陈旭

系别：金融系

职称：讲师

邮箱：yukchan@gdut.edu.cn

教师简介

陈旭，男，广东工业大学经济与贸易学院，讲师，哲学博士。

研究领域

金融衍生品定价算法、新型衍生品模型设计、数值线性代数算法研究、偏微分方程数值解等

教育背景

2015.8-2018.7 澳门大学科技学院，获哲学博士学位，专业为计算数学

2013.8-2015.7 澳门大学科技学院，获理学硕士学位，专业为计算数学

2009.9-2013.6 汕头大学理学院，获得理学学士学位，专业为数学与应用数学（金融方向）

职业经历

2019.9-至今  广东工业大学经济与贸易学院金融工程系，讲师

2018.9-2019.8 澳门大学科技学院助理研究员（Research Assistant）

发表论文

[1]. X. Chen, D. Deng, S. Lei and W. Wang, A fast preconditioned iterative method for Two-dimensional options pricing under fractional diffusion models, Computers & Mathematics with Applications, accepted. (SCI Q1)

[2]. X. Chen, S. Deng and S. Lei, A robust preconditioner for two-dimensional conservative space-fractional diffusion equations in convex domains, Journal of Scientific Computing, 80 (2019), pp. 1033-1057. (SCI Q1)

[3]. S. Lei, W. Wang, X. Chen and D. Ding, A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models, Journal of Scientific Computing, 75 (2018), pp. 1633-1655. (SCI Q1)

[4]. S. Lei, D. Fan and X. Chen, Fast solution algorithms for exponentially tempered fractional diffusion equations, Numerical Methods for Partial Differential Equations, 34 (2018), pp. 1301-1323. (SCI Q2)

[5]. X. Chen, W. Wang, D. Ding and S. Lei, A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation, Computers & Mathematics with Applications, 73 (2017), pp. 1932-1944. (SCI Q1)

[6]. S. Vong, P. Lyu, X. Chen and S. Lei, High order finite difference method for time-space fractional differential equations with Caputo and Riemann-Liouville derivatives, Numerical Algorithms, 72 (2016), pp.195-210. (SCI Q1)

[7]. S. Lei, X. Chen and X. Zhang, Multilevel circulant preconditioner for high-dimensional fractional diffusion equations, East Asian Journal on Applied Mathematics, 6 (2016), pp. 109-130. (SCI Q4)

[8]. W. Wang, X. Chen, D. Ding and S. Lei, Circulant preconditioning technique for barrier options pricing under fractional diffusion models, International Journal of Computer Mathematics, 92 (2015), pp. 2596-2614. (SCI Q2)

[9]. M. Lin, X. Chen, X. Li, C. Huang, Y. Li and J. Wang, Local equilibrium in the dissolution and segregation kinetics of Ag on Cu(111) surface, Applied Surface Science, 297 (2014), pp. 130-133. (SCI Q1)

[10]. M. Lin, X. Chen, X. Li, C. Huang, Y. Li and J. Wang, Local equilibrium in the dissolution kinetics of Ag on Cu(111) surface, Advanced Materials Research, 648 (2013), pp. 43-49. (EI)

[11]. X. Li, M. Lin, X. Chen, C. Huang, Y. Li and J. Wang, Influence of bulk concentration on the discontinuous transition in surface segregation, Advanced Materials Research, 648 (2013), pp. 35-42. (EI)

教授课程

《多元经济统计分析及软件应用》《应用随机过程》

我的团队

长期与李兆隆教授（澳门大学副教授、澳门科学技术奖获得者）、丁灯教授（澳门大学数学系主任）和王文飞博士（上海交通大学博士后、海通证券金融研究所研究员）合作，从事新型期权定价模型的研究与设计针对性的快速解法。