陈鹏展

2023-10-26 | 查看: 10


姓名

陈鹏展

职称

特任副研究员

学历/学位

研究生/博士

邮箱

cpz@ustc.edu.cn

主要研究方向

金融工程、金融风险管理

基本情况:

陈鹏展,男,汉族,中共党员。研究兴趣主要是不确定条件下复杂系统的决策问题,包括不可逆投资、风险度量、低碳运作等。研究成果发表在Mathematical FinanceEuropean Journal of Operational ResearchOperations Research Letters等国际期刊。主持中国博士后科学基金面上项目一项,参与国家自然科学基金项目三项。

工作经历:

2023年-至今,中国科学技术大学,公共事务学院,特任副研究员

2021年-2023年,中国科学技术大学,统计与金融系,博士后

教育背景:

2015年-2021年,中国科学技术大学,统计与金融系,理学博士

2013年-2015年,四川大学,经济学院,经济学学士(辅修)

2011年-2015年,四川大学,化学工程学院,工学学士

学术论文:

[1]P. Chen, and Y. Song. (2023) A General Approximation Method for Optimal Stopping and Random Delay. Mathematical Finance. Forthcoming.

[2]W. Ye, Y. Zhou, P. Chen, and B. Wu. (2023) A Simulation-Based Method for Estimating Systemic Risk Measures. European Journal of Operational Research. Forthcoming.

[3]W. Ye, J. Yang, and P. Chen. (2023) Short-Term Stock Price Trend Prediction with Imaging High Frequency Limit Order Book Data. International Journal of Forecasting. Forthcoming.

[4]W. Ye, B. Wu, P. Chen. (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.

[5]P. Chen, and Y. Song. (2022) Irreversible Investment with Random Delay and Partial Prepayment. Operations Research Letters, 50(5), 434-440.

[6]W. Ye, P. Chen, Y. Shi, and X. Liu. (2022) Trading Restriction and the Choice for Derivatives. International Review of Financial Analysis, 82, 102118.

[7]W. Ye, W. Xia, B. Wu, and P. Chen. (2022) Using Implied Volatility Jumps for Realized Volatility Forecasting: Evidence from the Chinese Market. International Review of Financial Analysis, 83, 102277.

[8]K. Tan, Y. Chen, P. Chen. (2022) Modeling Maxima with a Regime-Switching Fréchet Model. Journal of Risk, 25(2) , 1-19.

[9]B. Wu, P. Chen, and W. Ye. (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.

[10]P. Chen, W. Ye. (2021) Stochastic Volatility Model with Correlated Jump Sizes and Independent Arrivals. Probability in the Engineering and Informational Sciences, 35(3), 513-531.

[11]叶五一, 陆欣, 陈鹏展. (2021) 中国波指隐含的波动率风险溢价研究:基于带跳随机波动率模型的实证分析. 系统工程学报, 待刊.

科研项目:

[1]中国博士后科学基金第72批面上资助(No. 2022M723018),项目主持人,2023.01-2024.12

[2]校青年创新基金,项目主持人,2023.01-2024.12