PhD Students (Co-)SUPERVISED
- Dr. Jianping Tang (Finance, SOE, XMU, 2017)
Thesis: Research on Financial Risk Contagion - based on Hawkes Jump-diffusion Model - Dr. Jufang Liang (Finance, WISE, XMU, 2016)
Thesis: Understanding Risk Management and Asset Allocation Functions of Futures Markets - Dr. Yuqiang Guo (Finance, WISE, XMU, 2016)
Thesis: The Interpretability and Predictability of Time-varying and Contagious Jumps to the Financial Markets
Master STUDENTS (CO-)SUPERVISED
- Tianyu Liu (Finance, WISE, XMU, 2017)
Thesis: Option-implied Density, Extreme Value Distribution and Tail Risk: Evidence from China's 50ETF Options Market - Yaojun Liu (Finance, WISE, XMU, 2017; Joint with UBS, London)
Thesis: Pricing and Hedging Options: A Numerical PDE Approach with Smoothing - Lujin Yu (Finance, WISE, XMU, 2017; Joint with Country Garden)
Thesis: Payback-backed Securities in China: A Framework for Pricing and Risk Factor Analysis - Xueling Wu (Insurance, SOE, XMU, 2017; Joint with Fubon Insurance)
Thesis: Modelling Claims of Automobile Insurance: A Copula Approach - Si Xiao (Finance, WISE, XMU, 2016)
Thesis: Liquidity Discount: Modeling and the Evidence of Chinese Listed Banks - Cui Liu (Finance, WISE, XMU, 2016)
Thesis: Jump-diffusion Processes with Shot-noise Effects in Option Pricing