教师介绍
姓名:阎冬
专业:金融数学
系别:数量金融系
电子邮件:dyan@uibe.edu.cn
教育背景:
2016-2021年 University of Wollongong, Australia 金融数学专业,理学博士
2010-2016年 Institute National des Sciences Appliqués, France 法国工程师之应用数学专业硕士
工作经历:
2021年9月至今 女子雨天练车与教练 统计学院 讲师
教授课程:
数理金融学;运筹学;大学数学
研究领域:
数理金融,金融衍生品定价,最优投资组合,随机过程,数值计算等
主要论文发表:
Xiaoping Lu, Song-Ping Zhu and Dong Yan*. Non-linear PDE model for European options with transaction costs under Heston stochastic volatility. Communications in Nonlinear Science and Numerical Simulation 103 (2021): 105986.
Dong Yan, Song-Ping Zhu* and Xiaoping Lu, A numerical study of the utility-indifference approach for pricing American options. Computers and Mathematics with Applications 80(5) (2020): 894-905.
Dong Yan and Xiaoping Lu*. Utility-indifference pricing of European options with proportional transaction costs. Journal of Computational and Applied Mathematics 397 (2021): 113639.
Xiaoping Lu, Dong Yan* and Song-Ping Zhu. Optimal exercise of American puts with transaction costs under utility maximization. Applied mathematics and computation 415 (2022): 126684.
Dong Yan, Sha Lin*, Zhihao Hu and Ben-Zhang Yang. Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. Chaos, Solitons and Fractals 163 (2022): 112581.
Dong Yan. A comprehensive study of option pricing with transaction costs. Bulletin of the Australian Mathematical Society, First View (2022): 1-3.
Ren-Jie Han, Qing-Gang Tian, Dong Yan* and Ben-Zhang Yang. Valuation of European crude oil options with co-jump diffusions and stochastic interest rate. Submitted to the Journal of Industrial and Management Optimization, in revision (2022).