中文 | Nankai University

Yongjin WANG

Yongjin WANG
Professor
Financial Management
Email:yjwang@nankai.edu.cn
Tel: 022-23508628 (Office:418)
中文
  • Biography

  • Research & Achievement

  • Projects

  • Teaching

Research Areas

Options, Futures and Derivatives,    Credit Risks and Default Predictions,   Financial Engineering and Financial Econometrics.
Probability Theory and  Stochastic Processes.


Positions

 


Education

Eduaction:
●  B. S. (1986), The National University of Defense  Science and Technology,
●  M. S. (1989), Nankai University,
●  Ph. D. (1992), Nankai University.


Professional Experience

Faculty Positions:
●  Lecturer, 1992, Department of Mathematics, Nankai   University.
●  Associate Professor , 1995, Department of Mathematics, Nankai University.
●  Professor, 1998, School of Mathematical Sciences, Nankai University.
●  Professor, 2008, School of Business and jointly School of Mathematical Sciences, Nankai University.

Visiting Positions:
● Weierstrass Institute for Applied Analysis and Stochastics, Berlin, March and April, 1996.
● Fields Institute for Mathematical Sciences, University  of Toronto, March and April, 1999.
● University of British Columbia, Vancouver , July and August, 2000.
● University of British Columbia, Vancouver, August, 2001 to August, 2002.
● Carleton University, Ottawa, July and August, 2004.
● University of British Columbia, Vancouver, June to August, 2005.
● University of Melbourne, Melbourne, October, 2006 to  January, 2007.
● University of Oxford, London and University of Manchester, Manchester, October, 2007.
● London School of Economics and Political Sciences,  London, October, 2009 to March, 2010.
● University of Manchester,  Manchester, and University of Oxford, London,     August, 2011
● The National University of Singapore,    June, 2012.
● University of North Carolina at Charlotte,   and  UIUC,  March and April, 2015.
● ESSEC at Singapore,  Oct., 2015.


Journals Publications:

(Financial Engineering and Risk Management)

[21]  Shiyu Song, Yongjin Wang,  Pricing Double Barrier Options under a Volatility Regime-switching Model with Psychological Barriers. Review of Derivatives Research, 2017.
[20]  Xingchun Wang, Shiyu Song, Yongjin Wang, The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk.Journal of Futures Markets 37(5), 499-521, 2017.
[19]  Xiaoyang Zhuo, Guangli Xu, Yongjin Wang, The Issuer-pays Business Model and Competitive Rating Market: Rating Network Structure.Journal of Real Estate Finance & Economics, vol.52, 2016.
[18]  Guangli XuShiyu SongYongjin Wang,  The Valuation of Options on Foreign Exchange Rate in a Target Zone.International Journal of Theoretical & Applied Finance,  19 (3), 2016.
[17]  Xingchun WangJianping FuGuanying WangYongjin Wang,   Quadratic hedging strategies for volatility swaps.Finance Research Letters, 15:125-132, 2015.
[16]  Xindan Li, Dan Tang, Yongjin Wang and  Xuewei Yang, Optimal processing rate and buffer size of a jump-diffusion processing system, Annals of Operations Research vol. 217, 319-3352014. 
[15]  Xingchun Wang,  Yongjin Wang, Hedging strategies for discretely monitored Asian options under Lévy processes,  J. Industrial Management Optimizationsvol. 10, no. 4, 1209–12242014.
[14]  Guanying Wang, Xingchun Wang and Yongjin Wang, Rare shock, two-factor stochastic volatility and currency option pricing, Appl. Math. Finance  vol.21, no. 1, 32–50, 2014. 
[13]  Xingchun Wang and  Yongjin Wang , Variance-optimal hedging for target volatility options, J. Industrial Management  Optimizations  vol.10, no. 1, 207–218, 2014. 
[12]  Lihui Tian, Guanying Wang, Xingchun Wang, Yongjin Wang, Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes,  Journal of Futures Markets vol.34, no. 10, 957-979, 2014. 
[11]  Lijun Bo, Xindan Li , Yongjin Wang, Xuewei Yang , On the conditional default probability in a regulated market with jump risk, Quantitative  Finance   vol. 13, no. 12, 1967–1975, 2013. 
[10]  Lijun Bo, Yongjin Wang  and  Xuewei Yang , Kernel-correlated Lévy field driven forward rate and application to derivative pricing, Appl. Math. Optimizations    vol.68, no.1, 21–41, 2013.

