刘彦初博士现就职于中山大学岭南(大学)学院,担任院长助理,金融学副教授,(应用经济学)硕士生导师。香港中文大学金融工程学博士、博士后,中国科学技术大学理学硕士与理学学士。主要研究兴趣为金融工程,金融科技,金融计量经济学,以及相关应用。在《管理科学学报》,《Operations Research》,《INFORMS Journal on Computing》,《Journal of Economic Dynamics and Control》,《European Journal of Operational Research》,《Journal of Futures Markets》,《Insurance: Mathematics and Economics》,《European Journal of Finance》,《Finance Research Letters》等国内外主流学术期刊上发表(含接收)论文二十余篇。目前主持国家自然科学基金青年项目,以及中央高校基本科研业务费项目等科研基金。相关研究曾获得2017年第九届中国决策科学学术年会优秀论文奖,第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖,岭南学院董事会“杰出科研贡献奖”等奖项。

 

教育背景

香港中文大学系统工程与工程管理学系,金融工程专业,哲学博士

中国科学技术大学统计与金融系,概率论与数理统计专业,理学硕士

中国科学技术大学统计与金融系,概率论与数理统计专业,理学学士

 

职业经历

2018年12月至今,中山大学岭南(大学)学院,院长助理

2018年4月至今,中山大学岭南(大学)学院金融系,副教授

2014年7月至2018年4月,中山大学岭南(大学)学院金融系,助理教授

2013年11月至2014年1月,香港中文大学系统工程与工程管理学系,博士后

2013年2月至2013年7月,香港中文大学系统工程与工程管理学系,博士后

 

研究成果

 

《基金竞争与泡沫资产配置的同群效应研究》,(与 刘京军,熊和平合作),《管理科学学报》,2018年第2期。 

 

American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach

with Nan Chen, Operations Research62 (3), 616-632. (2014) (UTD24, FT50)

 

On the Variance of Single-Run Unbiased Stochastic Derivative Estimators

with Zhenyu Cui, Michael Fu, Jianqiang Hu, Yijie Peng and Lingjiong Zhu, INFORMS Journal on Computing, forthcoming. (2019) (UTD24)

 

Robust Upper Bounds for American Put Options

with Ye Du and Shan Xue, Journal of Futures Markets, 39 (1), 3-14. (2019) (Lead Article)

 

Dynamic Risk-Sharing Game and Reinsurance Contract Design,

with Shumin Chen and Chengguo Weng, Insurance: Mathematics and Economics, forthcoming. (2019)

 

Vertical Merger, R&D Collaboration, and Innovation,

with Kaiguo Zhou and Runyu Yan, European Journal of Finance, forthcoming. (2019)

 

Risk Measures for Variable Annuities: a Hermite Series Expansion Approach,

with Zhenyu Cui, Jinhyoung Kim and Guanghua Lian, Journal of Management Science and Engineering, forthcoming. (2019)

 

Single Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

with Zhenyu Cui and Chihoon Lee, European Journal of Operational Research, 266 (3), 1134-1139. (2018). 

 

Approximate Arbitrage-Free Option Pricing under the SABR Model

with Nian Yang, Nan Chen, and Xiangwei Wan, Journal of Economic Dynamics and Control, 83, 198-214. (2017)

 

Index Futures Trading and Spot Volatility in China: a Semi-Parametric Approach with Range-Based Proxies,

with Na Tan, Yulei Peng, and Zhewen Pan, Journal of Futures Markets, 37, 1003-1030.  (2017)

 

Integral Representation of Vega for American Put Options

with Zhenyu Cui and Ning Zhang, Finance Research Letters, 19, 204-208. (2016)

 

Pricing Continuously Monitored Barrier Options under the SABR Model: a Closed-Form Approximaiton,

with Nian Yang and Zhenyu Cui, Journal of Management Science and Engineering, 2, 116-131. (2017) 

 

The Substitutability of Non-Fossil Energy, Potential Carbon Emission Reduction and Energy Shadow Prices in China

with Hualin Xie, Yanni Yu, and Wei Wang, Energy Policy, 107, 63-71. (2017)

 

The Energy Rebound Effects across China's Industrial Sectors: an Output Distance Function Approach

with Ke Li and Ning Zhang, Applied Energy, 184, 1165-1175. (2016)

 

Environmental Catching-Up, Eco-Innovation, and Technological Leadership in China's Pilot Ecological Civilization Zones

with Yanni Yu, Wenjie Wu, and Tao Zhang, Technological Forecasting & Social Change, 112, 228-236. (2016)

 

A Variant of L^#-Convexity and Its Application to Inventory Models with Batch Ordering

with Zhiyuan Chen, Yi Yang, and Yun Zhou, Asia-Pacific Journal of Operational Research, 31(6), 1-16. (2014)

 

Network Analysis to Uncover Stock Comovement from a Chinese Financial Portal

with Wuyue Shangguan, Xi Chen, and Alvin Chung Man Leung, Pacific Asia Conference on Information Systems (PACIS) 2016 Proceedings, 302. (2016)

 

Sensitivity Estimation of SABR Model via Derivative of Random Variables

with Nan Chen, Proceedings of the 2011 Winter Simulation Conference3871-3881. (2011)

 

《Lévy过程下金融期权风险对冲参数的模拟仿真估计》,(与 刘刚,谢金贵,崔振嵛合作),《中国科学技术大学学报》,Vol. 47,No. 3, 262-266。(2017) 

 

《比特币交易市场的风险对冲功能研究》,(与 赵飞霞,陈南合作),《金融前沿》,Vol. 1,No. 1, 64-81。(2017) 

 

《股指期货套期保值率的小波分析方法》,(与 王欣,方兆本合作),《预测》,Vol. 28,No. 6, 60-64。(2009) 

 

主持如下科研项目:

1. 国家自然科学基金青年项目,2016.01-2018.12, 主持,在研。

2. 中央高校基本科研业务费,2015.01-2017.12,主持,在研。

3. 广东省创新团队项目,子课题,2017.01-2019.12,主持,在研。

 

当前研究

Simulation-Based Asset Pricing and Risk Management;

FinTech;

Analytical Approximation Methods in Financial Engineering;

Empirical Asset Pricing with Machine Learning Methods; 

Systemic Risk Assessment and Mitigation Methods.

 

教授课程

本科课程:Financial Engineering(英);

金融专硕课程:投资学, 金融衍生工具,行为金融学;

博士课程:行为金融,实证金融,金融学前沿讲座,学术论文写作;

MBA课程:行为金融;

EDP课程:金融科技创新,区块链技术,金融衍生工具实务等。

最后更新于:2019-02-26