陈旭 副教授

作者: 时间:2023-06-21 点击数:

陈旭

系别:金融系

职称:副教授

邮箱:yukchan@gdut.edu.cn


教师简介

陈旭,男,广东工业大学经济学院,副教授,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


教育背景

2015.8-2018.7 澳门大学,获哲学博士学位,专业为数学(计算数学方向)

2013.8-2015.7 澳门大学,获理学硕士学位,专业为数学(计算数学方向)

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


职业经历

2019.9至今 广东工业大学经济学院金融系,讲师副教授

2018.9-2019.8 澳门大学研究助理(Research Assistant


科研项目

1. 广东省联合基金青年项目:“金融领域中的时空分数阶非线性偏微分方程的快速算法研究”,基金号2020A1515110991202010- 20249月,10万元,主持,结题;

2. 国家自然科学基金青年项目:“基于时空分数阶导数的三类期权定价问题的快速算法研究”,基金号12101137, 20221-202412, 30万元,主持,结题。

3. 广州市科技计划青年博士“启航”项目“期权定价问题中的混合调和分数阶导数与积分微分算子的线性互补问题的快速算法研究”,基金号2025A04J380620251-202612月,5万元,主持,在研。

4. 中国证券业协会重点课题:“证券公司收益凭证业务的功能建设及监管机制完善研究”,基金号2024SACKT086, 20249-202412月,联合研究单位项目负责人(主申报单位:海通证券),优秀结题。


发表论文

1. X. Chen, S. Lei, Z. She, and W. Wang, Fast solution strategies for time-space fractional linear complementarity problems governing American options pricing, Demonstratio Mathematica, accepted. (2025年中科院大类2, SCI Q1)

2. Z. She, Y. Qiu, X. Chen, and F. Lin, An IRK-QCD scheme for the space fractional diffusion equation and block-lower-triangle preconditioners for the corresponding linear systems, Numer. Linear Algebra Appl., 32 (2025), pp. e2605. (2025年中科院大类3, SCI Q1)

3. X. Chen, X. Gong, Z. She, and Z. She, A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model, Numer. Algorithms, 97 (2024), pp. 1791-1822. (2023年中科院大类3, SCI Q2)

4. X. Chen, X. Gong, Y. Sun, and S. Lei, A preconditioned policy-Krylov subspace method for fractional partial integro-differential HJB equations in finance, Fractal Fract., 8 (2024), pp. 316. (2023年中科院大类2, SCI Q1)

5. S. Wu, L. Chou, X. Chen, and S. Lei, A preconditioned iterative method for coupled fractional partial differential equation in European option pricing, Open Math., 21 (2023), pp. 20230169. (2023年中科院大类4, SCI Q1)

6. X. Chen, X. Gong, S. Lei and Y. Sun, A preconditioned iterative method for a multi-state time-fractional linear complementary problem in option pricing, Fractal Fract., 7 (2023), pp. 334. (2023年中科院大类2, SCI Q1)

7. W. Liu, Y. Sun, and X. Chen, Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time, Open Math., 20 (2022), pp. 24--37. (2022年中科院大类4, SCI Q1)

8. X. Chen, D. Ding, S. Lei and W. Wang, An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models, Numer. Algorithms89 (2021), pp. 939--965. (2021年中科院基础版大类2, SCI Q2)

9. 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, 79 (2020), pp.440--4562021年中科院基础版大类1区,SCI Q1

10. 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. (2021年中科院基础版大类2区,SCI Q1)

11. 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. (2021年中科院基础版大类2区,SCI Q1)

12. 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. (2021年中科院基础版大类2区,SCI Q1)

13. 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. (2021年中科院基础版大类1区,SCI Q1)

14. 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. (2021年中科院基础版大类2区,SCI Q2, 高被引论文)

15. 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. (2021年中科院基础版大类3区,SCI Q2)

16. 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. (2021年中科院基础版大类3区,SCI Q2)

17. 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. (2021年中科院基础版大类2, SCI Q1)

18. 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)

19. 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》《保险精算》《Matlab编程及应用》


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)、王文飞博士(上海交通大学博士后、任职国泰海通证券)合作,从事新型金融衍生品设计与快速定价方法的研究。

地址:广州市番禺区广州大学城外环西路100号广东工业大学行政楼325    邮编:510006

电话:020-39322722    邮箱:yzb@gdut.edu.cn  粤ICP备05008833号