[9]  Jianping Fu, Xingchun Wang and Yongjin Wang, Credit Spreads, Endogenous Bankruptcy and Liquidity Risk,Computational  Management Sciences, vol. 9, no. 4,  515--530, 2012.
[8]  Lijun Bo,Yongjin Wang  and Xuewei Yang, Some integral functionals of reflected SDEs and theirs applications in finance,  Quantitative Finance, vol. 11, No. 3, 343—348, 2011.
[7]  Qin Hu, Yongjin Wang and Xuewei Yang, The hitting time density for a reflected Brownian motion, Computational Economics , vol.40(1), 1-18, 2012.
[6]  Dan Tang, Yongjin Wang and Yuzhen Zhou,   Counterparty risk for Credit Default Swap with States Related Default  Intensity Processes, International Journal of Theoretical and Applied Finance, vol.14, No.8,  1335--1353, 2011.
[5]  Lijun Bo, Yongjin Wang and Xuewei Yang, Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment, International Journal of Theoretical and Applied Finance, vol. 14, No.6, 945-956, 2011.
[4]  Lijun Bo, Yongjin Wang and Xuewei Yang, Markov-modulated jump-diffusions for currency option pricing, Insurance: Math. & Economics  , vol.46(3), 461–469, 2010.
[3]  Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang, On conditional default probability in a regulated market: a structural approach,  Quantitative Finance, vol.11, No.12, 1695-1702, 2011.
[2]  Lijun Bo, Yongjin Wang, Xuewei Yang and Guannan Zhang, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, Journal of Statistical Planning and Inference , vol. 140, 588–596, 2010.
[1]  Lijun Bo, Yongjin Wang  and Xuewei Yang,   An optimal portfolio problem in a defaultable market, Adv.  Appl. Probability, vol.42, 689-705, 2010.
 
 (Mathematics and Stochastic Processes)
[32]  Lijun BoYongjin Wang, The pricing of basket options: A weak convergence approach,Operations Research Letters,vol. 45,  119–125, 2017.
[31]  Shiyu SongGuangli XuYongjin Wang,On first hitting times for skew CIR processes.Methodology and Computing in Applied Probability, vol. 18 , 169–180, 2016.
[30]  Shiyu SongSuxin WangYongjin Wang,First hitting times for doubly skewed Ornstein-Uhlenbeck processes,Statistics & Probability Letters, vol.96 , 212-222, 2015.
[29]  Suxin WangShiyu SongYongjin Wang,Skew Ornstein-Uhlenbeck processes and their financial applications,Journal of Computational & Applied Mathematicsvol.273 , 363–382, 2015. 
[28]  Lijun Bo, Yongjin Wang and Xuewei Yang, Stochastic portfolio optimization with default risk,  J. Math. Anal. And Appl. vol.397(2), 467-480, 2013.

[27]  Yiming Jiang, Xingchun Wang and Yongjin Wang, Stochastic wave equation of pure jumps: existence, uniqueness and invariant measures, Nonlinear  Anal. vol.75(13), 5123-5138, 2012.
[26]  Yiming Jiang, Xingchun Wang and Yongjin Wang, On a stochastic fractional partial differential equation with a fractional noise,  Stochastics,  vol.84(1), 21-36, 2012.
[25]  Yiming Jiang, Xinchun Wang, Yongjin Wang,  On a stochastic heat equation with first order fractional noises and applications to finance, J. Math. Anal. And Appl. 396(2), 656-669, 2012.
[24]  Lijun Bo and Yongjin Wang, On a stochastic interacting model with stepping-stone noises, Statistics and Probability Letter, 81(8), 1300-1305, 2011.
[23]  Lijun Bo, Kehua Shi and Yongjin Wang,   Variational solutions of dissipative jump-type stochastic evolution equations, J. Math. Anal. And Appl. vol.373(1), 111–126, 2011.
[22]  Lijun Bo,  Kehua Shi and Yongjin Wang,   Support theorem for a stochastic Cahn-Hilliard equation, Electron J. Probab. vol.15, no. 17, 484–525, 2010.
[21]  Dan Tang and Yongjin Wang, The stochastic wave equations driven by fractional and colored noises, Acta Math. Sin. (Engl. Ser.) vol.26, no. 6, 1055–1070, 2010.
[20]  Lijun Bo,  Kehua Shi and Yongjin Wang,   On a stochastic wave equation driven by a non-Gaussian Lévy process. J. Theor. Probab. vol.23, no. 1, 328–343, 2010.
[19]  Yiming Jiang, Kehua Shi and Yongjin Wang,   Large deviation principle for the fourth-order stochastic heat equations with fractional noise, Acta. Math. Sin. (Engl. Ser.) vol.26, no. 1,89–106, 2010.
[18]  Yiming Jiang and Kehua Shi  and Yongjin Wang,  Stochastic fractional Anderson models with fractional noises. Chinese Ann. Math. B.vol.31 , no. 1, 101–118, 2010.
[17]  Kehua Shi  and  Yongjin Wang, On a stochastic fractional partial differential equation driven by a Lévy space-time white noise. J. Math. Anal. And Appl. vol.364, no. 1, 119–129, 2010.
[16]  Yongjin Wang, Xiaoyu Xing and Wei Zhang, The stationary distributions of two classes of reflected Ornstein-Uhlenbeck processes. J. Appl. Prob. vol.46, no. 3,709–720, 2009.
[15]  Yiming Jiang, Yongjin Wang,Self-intersection local times and collision local times of bifractional Brownian motions. Sci. China Ser. A, vol.52, no. 9,1905–1919, 2009. 
[14]  Yiming Jiang, Kehua Shi and Yongjin Wang, Large deviation for stochastic Cahn-Hilliard partial differential equations. Acta Math. Sin. (Engl. Ser.) vol.25 , no. 7,1157, 2009.

