姓名：阎冬

专业：金融数学

系别：数量金融系

电子邮件：dyan@uibe.edu.cn

教育背景：

2016-2021年 University of Wollongong, Australia 金融数学专业，理学博士

2010-2016年 Institute National des Sciences Appliqués, France 法国工程师之应用数学专业硕士

工作经历：

2021年9月至今 对外经济贸易大学 统计学院 讲师

教授课程：

数理金融学；运筹学；大学数学

研究领域：

数理金融，金融衍生品定价，最优投资组合，随机过程，数值计算等

主要论文发表：

1. Xiaoping Lu, Song-Ping Zhu and Dong Yan*. Non-linear PDE model for European options with transaction costs under Heston stochastic volatility. Communications in Nonlinear Science and Numerical Simulation 103 (2021): 105986.

2. Dong Yan, Song-Ping Zhu* and Xiaoping Lu, A numerical study of the utility-indifference approach for pricing American options. Computers and Mathematics with Applications 80(5) (2020): 894-905.

3. Dong Yan and Xiaoping Lu*. Utility-indifference pricing of European options with proportional transaction costs. Journal of Computational and Applied Mathematics 397 (2021): 113639.

4. Xiaoping Lu, Dong Yan* and Song-Ping Zhu. Optimal exercise of American puts with transaction costs under utility maximization. Applied mathematics and computation 415 (2022): 126684.

5. Dong Yan, Sha Lin*, Zhihao Hu and Ben-Zhang Yang. Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. Chaos, Solitons and Fractals 163 (2022): 112581.

6. Dong Yan. A comprehensive study of option pricing with transaction costs. Bulletin of the Australian Mathematical Society, First View (2022): 1-3.

7. Ren-Jie Han, Qing-Gang Tian, Dong Yan* and Ben-Zhang Yang. Valuation of European crude oil options with co-jump diffusions and stochastic interest rate. Submitted to the Journal of Industrial and Management Optimization, in revision (2022).