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  • 陈鹏展
  • 博士后
  • cpz@ustc.edu.cn
  • 统计与金融系
  • 金融
English

教育背景

2015年9月 - 20213月,中国科学技术大学,统计学(金融工程)博士学位

2011年9月 - 2015年6月,四川大学,双学士学位


研究方向

金融工程,计算金融,金融科技


发表论文

[10] Chen, P., & Song, Y. (2023). A general approximation method for optimal stopping and random delay. Mathematical Finance, forthcoming.

[9] Ye, W., Zhou, Y., Chen, P., & Wu, B. (2023). A simulation-based method for estimating systemic risk measures. European Journal of Operational Research, forthcoming.

[8] Ye, W., Yang, J., & Chen, P. (2023). Short-term stock price trend prediction with imaging high frequency limit order book data. International Journal of Forecasting, forthcoming.

[7] Ye, W., Wu, B., & Chen, P. (2023). Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure. Probability in the Engineering and Informational Sciences, 37(1), 245-274.

[6] Chen, P., & Song, Y. (2022). Irreversible investment with random delay and partial prepayment. Operations Research Letters, 50(5), 434-440.

[5] Ye, W., Chen, P., Shi, Y., & Liu, X. (2022). Trading restriction and the choice for derivatives. International Review of Financial Analysis, 82, 102118.

[4] Tan, K., Chen, Y., & Chen, P. (2022). Modeling maxima with a regime-switching Fréchet model. Journal of Risk, 25(2), 1-19.

[3] Ye, W., Xia, W., Wu, B., & Chen, P. (2022). Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. International Review of Financial Analysis, 83, 102277.

[2] Wu, B., Chen, P., & Ye, W. (2021). Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. Journal of Futures Markets, 41(7), 1055-1073.

[1] Chen, P., & Ye, W. (2021). Stochastic volatility model with correlated jump sizes and independent arrivals. Probability in the Engineering and Informational Sciences, 35(3), 513-531.



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