数学科学学院

Resume

Yongjin Wang is a Professor of Mathematics, at School of Mathematical Sciences, Nankai University. His primary interest is in Probabilty Theory and Stochastic Processes, which inculdes those topics: Markov processes, branching processes and superproceses, SDEs and Stochastic partial differential equations, Reflected stochastic proceses and Skew processes, and their estimation problems.

Currently Professor Wang is also taking a position at School of Business, as a Professor of Financial Management. His interests in Business include Financial Engineering, Options pricing and Hedging, Credit risks- Modeling and Management, more recently include the interface of Operating Managment and Risk Hedeging with financial market.

He has published more than 100 academic articles in two areas ( Mathematics and Business), and he has ever visited a numerous of overseas Institutions, e.g. in Canada, USA，Australia, UK and in other countries, see the columns andin sequel .

Professor Wang began his teaching career in 1992, after he earned his PhD in Mathematics from Nankai University. He teached in Department of Mathematics (later named for School of Mathematical Sciences), Nankai University. He was promoted to associate professor in 1995, and full professor in 1998, respectively. During the period 2002 to 2008, he was in charge of adminstration duties in the School of Mathematical Sciences, as the Deputy Chair (2002-2003) and later as the Chair (2003-2008) . After 2008, he joined the School of Business, and started his academic reasearches in Financial Engineering and in stochastic process applications in Business as well. Now, he is holding the joint professor position with School of Mathematical Scineces and School of Business at Nankai University.

Professor Wang received his BA in Applied Math. from National University of Defense Technology (Changsha, China), and both his MS in Probabilty Theory and Mathematical Statistics, and his PhD in Probaility Theory and Stochastic Processes from Nankai University (Tianjin, China) .

Publications

Part I Mathematics, Probalility Theory and Stochastic Proceses

（Selected）

[32]Shiyu Song & Yongjin Wang, On first passage times of sticky reflecting diffusion processes with double exponential jumps. 【J. Appl. Prob.】, 57(1), 221-236, 2020.

[31]Suxin Wang, Yiming Jiang & Yongjin Wang, Stochastic partial differential equation with reflection driven by fractional noises, 【Stochastics】, 92:1, 46-66, 2020.

[30]Jiang Y, Song S, Wang Y.， Some explicit results on one kind of sticky diffusion，【J. Appl. Prob.】56(2): 398-415, 2019.

[29]王永进, 徐光利, 宋世禹. 斜扩散过程的构造、性质及其应用, 【中国科学:数学】,49(3), 214-231, 2019
[28] Lijun Bo，Yongjin Wang, The pricing of basket options: A weak convergence approach,  【Operations Research Letters】,Vol. 45, 119–125, 2017.
[27]Shiyu Song，Guangli Xu，Yongjin Wang,On first hitting times for skew CIR processes. 【Methodology and Computing in Appl. Prob.】, Vol. 18 , 169–180, 2016.
[26] Suxin Wang，Shiyu Song，Yongjin Wang,Skew Ornstein-Uhlenbeck processes and their financial applications,【J. Comput. & Appl. Math.】, 273 , 363–382, 2015.
[25] Lijun Bo, Yongjin Wang and Xuewei Yang, Stochastic portfolio optimization with default risk, 【 J. Math. Anal.  Appl.】 vol.397(2), 467-480, 2013.
[24] Yiming Jiang, Xingchun Wang and Yongjin Wang, Stochastic wave equation of pure jumps: existence, uniqueness and invariant measures, 【Nonlinear Anal.】 vol.75(13), 5123-5138, 2012.
[23] Yiming Jiang, Xingchun Wang and Yongjin Wang, On a stochastic fractional partial differential equation with a fractional noise, 【Stochastics】, vol.84(1), 21-36, 2012.
[22] Yongjin Wang, Yiming Jiang and Xinchunwang, On a stochastic heat equation with first order fractional noises and applications to finance, 【J. Math. Anal. Appl.】 vol.396(2), 656-669, 2012.
[21] Lijun Bo and Yongjin Wang, On a stochastic interacting model with stepping-stone noises, 【Stat. & Prob. Letters】, vol.81(8), 1300-1305, 2011.
[20] Lijun Bo, Kehua Shi and Yongjin Wang,   Variational solutions of dissipative jump-type stochastic evolution equations, 【J. Math. Anal. Appl.】 vol.373(1)111–126, 2011.
[19] Lijun Bo, Kehua Shi and Yongjin Wang,   Support theorem for a stochastic Cahn-Hilliard equation, 【Electron J. Probab.】 vol.15, no. 17, 484–525, 2010.

