2014年1月至今任南京大学金融与保险学系助理教授 2013年获香港中文大学系统工程与工程管理学系哲学博士(金融工程)

教学方向 固定收益证券 资产定价 金融衍生品

金融工程 金融计量 金融合约理论

A new delta expansion for multivariate diffusions via the Ito-Taylor expansion (with Nan Chen and Xiangwei Wan). Journal of Econometrics, Vol.209(2), pp.256-288, 2019.

The principle of not feeling the boundary for the SABR model (with Nan Chen). Quantitative Finance, Vol.19(3), pp.427-436, 2019.

The survival probability of the SABR model: asymptotics and application (with Xiangwei Wan). Quantitative Finance, Vol.18(10), pp.1767-1779, 2018.

Pricing continuously monitored barrier options under the SABR model: A Closed-Form Approximation(with Yanchu Liu and Zhenyu Cui). Journal of Management Science and Engineering, Vol.2(2), pp.116–131, 2017.

Approximate arbitrage-free option pricing under the SABR model (with Nan Chen, Yanchu Liu, Xiangwei Wan). Journal of Economic Dynamics & Control, Vol.83, pp.198-214, 2017.