[13]  Lijun Bo, Kehua Shi and Yongjin Wang, Approximating solutions of neutral stochastic evolution equations with jumps, Sci. China Ser. A, vol.52, no. 5,895–907, 2009.
[12]  Lijun Bo, Xueqiang Wang and Yongjin Wang, From Markov jump systems to two species competitive Lotka-Volterra equations with diffusion. Acta. Math. Sin. (Engl. Ser.) vol.25, no. 1, 157–170, 2009.
[11]  Lijun Bo, Kehua Shi and Yongjin Wang, Jump type Cahn-Hilliard equations with fractional noises, Chinese  Ann. Math. B. vol.29, no. 6, 663–678, 2008.
[10]  Lijun Bo, Yiming Jiang and Yongjin Wang, Stochastic Cahn-Hilliard equation with fractional noise, Stochastics and Dynamics vol.18(4): 643-665, 2008.
[9]  Lijun Bo, Yongjin Wang and Yiming Jiang, On a class of Stochastic Anderson Models with Fractional Noises, Stoch.  Anal. Appl. vol.26, 256-273, 2008.
[8]  Lijun Bo, Dan Tang and Yongjin Wang, Explosive solutions of stochastic wave e quations with damping on R, J.  Differntial Equations. vol.244, 170-187, 2008.
[7]  Lijun Bo, Liqing Yan and Yongjin Wang, Higher-order stochastic partial differential equations with branching noises, Frontiers of Mathematics in China, vol.3(1): 15-35, 2008.
[6]  Lijun Bo, Kehua Shi and Yongjin Wang, On a nonlocal stochastic Kuramoto-Sivashinsky equation with jumps, Stoch. & Dyn. vol.7(4), 439-457, 2007.
[5]  Juliang Yin and Yongjin Wang, Hilbert space-valued FB-SDEs with Poisson jumps and applications, J. Math. Anal. Appl. vol.328(1), 438-451, 2007.
[4]  Yiming Jiang and Yongjin Wang, On the collision local time of fractional Brownian motions, Chinese. Ann. Math. Ser. B vol.28, no. 3, 311-320, 2007.
[3]  Lijun Bo, Lidong Zhang, Yongjin Wang, On the first passage times of reflected O-U processes with two-sided barriers, Queueing Syst. vol.54, no. 4, 313-316, 2006.
[2]  Lijun Bo and Yongjin Wang, Stochastic Cahn-Hilliard partial differential equations with Lévy spacetime white noises, Stoch. & Dyn. vol.6, no. 2, 229-244, 2006.
[1]  Yongsheng  Xing and Yongjin Wang, On the extinction of a class of population-size-dependent bisexual branching processes, J. Appl. Probab. vol.42, no. 1, 175-184, 2005.       
 
(Since the year of  2005)

Projects

Research Grants

   1997, 01--2001, 12:  NSFC  (No. 19631060)
    2002, 01--2005, 12:  NSFC  (No. 10131040)
    2005, 01--2007, 12:  NSFC  (No. 10471003)
    2007, 01--2009, 12:  NSFC  (No. 10671036)
    2009, 01--2011, 12:  NSFC  (No. 10871103)
    2009, 01--2011, 12:  Keygrant Project of Chinese Ministry of

     Education (No. 309009)

  2013, 01--2016,12:   NSFC  (No. 11271203)

  2016, 01--2019,12:   NSFC  (No.71532001)

  2017, 01--2020,12:   NSFC  (No.11631004)

 (NSFC:  The Natural Science Foundation of China.)

 


Teaching

Future and Options,  Financial  Econometrics,   Structural Products and Asset Securitizations.