发表的论文有:
[1] Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model, Applied Mathematics and Computation, 2012, 219: 2909-2916. (SCI).
[2] Mixed copula model with stochastic correlation for CDO pricing, Economic Modelling, 2014, 40:167-174. (SSCI).
[3] 基于混合Copula的CDO定价模型. 高校应用数学学报,2013, 28(1):1-12. (核心一级).
[4] The mixed G-VG copula models and LHP approximation for CDO pricing, The 3rd International Conference on Computaional and Information Science, 2011.(EI).
[5] Mixed copula model with random recovery rate for CDO pricing, The 3rd International Conference on Computaional and Information Science, 2012.(EI).
[6] A dynamic copula for CDO pricing, the 3rd International Conference on Computational and Information Sciences, 2011. (EI).
[7] Most of returns of convertible funds in China come from a simple buy-and-hold strategy, The 3rd International Conference on Computaional and Information Science, 2012.(EI).
出版的书籍:
[1]《数理金融学》,浙江大学出版社,2020年第一版。