教师队伍

宋世禹

2019-06-02 23:51

宋世禹

  • 职称:

  • 讲师

  • 院系:

  • 数学系

  • 电子邮箱:


  • 办公地点:

  • 北洋园校区32教407

             

研究方向

随机过程理论,金融衍生品定价

教育背景

2005.09 - 2009.06     电子科技大学     学士
2009.09 - 2012.06     南开大学     硕士
2012.09 - 2016.06     南开大学     博士

工作经历

2014.08 - 2015.07     University of Illinois at Urbana-Champaign,      联合培养博士生;    
2016.10 - 今     天津大学数学学院     讲师;    
2018.02 - 2019.02  National University of Singapore, Visiting Research Fellow;    
    

教学工作

开设课程    
本科生课程     《高等数学》《测度论》

科研工作

基金项目     身份
2013-2016     国家自然科学基金面上项目:典型类随机过程的现代理论研究及其在信用风险中的应用     参与人
2016-2019     国家自然科学基金面上项目:几类随机(偏)微分方程的理论性质与参数估计     参与人
2019-2021 国家青年自然科学基金项目:关于粘性斜扩散过程及其应用的研究 主持人

主要荣誉

学术兼职

其它

发表论文

  •    

    1.(with Yiming Jiang and Yongjin Wang) Some explicit results on one kind of sticky diffusion. Journal of Applied Probability.(Accepted)

  •    

    2.(with Yiming Jiang and Yongjin Wang) Pricing European vanilla options under a jump-to-default threshold diffusion model. Journal of Computational and Applied Mathematics.344(2018): 438–456

  •    

    3.(with Xingchun Wang and Yongjin Wang) The valuation of power exchange options with counterparty risk and jump risk, Journal of Futures Markets, 37(2017): 499-521  (SSCI)

  •    

    4.(with Yongjin Wang) Pricing double barrier options under a volatility regime-switching model with psychological barriers, Review of Derivatives Research, 20 (2017): 255-280  (SSCI)

  •    

    5.(with Suxin Wang and Yongjin Wang) On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media, Physica A-Statistical Mechanics and Its Applications, 456(2016): 90-105

  •    

    6.(with Guangli Xu and Yongjin Wang) The valuation of options on foreign exchange rate in a target zone, International Journal of Theoretical and Applied Finance, 19(2016): 1-19

  •    

    7.(with Guangli Xu and Yongjin Wang) Some properties of doubly skewed CIR processes, Journal of Mathematical Analysis and Applications, 434(2016): 1194-1210

  •    

    8.(with Suxin Wang and Yongjin Wang) Skew Ornstein-Uhlenbeck processes and their financial applications, Journal of Computational and Applied Mathematics, 273(2015): 363-382

  •    

    9.(with Suxin Wang and Yongjin Wang) First hitting times for doubly skewed Ornstein-Uhlenbeck processes, Statistics & Probability Letters, 96(2015): 212-222


Contact us

Add:Building 32, The School of Mathematics, Tianjin University Beiyangyuan Campus,

        No. 135, Ya Guan Road, Jinnan District, Tianjin, PRC 

Tel:022-27402850   Mail:math@tju.edu.cn