YuanWu
Title：Lecturer
School ofStatistics and Mathematics
ShanghaiLixinUniversityof Accounting andFinance,
No. 995 Shangchuan Rd, Shanghai.
Tel: (86-21)
Email: wuyuan@lixin.edu.cn
AREAS OF INTEREST
Teaching:Mathematical Modelling; Probability Theory;
Research:Financial Mathematics
EDUCATION BACKGROUND
09/2014 - 06/2017 Tongji University
Doctor of Science
09/2009 - 03/2012 Tongji University
Master of Science09/2005- 06/2009ZhengzhouUniversityBachelor of Science
HONORS AND GRANTS
EXPERIENCE
Full Time：
3years
Courses Taught：
Mathematical Modelling,Probability Theory,Mathematical Analysis
PUBLICATIONS
1. Yuan Wu, Jin Liang. Free boundaries of credit rating migration in switching macro regions. Mathematical Control and Related Fields. June 2020, 10(2):257-274
2. Yuan Wu, Jin Liang, Bei Hu. A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B. March 2020, 25(3):1043-1058
3. Yuan Wu and Jin Liang, A new model and its numerical method to identify multi credit migration boundaries. International Journal of Computer Mathematics, 2017(2):1-15.
4. Yuan Wu and Jin Liang, Valuation of Loan Credit Default Swaps Correlated Prepayment and Default Risks with Stochastic Recovery Rate, International Journal of Financial Research, 2012,3(2).
5. Jin Liang, Yuan Wu and Bei Hu. Asymptotic traveling wave solution for a credit rating migration problem. Journal of Differential Equations, 2016, 261(2): 1017-1045.
6. Bei Hu, Jin Liang and Yuan Wu. A free boundary problem for corporate bond with credit rating migration, Journal of Mathematical Analysis & Applications, 2015, 428(2): 896-909.
7. Xiaoli Yang, Jin Liang and Yuan Wu. Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return, Optimal Control Applications & Methods, 2014, 35(4): 383–394.
