ZHANG Dewei
Title：Associate Professors
School of Statistics and Mathematics
Shanghai Lixin University of Accounting and Finance,
No. 995 Shangchuan Rd, Shanghai.
Tel: (86-21)
Email: zdw@lixin.edu.cn
AREAS OF INTEREST
Teaching:Financial mathematics practice; Probability theory and mathematical statistics
Research:Option pricing; Liquidity risk; Asset pricing; Trading strategy
EDUCATION BACKGROUND
04/2006 - 03/2009University of Hyogo (Japan)
Doctor of Science
04/2004 - 03/2006University of Hyogo (Japan)
Master of Science
04/2000 - 03/2004University of Commerce (Japan)
Bachelor of Science
HONORS AND GRANTS
EXPERIENCE
Full Time：
6 years
Courses Taught：
Financial mathematics practice; Probability theory and mathematical statistics; Linear algebra
PUBLICATIONS
1. Zhang D.(2019) The sovereign credit and the limited foreign exchange outflow and the liquidity management,Journal of the Operational Research Society,Vol.70, No.5, 867-871.
2. Zhang D. (2013)Optimal liquidity reserve with funding liquidity risk,Applied Economics Letters, Vol.20, No.16, 1449-1452.
3. Zhang D. (2013)Liquidity management of foreign exchange reserves in continuous time,Economic Modelling, Vol.31, 138-142.
4. Zhang D.(2013) Foreign exchange reserves management in the presence of jump risk,Applied Economics Letters, Vol.20, Issue 3.
5. Zhang D.(2009)Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévyprocesses,Asia-Pacific Financial Markets, Vol.16, Issue 2, 111-139, June.
6. Zhang D. (2009)Bayesian Analysis of Compound Poisson Mixture Model and its Application to Financial Data,IJICIC2009(International Journal of Innovative Computing Information and Control), Vol.5, No.1, 109-117.
7. Zhang D. (2008)Calculation of the MEMM for geometric Lévy processes and its application to option pricing,SSS’08(Proceeding of the 40thISICE International Symposium on Stochastic System Theory and its Applications). (ISICE: The Institute of Systems, Control and Information Engineers)
8. Zhang D.(2007)Bayesian Analysis of Compound Poisson Process and its Application to Financial Data,SSS’07(Proceeding of the 39thISICE International Symposium on Stochastic System Theory and its Applications), 97-102,.(ISICE: The Institute of Systems, Control and Information Engineers)
9. Zhang D. (2007) On stochastic model of common property resource economy and ruin probability,International Journal of Pure and Applied Mathematics, Vol.39, No.2, 151-163.
