About
EducationJune, 1992, PhD in Probability Theory and Stochastic Processes, Nankai University, Tianjin, China June, 1989, MS in Probability Theory and Mathematical Statistics, Nankai University, Tianjin, China July, 1986, BA in Applied Mathematics, National University of Defense Technology, Changsha, China WorkExperienceYongjin Wang is currently a professor at School of Mathematical Scineces and jointly at School of Business at Nankai University. In 2008, he joined the School of Business, and started his reserach works in Financial Engineering, and stochastic processes applications in Business. In 2002 , he was appointed to the Deputy Chair (2002-2003) and respectively in 2003, to the Chair (2003-2008) of the School of Mathematical Sciences at Nankai University. In 1998, he was promoted to full professor in Mathematics, in 1995, he was promoted to associate professor in Mathematics, In 1992, he began his teaching career, and as a lecturer worked in Department of Mathematics (later named for School of Mathematical Sciences), Nankai University. ResumeYongjin 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 h 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) . Research FieldsProfessor Wang's primary interest in Mathematics 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 proceses, and the estimation problems on stochastic processes. Professor Wang's interest in Business (as a Professor of Financial Management in School of Business) is mainly on Financial Engineering, which inculdes Options Pricing and Hedging, Credit risks: Modeling and Management, more recently includes the interface of Operating Managment and Risk Hedeging with financial market. LecturesProjectsPublicationsPart 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 [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. [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. [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. [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. Academic ExchangeVisting Oversea Institutions 16. University of Iowa, Iowa City,Nov. 2019. 15. Rice University, Texas, June,2018, and Stanford University,August,2018. 14. Concordia University,Carleton University, and University of Waterloo, Canada,April,2017. 13. ESSEC (Singapore), October,2015. 12. University of North Carolina at Charlotte, and UIUC, March and April, 2015. 11. The National University of Singapore, June, 2012. 10. University of Manchester, and University of Oxford,August, 2011. 9. London School of Economics and Political Science, London, Oct. 2009 to March. 2010. 8. University of Oxford, and University of Manchester, Oct. 2007. 7. University of Melbourne, Oct. 2006 to Jan. 2007. 6. University of British Columbia, Vancouver, June,2005 to August,2005. 5. Carleton University, Ottawa, July and August, 2004. 4. University of British Columbia,Vancouver, August, 2001 to August, 2002. 3. University of British Columbia, Vancouver,July and August, 2000. 2. Fields Institute for Mathematical Sciences, University of Toronto, March and April, 1999. 1. Weierstrass Institute for Applied Analysis and Stochastics, Berlin, March and April, 1996. AwardsResearch Achievements |