Xin-Jiang He

Working experience

2024.01 -                 Professor, School of Economics, Zhejiang University of Technology, China

2021.01 -  2023.12, Special-term Professor, School of Economics, Zhejiang University of Technology, China

2018.06 - 2021.01, Lecturer (tenured), School of Mathematics and Applied Statistics, University of Wollongong, Australia.

2017.01 - 2018.06, Associate Lecturer, School of Mathematics and Applied Statistics, University of Wollongong, Australia.

Eduation

2014.07 - 2017.01, Doctor of Philosophy, School of Mathematics and Applied Statistics, University of Wollongong, Australia.

2010.09 - 2014.06, Bachelor of Science, Department of Mathematics, Donghua University, China.

1. X.-J. He and S. Lin*, A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching, Financial Innovation, 2024, in press. (SSCI: Q3; IF: 8.4)

2. X.-J. He and S. Lin*, A stochastic liquidity risk model with stochastic volatility and its applications to option pricing, Stochastic Models, 2024, online. (SCI: Q4; IF: 0.7)

3. X.-J. He* and S. Lin, Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure, Expert Systems with Applications, 246: 123203, 2024. (SCI: Q1; ABS: 1; IF: 8.6)

4. Z. Hu, B.-Z. Yang, X.-J. He* and J. Yue, Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks, Mathematics and Computers in Simulation, 219: 212-230, 2024. (SCI: Q1; IF: 4.6)

5. S. Huang, X.-J. He* and Shuqu Qian, An analytical approximation of European option prices under a hybrid GARCH-Vasicek model with double exponential jump in the bid-ask price economy, AIMS Mathematics, 9(5): 11833-11850, 2024. (SCI: Q1; IF: 2.2)

6. S. Lin, X. Lin, and X.-J. He*, Analytically pricing European options with a two-factor Stein-Stein model, Journal of Computational and Applied Mathematics, 440: 115662, 2024. (SCI: Q1; IF: 2.4)

7. X.-J. He and S. Lin*, Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure, Journal of Futures Markets, 43(7): 951-967, 2023. (SSCI: Q3; ABS: 3; IF: 1.9)

8. X.-J. He and S. Lin*, Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks, North American Journal of Economics and Finance, 67: 101918, 2023. (SSCI: Q2; ABS: 2; IF: 3.6)

9. P. Pasricha and X.-J. He*, Exchange options with stochastic liquidity risk, Expert Systems with Applications, 223: 119915, 2023. (SCI: Q1; ABS: 1; IF: 8.665)

10. X.-J. He and S. Lin*, Analytically pricing exchange options with stochastic liquidity and regime switching, Journal of Futures Markets, 43(5): 662-676, 2023. (SSCI: Q3; ABS: 3; IF: 1.9)

11. S. Lin and X.-J. He*, Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching, Expert Systems with Applications, 217: 119592, 2023. (SCI: Q1; ABS: 1; IF: 8.665)

12. X.-J. He and S. Lin*, A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing, Expert Systems with Applications, 212: 118742, 2023. (SCI: Q1; ABS: 1; IF: 8.665)

13. S. Huang and X.-J. He*, Analytical approximation of European option prices under a new two-factor non-affine stochastic volatility model, AIMS Mathematics, 8(2): 4875-4891, 2023. (SCI: Q1; IF: 2.739)

14. P. Pasricha and X.-J. He*, A simple European option pricing formula with a skew Brownian motion, Probability in the Engineering and Informational Sciences, 37(4): 1029-1034, 2023. (SCI: Q3; IF: 1.561)

15. X.-J. He and S. Lin*, A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching, Japan Journal of Industrial and Applied Mathematics, 40: 525-536, 2023. (SCI: Q4; IF: 0.682)

16. X.-J. He* and S.-P. Zhu, Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model, Expert Systems with Applications, 206: 117880, 2022. (SCI/SSCI: Q1; ABS: 1; IF: 8.665)

17. X.-J. He and S. Lin*, Volatility swaps valuation under a modified risk-neutralized Heston model with a stochastic long-run variance level, ANZIAM Journal, 64(3): 250-263, 2022. (SCI: Q4; IF: 0.717)

18. X.-J. He and S. Lin*, An accurate approximation to barrier option prices with discrete fixed-amount dividends: nonlinear dynamics, Expert Systems with Applications, 204: 117543, 2022. (SCI/SSCI: Q1; ABS: 1; IF: 8.665)

19. P. Pasricha and X.-J. He*, Skew-Brownian motion and pricing European exchange options, International Review of Financial Analysis, 82: 102120, 2022. (SSCI: Q1; ABS: 3; IF: 8.235)

20. P. Pasricha, S.-P. Zhu and X.-J. He*, A closed-form pricing formula for European options in an illiquid asset market, Financial Innovation, 8: 30, 2022. (SSCI: Q1; IF: 6.793)

