Yongjin WANG

Professor
Financial Management

Email：yjwang@sqdhcn.com

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 Xu，Shiyu Song，Yongjin Wang, The Valuation of Options on Foreign Exchange Rate in a Target Zone.【International Journal of Theoretical & Applied Finance】, 19 (3), 2016.
[17] Xingchun Wang，Jianping Fu，Guanying Wang，Yongjin 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, 319-335，2014.
[15] Xingchun Wang, Yongjin Wang, Hedging strategies for discretely monitored Asian options under Lévy processes,  【J. Industrial Management Optimizations】vol. 10, no. 4, 1209–1224，2014.
[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 Bo，Yongjin Wang, The pricing of basket options: A weak convergence approach,【Operations Research Letters】,vol. 45, 119–125, 2017.
[31] Shiyu Song，Guangli Xu，Yongjin Wang,On first hitting times for skew CIR processes.【Methodology and Computing in Applied Probability】, vol. 18 , 169–180, 2016.
[30] Shiyu Song，Suxin Wang，Yongjin Wang,First hitting times for doubly skewed Ornstein-Uhlenbeck processes,【Statistics & Probability Letters】, vol.96 , 212-222, 2015.
[29] Suxin Wang，Shiyu Song，Yongjin Wang,Skew Ornstein-Uhlenbeck processes and their financial applications,【Journal of Computational & Applied Mathematics】, vol.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.

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