師資步隊

以后地位: 首頁 > 師資步隊 > 師資概略 > 金融系 > 注釋 金融系

陳文婷

系別:金融系

職稱:傳授

接洽體例:

迷信研討:研討標的目的:金融數學,金融工程

近五年頒發論文環境(*代表通信作者):
1. X.-J. He and W.-T. Chen*, A semi-analytical formula for European options under a hybrid Heston-CIR model with regime switching,  International Journal of Finance and Economics, (2019), accepted on 13/09/2019. (SSCI)
2. Z.-D. Cen and W.-T. Chen*, A HODIE finite difference scheme for pricing American options, Advances in Difference Equations, (2019) accepted and published online 2019:67.http://doi.org/10.1186/s13662-018-1917-z. (SCI,SSCI雙收錄,0.970)
3. W.-T. Chen ,X.-J. He  and S. Lin, Pricing credit default swaps with Parisian and Parasian default mechanics, Communications in Statistics-Simulation and Computation, (2019) accepted and published online http://doi.org/10.1080/03610918.2019.1653913.(SCI,SSCI雙收錄,0.483)
4. G. Ma*, S.-P. Zhu and W.-T. Chen, Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation, 357(2019), 243-257. (SCI,SSCI雙收錄,2.377)
5.  W.-T. Chen ,X.-J. He * and X.-Z. Qiu, Analytically pricing credit default swaps under a regime-switching model, Fluctuation and Noise Letters, 18(3)(2019):1950021. (SCI,SSCI雙收錄,0.836)
6. W.-T. Chen and S. Lin*,  Option pricing under the KoBol model, The ANZIAM Journal, 60(2018), 175-190. (SCI,SSCI雙收錄,0.595)
7. H. Fu, W.-T. Chen and X.-J. He*, On a class of estimation and test for long memory, Physica A: Statistical Mechanics and its Applications, 509(2018): 906-920 .(SCI,SSCI雙收錄,2.292)
8. X.-J. He and W.-T. Chen*, A Monte-Carlo based approach for pricing credit default swaps with regime switching, Computers & Mathematics with Applications, 76(28)(2018):1758-1766. (SCI,SSCI雙收錄,2.067)  
9. W.-.T. Chen*, K. Du, X.-Z. Qiu, Analytic properties of American option prices under a modified Black–Scholes equation with spatial fractional derivatives, Physica A: Statistical Mechanics and its Applications, 491(2018): 37-44 . (SCI,SSCI雙收錄)
10. W.-T. Chen, M.-Y. Du and X. Xu*, An explicit closed-form analytical solution for European options under the CGMY model, Communications in nonlinear science and numerical simulations, 42(2017):285-297. (SCI, SSCI雙收錄,3.311)
11. W.-T. Chen*, B.-W. Yan, G.-H. Lian and Y. Zhang, Numerically pricing American options under the Generalized Mixed Fractional Brownian Motion model, Physica A: Statistical Mechanics and its Applications,451(2016):180-189. (SCI,SSCI雙收錄, 2.292,)
12. W.-T. Chen*, L.-B. Xu and S.-P. Zhu, Stock loan valuation under a stochastic interest rate model,Computers & Mathematics with Applications, 70(8)(2015):1757-1771. (SCI,SSCI雙收錄,2.067)
13. W.-T. Chen, X. Xu* and S.-P. Zhu, A predictor-corrector approach for pricing American options under the finite moment log-stable model, Applied Numerical Mathematics, 97(2015), 15-29. (SCI,SSCI雙收錄, 1.343)
14. W.-T. Chen*, X. Xu and S.-P. Zhu, Analytically pricing double barrier options based on a time-fractional Black–Scholes equation, Computers & Mathematics with Applications 69(12)(2015), 1407-1419. (SCI,SSCI雙收錄,2.067)
15. S.-P. Zhu*, L.-N Le, W.-T. Chen and X.-P. Lu, Pricing Parisian down-and-in options, Applied Mathematics Letters 43(2015), 19-24.(SCI,SSCI雙收錄,2.727)

掌管基金環境:
1. URC small grant (掌管), 標題問題:Analytically pricing perpetual American options under the fractional-order Black-Scholes equation, University of Wollongong, 2013/01-2013/12,金額: AU$6,500.
2.澳洲基金面上名目(結合掌管), 標題問題:The effect of bans on short selling: a comprehensive study, 澳洲基金委, 2014/01–2016/12, 金額: AU$400,000.
3.江蘇省天然迷信基金(青年基金)(掌管), 標題問題:分數階導數模子下的信譽違約交換,名目編號:BK20160156,2016/06-2019/06, 金額:20萬國民幣。
4.國度天然迷信基金(青年名目)(掌管),標題問題:基于隨機時候游走模子的期權訂價,名目編號:11601189,  2017/02-2019/12, 金額:19萬國民幣。

主講課程:本科生:金融工程、牢固收益證券、Finance(全英文)

