• 1
  • 2
  • 3
  • 4

当前位置:首页 > 教师与科研 > 教职员工

证券期货系

曾旭东 分享:

职  称:副教授

职  位:

研究兴趣:资产定价,投资组合,金融工程

教授课程

金融工程,期权定价,随机过程

科研成果

Dynamic Portfolio Choice with Stochastic Wage and Life Insurance, (with Yuling Wang, James M. Carson). North American Actuarial Journal. September, 2015. http://dx.doi.org/10.1080/10920277.2015.1041987. . Optimal Life Insurance under No-Borrowing Constraints: Duality Approach and Example, (with J. Carson, Q. Chen and Y. Wang), Scandinavian Actuarial Journal, March, 2015. http://dx.doi.org/10.1080/03461238.2015.1025822 · Optimal Reinsurance: Minimize the Expected Time to Reach a Goal. (with Shangzhen Luo, Mingming Wang), Scandinavian Actuarial Journal, February 2015, http://dx.doi.org/10.1080/03461238.2015.1015161 · 离散抽样方差互换定价研究, ( with 杜琨),管理科学学报,接收等待发表。2013。2015年11月正式发表。 (Pricing Discretely-Sampled Variance Swaps under A Class of SVJ Models (in Chinese). (with Kun Du), Journal of Management Science of China, Accepted, 2013. Published, 2015.11.) · Stochastic Pareto-Optimal Reinsurance Policies. (With Shangzhen Luo). Insurance: Mathematics and Economics 53, 671-677, 2013. · A Stochastic Volatility Model and Optimal Portfolio Selection. (With M. Taksar). Quantitative Finance 13, 1547-1558, 2013. · Optimal Non-proportional Reinsurance Control and Stochastic Differential Games. (With M. Taksar). Insurance: Mathematics and Economics 48, 64-71, 2011 · An Optimal Investment Model with Markov-Driven Volatilities. (With S. Luo). Quantitative Finance. 2011. DOI:10.1080/14697688.2011.596487 · Stochastic Differential Reinsurance Games. Journal of Applied Probability. 47, No. 2, 335-349, 2010. · Optimal Insurance with a Rescuing Procedure. Insurance: Mathematics and Economics. 46, No. 2, 397-405, 2010. · On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment. (With M.Taksar). SIAM J. Control Optim. 48, No. 5 (2009), 2984-3002. · Optimal Terminal Wealth under Partial Information: The Drift and Volatility Processes Driven by a Discrete Time Markov Chain. (With M. Taksar). SIAM J. Control Optim. 46, No. 4 (2007),1461-1482.

研究领域

资产定价,投资组合,金融工程

奖励、荣誉称号

主要研究项目

国家自然科学基金面上项目(2013-2016): 不完全市场模型下涉及寿险相关产品的最优资产组合 (71271127/G0115)

教育背景

南加州大学应用数学博士

Email: zeng.xudong@mail.shufe.edu.cn

欢迎关注我们的微信公众号

通讯地址:上海市国定路777号;办公地址:上海市武东路100号毓秀楼 邮编:200433

版权所有:上海财经大学金融学院 沪TCP备14012111号

;