Liu Yue-财经学院

【Basic Information】
Liu Yue: associate professor, supervisor of master degree student, was conferred the degree of PhD from Nanyang Technological University, Singapore, was appointed as research associate in Nanyang Technological University during 2015-2016, started the teaching career in Jiangsu University, China since 2016, and promoted to become associate professor since 2018.
Email：liuy0080@e.ntu.edu.sg 286586116@qq.com

【Main courses】
Investment, International Financial Management, Methodology of accounting

【Research interests】
1. Stochastic Finance, Quantitative Finance
2. Probability and stochastic analysis, theory and applications of stochastic control
3. Investment risk control

【Awards】
1.2016 Second prize of lecture cometition
2.2017 Second prize of lecture competition

【Projects and funding】
1. China Postdoctoral Science Foundation（2017M621637）,2017，in charge.
2. National Natural Science Foundation of China（71701082）,2017，participant.
3. Talent project of Jiangsu province，2017，in charge.
4. Startup Fundation of UJS，2017，in charge.
5. Singapore MOE Tier 2 grant MOE2016-T2-1-036，2016，participant.
6. Social Science of Colleges in Jiangsu Province（2014SJB797）: 2014-2018，participant.
7. MOE Social Science Foundation（14YJC790106） 2014-2018, participant.
8. Jiangsu Natural Science Foundation（BK20180852） 2018-2020, in charge.

【Publications】
1. Liu Y, Nicolas P，An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis. Stochastic Analysis and Applications. 2017, 35(5), 919:940.（SCI）
2. Liu Y, Nicolas P，A recursive algorithm for selling at the ultimate maximum in regime-switching models. Methodology and Computing in Applied Probability. 2018, 20(1), 369:384.（SCI）
3. Liu Y, Nicolas P，Selling at the ultimate maximum in a regime-switching model. International Journal of Theoretical and Applied Finance. 2017, 20(3), 1:27.（ESCI）
4. 刘悦, 杨爱军, 林金官, 基于机制转换模型的碳排放权期权定价. 《数理统计与管理》ID：16-0578. Accepted：2018.12.
5. Yang A J，Liu Y*，Xiang J and Yang H Q，Optimal buying at the global minimum in a regime switching model. Mathematical Social Sciences, 2016, 84: 50-55. （SSCI）
6. Rui X D，Liu Y*，Yang A J，Yang H Q and Zhang C C，Optimization of setting take-profit levels for derivative trading. Mathematical and Computational Applications, 2017, 22(1): 1-8.
7. Zhang C C，Liu Y*，Yang A J, Yang H Q, Level hitting analysis of Brownian models applied for optimization of take-profit level setting for trading. ICIC Express Letters, 2016, 10(10): 2313-2318.（EI）
8. Hang Y Y, Liu Y*，Xu X Y，Chen Y，Mo S, Sensitivity analysis based on Markovian integration by parts formula. Mathematical and Computational Applications, 2017, 22(4), 40.
9. Hang Y Y, Liu Y*，Xu X Y，Chen Y，Mo S, Retraction: Hang, Y.; Liu, Y.; Xu, X.; Chen, Y.; Mo, S. Sensitivity Analysis Based on Markovian Integration by Parts Formula. Math. Comput. Appl. 2017, 22, 40. Math. Comput. Appl. 2018, 22(3), 44.
10. Sun H P, Tariq G, Chen H, Zhu J, Liu Y, Wu C, Allocation of carbon emission quotas to Chinese power enterprises. Energy Procedia, 2018, 152, 115-124. （EI）
11. Liu Y, Yang, A J, Zhang J J and Yao J J，An optimal stopping problem of detecting entry points for trading modeled by geometric Brownian motion. Computational Economics.（SSCI/SCI）2019, doi:10.1007/s10614-019-09915-w. https://doi.org/10.1007/s10614-019-09915-w.

【Academic communications】
1. Invited talk：Credit exposure calculation—Efficient intraday counterparty credit exposure calculation. NUS-UParis Diderot Workshop on Quantitative Finance, Singapore, 2015.02.
2. Invited talk：Sensitivity(Greeks) analysis and integration by parts for Markov Chains. 3rd NUS Workshop on Risk & Regulation, Singapore, 2015.01.
3. Invited talk：Optimal stopping for selling a derivative based on a generalized Black-Scholes' model with regime-switching. International Symposium on Financial Engineering and Risk Management, Beijing, P.R. China, 2014.06.27-06.28.
4. Invited talk：Optimal stopping for American option trading strategy based on regime-switching model with technical analysis. NUS-UTokyo Workshop on Quantitative Finance, Singapore, 2013.09.
5. Invited talk：Optimal stopping for selling a stock based on a generalized Black-Scholes’ model with regime-switching. Third Singapore Conference on Statistical Science, 2013.02.