  • 教員簡介
  • 迷信研討
  • 主講課程
  •  

    陳文婷,女,博士研討生,金融系傳授。陳文婷博士本科碩士別離畢業于西北大學與復旦大學,博士就讀于天下排名前200位的University of Wollongong并取得全額獎學金幫助。畢業后前后在University of Wollongong處置博士后研討任務和擔負講師,并取得畢生教職。2015年辭去海內職位并入職江南大學商學院任傳授。她擔負Journal of Banking and Finance 等頂級雜志的期刊審稿人;是美國數學學會(AMS)Mathematical Reviews批評員、澳大利亞基金委基金評審專家庫成員,中國運籌學會金融工程與危險辦理分會理事等。首要努力于金融衍生產物訂價的研討,包含研發各種高效數值訂價算法,應用漸進闡發東西研討期權價錢的性子等。

  • 研討標的目的:金融數學,金融工程

    近五年頒發論文環境(*代表通信作者):
    1. X.-J. He and W.-T. Chen*, A semi-analytical formula for European options under a hybrid Heston-CIR model with regime switching,  International Journal of Finance and Economics, (2019), accepted on 13/09/2019. (SSCI)
    2. Z.-D. Cen and W.-T. Chen*, A HODIE finite difference scheme for pricing American options, Advances in Difference Equations, (2019) accepted and published online 2019:67.http://doi.org/10.1186/s13662-018-1917-z. (SCI,SSCI雙收錄,0.970)
    3. W.-T. Chen ,X.-J. He  and S. Lin, Pricing credit default swaps with Parisian and Parasian default mechanics, Communications in Statistics-Simulation and Computation, (2019) accepted and published online http://doi.org/10.1080/03610918.2019.1653913.(SCI,SSCI雙收錄,0.483)
    4. G. Ma*, S.-P. Zhu and W.-T. Chen, Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation, 357(2019), 243-257. (SCI,SSCI雙收錄,2.377)
    5.  W.-T. Chen ,X.-J. He * and X.-Z. Qiu, Analytically pricing credit default swaps under a regime-switching model, Fluctuation and Noise Letters, 18(3)(2019):1950021. (SCI,SSCI雙收錄,0.836)
    6. W.-T. Chen and S. Lin*,  Option pricing under the KoBol model, The ANZIAM Journal, 60(2018), 175-190. (SCI,SSCI雙收錄,0.595)
    7. H. Fu, W.-T. Chen and X.-J. He*, On a class of estimation and test for long memory, Physica A: Statistical Mechanics and its Applications, 509(2018): 906-920 .(SCI,SSCI雙收錄,2.292)
    8. X.-J. He and W.-T. Chen*, A Monte-Carlo based approach for pricing credit default swaps with regime switching, Computers & Mathematics with Applications, 76(28)(2018):1758-1766. (SCI,SSCI雙收錄,2.067)  
    9. W.-.T. Chen*, K. Du, X.-Z. Qiu, Analytic properties of American option prices under a modified Black–Scholes equation with spatial fractional derivatives, Physica A: Statistical Mechanics and its Applications, 491(2018): 37-44 . (SCI,SSCI雙收錄)
    10. W.-T. Chen, M.-Y. Du and X. Xu*, An explicit closed-form analytical solution for European options under the CGMY model, Communications in nonlinear science and numerical simulations, 42(2017):285-297. (SCI, SSCI雙收錄,3.311)
    11. W.-T. Chen*, B.-W. Yan, G.-H. Lian and Y. Zhang, Numerically pricing American options under the Generalized Mixed Fractional Brownian Motion model, Physica A: Statistical Mechanics and its Applications,451(2016):180-189. (SCI,SSCI雙收錄, 2.292,)
    12. W.-T. Chen*, L.-B. Xu and S.-P. Zhu, Stock loan valuation under a stochastic interest rate model,Computers & Mathematics with Applications, 70(8)(2015):1757-1771. (SCI,SSCI雙收錄,2.067)
    13. W.-T. Chen, X. Xu* and S.-P. Zhu, A predictor-corrector approach for pricing American options under the finite moment log-stable model, Applied Numerical Mathematics, 97(2015), 15-29. (SCI,SSCI雙收錄, 1.343)
    14. W.-T. Chen*, X. Xu and S.-P. Zhu, Analytically pricing double barrier options based on a time-fractional Black–Scholes equation, Computers & Mathematics with Applications 69(12)(2015), 1407-1419. (SCI,SSCI雙收錄,2.067)
    15. S.-P. Zhu*, L.-N Le, W.-T. Chen and X.-P. Lu, Pricing Parisian down-and-in options, Applied Mathematics Letters 43(2015), 19-24.(SCI,SSCI雙收錄,2.727)

    掌管基金環境:
    1. URC small grant (掌管), 標題問題:Analytically pricing perpetual American options under the fractional-order Black-Scholes equation, University of Wollongong, 2013/01-2013/12,金額: AU$6,500.
    2.澳洲基金面上名目(結合掌管), 標題問題:The effect of bans on short selling: a comprehensive study, 澳洲基金委, 2014/01–2016/12, 金額: AU$400,000.
    3.江蘇省天然迷信基金(青年基金)(掌管), 標題問題:分數階導數模子下的信譽違約交換,名目編號:BK20160156,2016/06-2019/06, 金額:20萬國民幣。
    4.國度天然迷信基金(青年名目)(掌管),標題問題:基于隨機時候游走模子的期權訂價,名目編號:11601189,  2017/02-2019/12, 金額:19萬國民幣。
  • 本科生:金融工程、牢固收益證券、Finance(全英文)