；周恩來獎學金 
  • 學位：博士
  • 導師：王永進教授, Renming Song教授 
人物簡介,工作經歷,受教育經歷,研究興趣,出版著作,工作報告（Working Paper）,已發表論文,

人物簡介

工作經歷

  • 2014年7月至今：南京大學工程管理學院，副教授
  • 2017年01月至2017年03月：UCLA, Anderson School of Management，訪問學者
  • 2013年07月至2013年08月：香港科技大學工業工程與物流管理系，訪問學者
  • 2012年01月至2014年06月：南京大學工程管理學院，助理研究員
  • 2012年01月至2013年01月：香港城市大學商學院經濟與金融系，博士後

受教育經歷

  • 2006年9月至2011年12月：南開大學機率論與數理統計系，碩士、博士
    2011年12月獲理學博士學位（量化金融與風險管理方向）
    2009年06月獲理學碩士學位（量化金融與投資管理方向）
  • 2010年8月至2011年8月：美國伊利諾伊大學（UIUC），聯合培養博士
    在中國教育部留學基金管理委員會的全額資助下赴美留學（聯合培養博士項目）
  • 2002年9月至2006年7月：西安電子科技大學數學系，理學學士
    2006年07月獲理學學士學位（信息與計算科學專業）

研究興趣

出版著作

工作報告（Working Paper）

  • Who Gains and Who Underperforms in Derivatives Trading, and Why? Evidence from Chinese Brokerage Account Data
    (with Xindan Li and Avanidhar Subrahmanyam)
  • Presented at: UCLA Anderson School of Management, University of New Orleans
  • Presented at: 2017 AFA Chicago Meetings, 2016 WFA Park City Meetings, 2014 CICF, 2014 EFMA, 2014 North American Winter Meeting of the Econometric Society
  • This paper won: GARP Risk Management Research Award (selected by the GARP Award Review Committee, announced at the EFMA 2014 Annual Meeting)

已發表論文

已發表或接受論文20餘篇：
  1. Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market, with Xindan Li (李心丹) and Avanidhar Subrahmanyam (UCLA), Journal of Financial Economics, 128(1): 38-65, April 2018. (DOI: 10.1016/j.jfineco.2018.01.010)
    ——Presented at the 5th Miami Behavioral Finance Conference (acceptance rate 12/195)
  2. International reserve management: a drift-switching reflected jump-diffusion model, with Ning Cai (香港科技大學), Mathematical Finance, 28(1): 409--446, January 2018.
  3. Optimal processing rate and buffer size of a jump-diffusion processing system, with Xindan Li, Dan Tang and Yongjin Wang, Annals of Operations Research, 217(1): 319--335, June 2014.
  4. Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling,with Lijun Bo, Science China: Mathematics, 57(6): 1237--1256, June 2014.
  5. Credit derivatives pricing based on Lévy field driven term structure, with Lijun Bo and Ying Jiao, Stochastic Analysis and Applications, 32(2): 229--252, March 2014.
  6. On the default probability in a regime-switching regulated market, with Lijun Bo and Yongjin Wang, Methodology and Computing in Applied Probability, 16(1): 101--113, March 2014.
  7. On the conditional default probability in regulated market with jump risk, with Lijun Bo, Xindan Li and Yongjin Wang, Quantitative Finance, 13(12): 1967--1975, December 2013.
  8. A new numerical scheme for a class of reflected stochastic differential equations,Monte Carlo Methods and Applications, 19(4): 273--279, December 2013.
  9. Optimal investment and consumption with default risk: HARA utility, with Lijun Bo, Xindan Li and Yongjin Wang, Asia-Pacific Financial Markets, 20(3): 261--281, September 2013.
  10. Kernel-correlated Lévy field driven forward rate and application to derivative pricing, with Lijun Bo and Yongjin Wang, Applied Mathematics and Optimization, 68(1): 21--41, August 2013.
  11. First passage times of reflected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Guijun Ren and Yongjin Wang, Stochastics and Dynamics, 13(1), 1250014, March 2013.
  12. Stochastic portfolio optimization with default risk, with Lijun Bo and Yongjin Wang, Journal of Mathematical Analysis and Applications, 397(2): 467--480, January 2013.
  13. Optimal portfolio and consumption selection with default risk, with Lijun Bo and Yongjin Wang, Frontiers of Mathematics in China, 7(6): 1019--1042, December 2012.
  14. Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Statistics and Probability Letters, 82(7): 1374--1382, July 2012.
  15. The hitting time density for a reflected Brownian motion, with Qin Hu and Yongjin Wang, Computational Economics, 40(1):1--18, June 2012.
  16. Lévy risk model with two-sided jumps and a barrier dividend strategy, with Lijun Bo, Renming Song, Dan Tang and Yongjin Wang, Insurance: Mathematics and Economics, 50(2): 280--291, March 2012.
  17. A note on transition density for the reflected Ornstein-Uhlenbeck process, with Xiaoyu Xing and Yongsheng Xing, Statistics and Probability Letters, 82(1): 586--591, March 2012.
  18. On conditional default probability in a regulated market: a structural approach, with Lijun Bo, Dan Tang and Yongjin Wang, Quantitative Finance, 11(12): 1695--1702, December 2011.
  19. Derivative pricing based on the exchange rate in a target zone with realignment, with Lijun Bo and Yongjin Wang, International Journal of Theoretical and Applied Finance, 14(6): 945--956, September 2011.
  20. First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries, with Lijun Bo and Yongjin Wang, Journal of Applied Probability, 48(3): 723--732, September 2011.
  21. Some integral functionals of reflected SDEs and their applications in finance, with Lijun Bo and Yongjin Wang, Quantitative Finance, 11(3): 343--348, March 2011.
  22. Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, with Lijun Bo, Yongjin Wang and Guannan Zhang, Journal of Statistical Planning and Inference, 141(1): 588--596, January 2011.
  23. An optimal portfolio problem in a defaultable market, with Lijun Bo and Yongjin Wang, Advances in Applied Probability, 42(3): 689--705, September 2010.
  24. Markov-modulated jump-diffusions for currency option pricing, with Lijun Bo and Yongjin Wang,Insurance: Mathematics and Economics, 46(3): 461--469, June 2010.P年

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