Department of Statistics and Finance
Joined University of Science and Technology of China in 2021
2011 - 2015，Sichuan University, B.S.
2015 - 2021，University of Science and Technology of China, Ph.D.
Financial Engineering, Computational Finance and FinTech.
 Chen, P., & Song, Y.* (2023). A general approximation framework for optimal stopping and random delay. Mathematical Finance, forthcoming.
 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.
 Chen, P., & Song, Y.* (2022). Irreversible investment with random delay and partial prepayment. Operations Research Letters, 50(5), 434-440.
 Ye, W., Chen, P., Shi, Y.*, & Liu, X. (2022). Trading restriction and the choice for derivatives. International Review of Financial Analysis, 82, 102118.
 Tan, K., Chen, Y.*, & Chen, P. (2022). Modeling maxima with a regime-switching Fréchet model. Journal of Risk, 25(2), 1-19.
 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.
 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.
 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.