陈旭 讲师

作者: 时间:2023-06-21 点击数:

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


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。

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