21. M. Alfeus, X.-J. He* and S.-P. Zhu, An empirical analysis of option pricing with short sell bans, International Journal of Theoretical and Applied Finance, 25(3): 2250012, 2022. (ESCI; ABS: 2)

22. X.-J. He and S. Lin*, A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level, Soft Computing, 26: 3939-3946, 2022. (SCI: Q2; IF: 3.732)

23. P. Pasricha, S.-P. Zhu and X.-J. He*, A closed-form pricing formula for European options with market liquidity risk, Expert Systems with Applications, 189: 116128, 2022. (SCI/SSCI: Q1; ABS: 1; IF: 8.665)

24. M. Alfeus*, X.-J. He and S.-P. Zhu, Regularization effect on model calibration, Journal of Risk, 24(3): 1-27, 2022. (SSCI: Q4; ABS: 2; IF: 0.915)

25. S. Huang and X.-J. He*, An analytical approximation formula for European option prices under a liquidity-adjusted non-affine stochastic volatility model, AIMS Mathematics, 7(6): 10364-10377, 2022. (SCI/SSCI: Q1; IF: 2.739)

26. X.-J. He and W.-T. Chen*, Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching, IMA Journal of Management Mathematics, 33: 255-272, 2022. (SSCI: Q2; ABS: 2; IF: 2.095)

27. W.-T. Chen, X.-J. He and S. Lin*, Pricing credit default swaps with Parisian and Parasian default mechanics, Communications in Statistics - Simulation and Modelling, 51(2): 421-431, 2022. (SCI/SSCI: Q3; IF: 1.162)

28. S. Lin and X.-J. He*, Analytically pricing European options under a new two-factor Heston model with regime switching, Computational Economics, 59: 1069-1085, 2022. (SSCI: Q3; ABS: 1; IF: 1.741)

29. X.-J. He and S. Lin*, An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model, Computational Economics, online, 2021. (SSCI: Q3; ABS: 1; IF: 1.741)

30. B.-Z. Yang and X.-J. He* and S.-P. Zhu, Continuous time mean-variance-utility portfolio problem and its equilibrium strategy, Optimization, online, 2021. (SCI: Q1; ABS:1; IF: 2.456)

31. X.-J. He and S. Lin*, A fractional Black-Scholes model with stochastic volatility and European option pricing, Expert Systems with Applications, 178: 114983, 2021. (SCI/SSCI: Q1; ABS: 1; IF: 8.665)

32. S. Lin and X.-J. He*, A new integral equation approach for pricing American-style barrier options with rebates, Journal of Computational and Applied Mathematics, 383: 113107, 2021. (SCI/SSCI: Q1; IF: 2.872) 

33. S. Lin and X.-J. He*, A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model, Chaos, Solitons & Fractals, 144: 110644, 2021. (SCI/SSCI: Q1; IF: 9.922)

34. X.-J. He and S. Lin*, An Analytical Approximation Formula for the Pricing of Credit Default Swaps with Regime Switching, ANZIAM Journal, 63: 143-162, 2021. (SCI/SSCI: Q4; IF: 0.717)

35. X.-J. He and W.T. Chen*, A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean, Mathematics and Financial Economics, 15: 381-396, 2021. (SCI/SSCI: Q4; IF: 1.219)

36. B.-Z. Yang, X.-J. He and N.-J. Huang*, Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory, Applied Mathematics and Optimization, 84: 1209-1237, 2021. (SCI/SSCI: Q1; IF: 2.194)

37. X.-J. He and W.-T. Chen*, A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching, International Journal of Finance and Economics, 26: 343-352, 2021. (SSCI: Q4; ABS: 3; IF: 1.634) 

38. X.-J. He and S.-P. Zhu*, A new algorithm for calibrating local regime-switching models, IMA Journal of Management Mathematics, 32(2): 237-255, 2021. (SSCI: Q2; ABS: 2; IF: 2.095)

39. X.-J. He and S.-P. Zhu*, A revised option pricing formula with the underlying being banned from short sell, Quantitative Finance, 20(6): 935-948, 2020. (SSCI: Q2; ABS: 3; IF: 1.986) 

40. S. Lin and X.-J. He*, Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching, Physica A: Statistical Mechanics and Its Applications, 537: 122714, 2020. (SCI/SSCI: Q2; IF: 3.778) 

41. S. Lin and X.-J. He*, A regime switching fractional Black-Scholes model and European option pricing, Communications in Nonlinear Science and Numerical Simulation, 85: 105222, 2020. (SCI/SSCI: Q1; IF: 4.186) 

42. X.-J. He and S. Lin*, A semi-analytical pricing formula for European options under the rough Heston-CIR model, ANZIAM Journal, 61: 431-445, 2019. (SCI/SSCI: Q4; IF: 0.717)

43. X.-J. He and S.-P. Zhu*, Analytical approximation formula for barrier option prices under the regime-switching model, Journal of Derivatives, 27(2): 108-119, 2019. (SSCI: Q4; ABS: 2; IF: 0.647)