[18] Lijun Bo, Kehua Shi and Yongjin Wang, On a stochastic wave equation driven by a non-Gaussian Lévy process. 【J. Theor. Prob.】 vol.23, no. 1, 328–343, 2010.

[17] Lijun Bo, Yongjin Wang and Xuewei Yang, An optimal portfolio problem in a defaultable market, 【Adv. Appl. Prob.】, vol.42, 689-705, 2010.

[16] Yiming Jiang and Kehua Shi and Yongjin Wang, Stochastic fractional Anderson models with fractional noises. 【Chinese Ann. Math. B.】vol.31 , no. 1, 101–118, 2010.

[15] Lijun Bo, Yongjin Wang, Xuewei Yang and Guannan Zhang, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, 【J. Stat. Planning and Inference 】, vol. 140, 588–596, 2010.

[14] Kehua Shi and Yongjin Wang, On a stochastic fractional partial differential equation driven by a Lévy space-time white noise.【 J. Math. Anal. Appl.】 vol.364, no. 1, 119–129, 2010.
[13] Yongjin Wang, Xiaoyu Xing and Wei Zhang, The stationary distributions of two classes of reflected Ornstein-Uhlenbeck processes. 【J. Appl. Prob.】 vol.46, no. 3,709–720, 2009.
[12] Yiming Jiang, Yongjin Wang,Self-intersection local times and collision local times of bifractional Brownian motions. 【Sci. China Ser. A】, vol.52, no. 9,1905–1919, 2009.
[11] Lijun Bo, Kehua Shi and Yongjin Wang, Approximating solutions of neutral stochastic evolution equations with jumps, 【Sci. China Ser. A】, vol.52, no. 5,895–907, 2009.
[10] Lijun Bo, Xueqiang Wang and Yongjin Wang, From Markov jump systems to two species competitive Lotka-Volterra equations with diffusion. 【Acta. Math. Sin. (Engl. Ser.) 】vol.25, no. 1, 157–170, 2009.
[9] Lijun Bo, Yiming Jiang and Yongjin Wang, Stochastic Cahn-Hilliard equation with fractional noise, 【Stochastics and Dynamics】 vol.18(4): 643-665, 2008.
[8] Lijun Bo, Yongjin Wang and Yiming Jiang, On a class of Stochastic Anderson Models with Fractional Noises, 【Stoch. Anal. Appl.】 vol.26, 256-273, 2008.
[7] Lijun Bo, Dan Tang and Yongjin Wang, Explosive solutions of stochastic wave e quations with damping on R, 【J. Differntial Equations.】 vol.244, 170-187, 2008.
[6] Lijun Bo, Liqing Yan and Yongjin Wang, Higher-order stochastic partial differential equations with branching noises, 【Frontiers of Math. in China】, vol.3(1): 15-35, 2008.
[5] Lijun Bo, Kehua Shi and Yongjin Wang, On a nonlocal stochastic Kuramoto-Sivashinsky equation with jumps, 【Stoch. & Dyn.】 vol.7(4), 439-457, 2007.
[4] Bo L. J., Wang Y.J, Zhang, L. D, On the first passage times of reflected O-U processes with two-sided barriers, 【Queueing Syst.】 vol.54, no. 4, 313-316, 2006.
[3] Lijun Bo and Yongjin Wang, Stochastic Cahn-Hilliard partial differential equations with Lévy spacetime white noises, 【Stoch. & Dyn.】 vol.6, no. 2, 229-244, 2006.
[2] Y. S. Xing and Yongjin Wang, On the extinction of a class of population-size-dependent bisexual branching processes, 【J. Appl. Probab.】 vol.42, no. 1, 175-184, 2005.

[1]Yongjin Wang, An alternative approach to super-Brownian motion with a locally infinite branching mass. 【Stoch.Proc. Appl.】, 102 (2) , 221–233, 2002.

。。。。。。

Part II Business, Financial Management

[23]Kailin Ding, Zhenyu Cui & Yongjin Wang, A Markov chain approximation scheme for option pricing under skew diffusions, 【Quantitative Finance】, 21(3), 461–480, 2021.

[22]Shiyu Song, Guanying Wang & Yongjin Wang, Pricing European options under a diffusion model with psychological barriers and leverage effect.【European J. Finance】, 26:12, 1184-1206, 2020.

