![](/__local/5/08/57/10E2C3F0D534EFA927B5028F3A5_9E9E9D12_19FDB.jpg)
【基本信息】
刘悦,男,中共党员,副教授,硕士生导师,江苏兴化人。本科读于江苏大学,研究生读于南京大学数学专业,博士毕业于新加坡南洋理工大学,金融数学专业。2015-2016年任职新加坡南洋理工大学副研究员,2016入职江苏大学,2018年晋升副教授。
电子邮件:liuy0080@e.ntu.edu.sg 286586116@qq.com
【主讲课程】
《Investment》(英文课)、《International Financial Management》(双语课)、《会计研究方法》(MPACC)
【研究领域】
1.随机金融,计量金融
2.概率论,随机分析,随机控制的理论与应用
3. 投资风险控制
【获奖情况】
1.2016 江苏大学财经学院讲课比赛二等奖
2.2017 江苏大学财经学院讲课比赛二等奖
【科研项目】
1. 中国博士后科学基金第62批面上资助(2017M621637):机制转换模型下碳排放权市场形态节点刻画及期权定价,2017,在研,主持。
2. 国家自然科学青年项目(71701082):多层网络视角下投资者情绪传播的交互机制与路径选择研究。2017,在研,参与。
3. 江苏省双创人才计划,2017,在研,主持。
4. 江苏大学高级专业人才科研启动基金,2017,在研,主持。
5. 新加坡教育部项目:Singapore MOE Tier 2 grant MOE2016-T2-1-036,2016,已结题,参与。
6. 江苏高校哲学社会科学研究基金资助项目(2014SJB797):互联网金融产品创新的风险管理研究:ERM视角,2014-2018,已结题,参与排名3/6.
7. 教育部人文社会科学研究项目(14YJC790106):新兴产业专利池形成机制与稳定性研究,2014-2018,已结题,参与排名4/10.
8. 江苏省自然科学基金青年项目(BK20180852):带机制转换的最优停时问题的解法研究及其应用,2018-2020,在研,主持。
【主要论著】
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检索)
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检索)
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检索)
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》录用编号:16-0578. 被接收日期: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检索)
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检索)
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检索)
【学术交流】
1. 受邀请报告:Credit exposure calculation—Efficient intraday counterparty credit exposure calculation. NUS-UParis Diderot Workshop on Quantitative Finance, Singapore, 2015.02.
2. 受邀请报告:Sensitivity(Greeks) analysis and integration by parts for Markov Chains. 3rd NUS Workshop on Risk & Regulation, Singapore, 2015.01.
3. 受邀请报告: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. 受邀请报告: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. 受邀请报告:Optimal stopping for selling a stock based on a generalized Black-Scholes’ model with regime-switching. Third Singapore Conference on Statistical Science, 2013.02.