He, Xinjiang Dr

Lecturer

Top Publications


    Year Title
    2017 How should a local regime-switching model be calibrated?
    Published in   Journal of Economic Dynamics and Control
    2016 An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
    Published in   Journal of Economic Dynamics and Control

Research Overview


  • Dr. He has published 10 papers in top international journals. His major research interest is in all aspects of Mathematical Finance, including derivative pricing, model calibration, and portfolio selection. In particular, he is interested in developing analytical and numerical methods for pricing different types of financial derivatives, such as options and credit default swaps. He is also interested in establishing and using algorithms for the calibration of different models.

Available for Collaborative Projects

Selected Publications


Advisees


  • Graduate Advising Relationship

    Degree Research Title Advisee
    Doctor of Philosophy The American put options under modified Black-Scholes models Qiu, Xinzi
    Doctor of Philosophy Pricing American Options in a Two-Stage Regime-Switching Economy Davis, Ashlee

Keywords


  • Financial Mathematics; Partial Differential Equations; Numerical Analysis; Asymptotic Analysis; Integral Equations; Inverse problems; Optimization.

Top Publications


    Year Title
    2017 How should a local regime-switching model be calibrated?
    Published in   Journal of Economic Dynamics and Control
    2016 An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
    Published in   Journal of Economic Dynamics and Control

Research Overview


  • Dr. He has published 10 papers in top international journals. His major research interest is in all aspects of Mathematical Finance, including derivative pricing, model calibration, and portfolio selection. In particular, he is interested in developing analytical and numerical methods for pricing different types of financial derivatives, such as options and credit default swaps. He is also interested in establishing and using algorithms for the calibration of different models.

Selected Publications


Advisees


  • Graduate Advising Relationship

    Degree Research Title Advisee
    Doctor of Philosophy The American put options under modified Black-Scholes models Qiu, Xinzi
    Doctor of Philosophy Pricing American Options in a Two-Stage Regime-Switching Economy Davis, Ashlee

Keywords


  • Financial Mathematics; Partial Differential Equations; Numerical Analysis; Asymptotic Analysis; Integral Equations; Inverse problems; Optimization.

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