[21]Shiyu Song, Yongjin Wang & Guangli Xu, On the probability of default in a market with price clustering and jump risk. 【Math. Finan. Econ. 】14, 225–247, 2020.

[20]Lijun Bo; Dan Tang; Yongjin Wang, Optimal investment of variance-swaps in jump-diffusion market with regime-switching. 【J. Econ. Dyn. & Control】 83, 175–197, 2017.

[19] Shiyu Song，Yongjin Wang, Pricing Double Barrier Options under a Volatility Regime-switching Model with Psychological Barriers. 【Review of Derivatives Research】, 20(3), 255-280, 2017.

[18] Xingchun Wang，Shiyu Song，Yongjin Wang,The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk.【Journal of Futures Markets】, 37(5), 499-521, 2017.

[17] Xiaoyang Zhuo，Guangli Xu，Yongjin Wang, The Issuer-pays Business Model and Competitive Rating Market: Rating Network Structure.【Journal of Real Estate Finance & Economics】, 52, 2016.

[16] Guangli Xu，Shiyu Song，Yongjin Wang, The Valuation of Options on Foreign Exchange Rate in a Target Zone.【Inter. J. Theo. & Applied Finance】, 19 (3),2016.

[15] Xingchun Wang，Jianping Fu，Guanying Wang，Yongjin Wang, Quadratic hedging strategies for volatility swaps.【Finance Research Letters】, 15:125-132, 2015.

[14] Xindan Li, Dan Tang, Yongjin Wang and Xuewei Yang, Optimal processing rate and buffer size of a jump-diffusion processing system, 【Annals of Operations Research】 vol. 217, 319-335，2014.

[13] Xingchun Wang and Yongjin Wang, Hedging strategies for discretely monitored Asian options under Lévy processes, 【J. Industrial Management Optimizations】vol. 10, no. 4, 1209–1224，2014.

[12] Guanying Wang, Xingchun Wang and Yongjin Wang, Rare shock, two-factor stochastic volatility and currency option pricing, 【Appl. Math. Finance】 vol.21, no. 1, 32–50, 2014.

[11] Xingchun Wang and Yongjin Wang , Variance-optimal hedging for target volatility options, 【J. Industrial Management Optimizations】 vol.10, no. 1, 207–218, 2014.

[10] Lihui Tian, Guanying Wang, Xingchun Wang, Yongjin Wang, Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes, 【 Journal of Futures Markets】 vol.34, No. 10, 957-979，2014.
[9] Lijun Bo, Xindan Li , Yongjin Wang, Xuewei Yang , On the conditional default probability in a regulated market with jump risk, 【Quantitative Finance】 vol. 13, no. 12, 1967–1975，2013.

[8] Lijun Bo, Yongjin Wang and Xuewei Yang , Kernel-correlated Lévy field driven forward rate and application to derivative pricing, 【Appl. Math. Optimizations 】 68 (1) 21–41，2013.

[7] Jianping Fu, Xingchun Wang and Yongjin Wang, Credit Spreads, Endogenous Bankruptcy and Liquidity Risk,【Computational Management Sciences】, vol. 9, No. 4, 515--530, 2012.
[6] Lijun Bo,Yongjin Wang and Xuewei Yang, Some integral functionals of reflected SDEs and theirs applications in finance, 【Quantitative Finance】, vol. 11, No. 3, 343—348, 2011.
[5] Qin Hu, Yongjin Wang and Xuewei Yang, The hitting time density for a reflected Brownian motion, 【Computational Economics 】, vol.40(1), 1-18, 2012.
[4] Dan Tang, Yongjin Wang and Yuzhen Zhou, Counterparty risk for Credit Default Swap with States Related Default Intensity Processes, 【Inter. J. Theo. and Applied Finance】, vol.14, No.8, 1335--1353, 2011.
[3] Lijun Bo, Yongjin Wang and Xuewei Yang, Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment, 【Inter. J. Theo.and Applied Finance】, vol. 14, No.6, 945-956, 2011.

[2] Lijun Bo, Yongjin Wang and Xuewei Yang, Markov-modulated jump-diffusions for currency option pricing, 【Insurance: Math. & Economics 】 , vol.46(3), 461–469, 2010.

[1] Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang, On conditional default probability in a regulated market: a structural approach, 【Quantitative Finance】, vol.11, No.12, 1695-1702, 2011.