44. X.-J. He* and S.-P. Zhu, An alternative form to calibrate the correlated Stein-Stein option pricing model, Computational and Applied Mathematics, 38: 68, 2019. (SCI: Q1; IF: 2.998) 

45. X.-J. He and W.-T. Chen*, An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model, Applications of Mathematics, 64(3): 367-382, 2019. (SCI: Q4; IF: 0.674)

46. X.-J. He and S.-P. Zhu*, Variance and volatility swaps under a two-factor stochastic volatility model with regime switching, International Journal of Theoretical and Applied Finance, 22(4): 1-19, 2019. (ESCI; ABS: 2)

47. W.-T. Chen, X.-J. He* and X. Qiu, Analytically pricing credit default swaps under a regime-switching model, Fluctuation and Noise Letters, 18(3): 1950021, 2019. (SCI/SSCI: Q3; IF: 1.652)

48. X.-J. He* and S.-P. Zhu, A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate, Computers & Mathematics with Applications, 76(9): 2223-2234, 2018. (SCI/SSCI: Q1; IF: 3.218)

49. X.-J. He and W.-T. Chen*, A Monte-Carlo based approach for pricing credit default swaps with regime switching, Computers & Mathematics with Applications, 76(7): 1758-1766, 2018. (SCI/SSCI: Q1; IF: 3.218)

50. S.-P. Zhu and X.-J. He*, A hybrid computational approach for option pricing, International Journal of Financial Engineering, 5(3), 1850021, 2018. (ESCI)

51. H. Fu, W.-T. Chen and X.-J. He*, On a class of estimation and test for long memory, Physica A: Statistical Mechanics and its Applications, 509: 906-920, 2018. (SCI/SSCI: Q2; IF: 3.778)

52. S.-P. Zhu* and X.-J. He, A new closed-form formula for pricing European options under a skew Brownian motion, European Journal of Finance, 24(12): 1063-1074, 2018. (SSCI: Q3; ABS: 3; IF: 1.903)

53. X.-J. He and S.-P. Zhu*, On full calibration of hybrid local volatility and regime-switching models, Journal of Futures Markets, 38(5): 586-606, 2018. (SSCI: Q3; ABS: 3; IF: 2.35)

54. S.-P. Zhu* and X.-J. He, An accurate approximation formula for pricing European options with discrete dividend payments, IMA Journal of Management Mathematics, 29(2): 175-188, 2018. (SSCI: Q2; ABS: 2; IF: 2.095)

55. S.-P. Zhu and X.-J. He*, A modified Black-Scholes pricing formula for European options with bounded underlying prices, Computers & Mathematics with Applications, 75: 1635-1647, 2018. (SCI/SSCI: Q1; IF: 3.218)

56. X.-J. He* and S.-P. Zhu, A closed-form pricing formula for European options under the Heston model with stochastic interest rate, Journal of Computational and Applied Mathematics, 335: 323-333, 2018. (SCI/SSCI: Q1; IF: 2.872)

57. S.-P. Zhu*, X.-J. He and X. Lu A new integral equation formulation for American put options, Quantitative Finance, 18(3): 483-490, 2018. (SSCI: Q2; ABS: 3; IF: 1.986)

58. X.-J. He and S.-P. Zhu*, How should a local regime-switching model be calibrated?, Journal of Economic Dynamics and Control, 78: 149-163, 2017. (SSCI: Q3; ABS: 3; IF: 1.62)

59. W.-T. Chen and X.-J. He*, Pricing credit default swaps under a multi-scale stochastic volatility model, Physica A: Statistical Mechanics and Its Applications, 468(15): 425-433, 2017. (SCI/SSCI: Q2; IF: 3.778)

60. X.-J. He and S.-P. Zhu*, An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching, Journal of Economic Dynamics and Control, 71: 77-85, 2016. (SSCI: Q3; ABS: 3; IF: 1.62)

61. X.-J. He and S.-P. Zhu*, An alternative form used to calibrate the Heston option pricing model, Computers & Mathematics with Applications, 71: 1831-1842, 2016. (SCI/SSCI: Q1; IF: 3.218)

62. X.-J. He and S.-P. Zhu*, Pricing European options with stochastic volatility under the minimal entropy martingale measure, European Journal of Applied Mathematics, 27(2): 233-247, 2016. (SCI/SSCI: Q2; IF: 1.444)

63. X.-J. He and W.-T. Chen*, The pricing of credit default swaps under a generalized mixed fractional Brownian motion, Physica A: Statistical Mechanics and Its Applications, 404(15): 26-33, 2014. (SCI/SSCI: Q2; IF: 3.778)

1.    2022.01-2024.12, The pricing of swaptions under multi-factor stochastic interest rate models, National Natural Science Foundation of China.

2.    2022.01-2024.12, The modelling of liquidity risk and its applications, Fundamental Research Funds for the Provincial Universities of Zhejiang