章勇敏履历

Transcription

1 章勇敏教授 浙江省宁波市泰康东路 199 号, 邮编 (0574) , 个人情况综述 : 章勇敏教授于 1967 年生于浙江宁波, 就读于著名的宁波中学, 在高中期间多次获得全国中学生数理化竞赛优胜奖, 并于毕业时取得总分全班第一, 因此被学校免试包送到复旦大学数学系就读 1989 年获得学士学位, 同时获得法国 UAP 数学奖 此奖用于奖励数学毕业班学习成绩第一的学生 他于同年免试升读复旦大学研究生, 并作为复旦大学唯一代表 ( 校内选拔考试第一名 ) 参加了由美国数学会与美国工业与应用数学会组织的王宽诚项目公派赴美读博选拔考试 最后, 他以优异的成绩获得了仅有的全国五个名额之一, 并同时被五所全美最著名的大学录取, 其中包括芝加哥大学 (University of Chicago), 加州理工学院 (California Institute of Technology) 等学校 他于 1990 进入芝加哥大学数学系攻读博士学位, 在读博期间兼任芝大的本科数学教学工作, 协助芝大生物系教授建立人口基因重组的数学模型, 帮助芝大医学院教授设计骨关节连接的数学计算, 同时被几家大学聘为兼职教授, 另外曾在 GE 医疗仪器研究部建立 X 光扫描成像的数学模型与软件系统, 在 IBM 从事 SPSS 软件的开发 章勇敏教授于 1997 年获得美国芝加哥大学博士学位, 他的博士论文是关于自由边界问题的数值解法, 这一研究在能源工程与金融工程方面有广泛应用, 其中包括水电站管理 石油运输 期权定价 最优投资组合等领域 其中一篇关于自由边界问题的多层投影快速算法的文章获得美国第十一届应用数学年会杰出论文奖 另一个重要工作是把离散最大值原理从微分方程推广到变分不等式从而改进了由德国著名数学家 Nitsche 在三十多年前建立的对障碍物问题有限元解法的一个经典结果 毕业后, 他进入美国纽约州立大学研究基金会担任研究科学家, 创建多相流界面跟踪法在弯曲几何坐标下的数学模型, 开发超大型科学计算的激波模拟软件系统, 他是二十多年来第一个成功实现在弯曲几何坐标下的原子核爆炸的计算机模拟, 这一结果的展示被用作 2000 年国际流体动力学进展大会的会议文集的封面图片并由英国 WIT Press 出版 章教授于 2001 年起任教于美国纽约州立大学石溪分校, 主持了由美国能源部资助的多项大型研究课题 章教授的主要研究方向是计算方法在物理与金融中的应用 在物理方面, 他与 R. Paul Drake 教授 ( 高能实验天体物理的奠基人 ) 进行了第一个成功的超星体爆炸的激光实验与计算机模拟 这一工作对高能实验天体物理起到里程碑作用 另外他创建了在辐射场作用下的界面跟踪法, 这一方法使得能够对天体物理实验中强激光引起的预热辐射对超星体界面结构稳定性的影响有个准确测量 他与 James Glimm 教授 ( 美国科学院院士, 国家最高科学奖获得者 ) 合作的激波计算工作已被美国能源部用于核能开发与核武器试验 在金融领域, 他建立了决定美式期权最优执行边界的快速数值解法, 另外他推导了一个美式期权价格的套利公式 章教授作为博士生导师培养了两名博士毕业生, 担任十多次博士论文答辩会 1

2 成员, 并指导多名博士后研究人员 他于 2007 年进入美国摩根大通的资本市场服务部担任首席研究员 他建立了房屋抵押贷款利率的预测模型及按揭提前偿还速度的预测模型, 提出按揭抵押证券的风险对冲策略 他于 2008 年转入美国富国银行 ( 巴菲特为最大股东 ) 的资本市场部担任风险管理顾问, 他建立了管理千亿美元以上的房屋抵押贷款的数学模型, 他创建了锁定利率期权定价的数学模型, 给出了计算风险对冲成本的数学公式 上述成果收录于公司内部文献 章教授于 2009 年进入西交利物浦大学担任投资组合管理, 风险管理, 保险数学等课程的教学工作, 同时指导金融数学毕业论文, 他是 2010 年江苏省教育厅 青蓝工程 的学术带头人, 受邀在北京举行的首届中国金融产品投资与风险管理作了 90 分钟的按揭贷款的前沿报告 他于 2011 年 1 月份起担任宁波诺丁汉大学商学院金融学首席教授兼国际金融研究中心主任 章教授的研究课题包括海洋经济中的金融问题, 科技金融, 实物期权的应用, 美式期权的计算方法 他建立的障碍物问题的多层网格计算方法可以用来快速求解美式期权定价方程 他与美方研究人员合作对房地产混合投资资产作了深入研究, 他是第一次应用 BDS 检测法对房地产指数独立同分布次及序相关性进行了一系列的检测 他的论文是 2010 年社会科学研究网络 (SSRW) 下载次数最多的十篇文章之一并发表于美国房地产学会顶级期刊 章教授领导的国际金融研究中心于 2011 年与 2012 年成功获得超过一百万元人民币和十八万英镑的研究资助, 经费来源包括中国国家自然科学基金委 中国教育部 英国外交部 中国社会科学院与宁波市战略合作基金 浙江省自然科学基金委 宁波市教育局 宁波市金融事务办公室和宁波市科技局等不同机构 目前中心有九个项目获得经费资助, 其中两个主要研究项目分别是 海洋经济中的金融与投资 以及 中国在金融 贸易及商业创新方面的国际前景 章教授的研究领域跨越数学 物理和金融等多个学科 他共撰写 60 多篇研究论文, 其中包括约 30 篇期刊论文 ( 其中 11 篇发表在国际最高等级 A*/A 期刊 ), 15 篇摩根大通与富国银行的保密论文,15 篇会议论文 他在超星体爆炸的计算机模拟研究的论文发表在著名的 天体物理 期刊 ( 全球引用率最高的前 15 名的科学期刊杂志 ) 他应邀到主要学术会议与世界众多院校做过四十多次报告, 其中一次是在 2004 年在美国奥兰多召开的第四届世界非线性大会上作 45 分钟的主旨演讲 章教授应邀担任十二家顶级专业杂志 剑桥大学出版社及美国能源部基金的评委 他是国际金融工程师协会, 国际专业风险管理师协会与美国工业与应用数学会的成员 他于 2011 起担任浙江省会计发展论坛理事,2012 年他被选入浙江省海外高层次人才联谊会成员兼能源资源环境委员会成员, 他是 宁波金融 杂志的专家组成员, 他是 国际金融研究中心回顾 与 宁波诺丁汉国际金融论坛文集 的主编, 他多次应邀担任大型国际金融数学会议的学术委员会成员及各级政府的专家评审会成员 章教授被国内外各级机构授予各项荣誉 他是 2005 年美国国家科学基金会天体物理奖获得者 他于 2005 及 2006 年连续二年获纽约州立大学个人发展奖 2002 被收录于美国工程教学名人录 2010 被收录于美国名人录 2000 被聘为浙江省宁波市海曙区人民政府科技顾问 2010 年被中国教育部授予 海外高层次人才 称号 2012 年被选入浙江省海外高层次人才计划并被授予浙江省 特聘专家 称号 2

3 学位学历 : 博士 ( 应用数学 )1997, 美国芝加哥大学 (University of Chicago) 硕士 ( 应用数学 )1991, 美国芝加哥大学 (University of Chicago) 学士 ( 数学 )1989, 复旦大学 研究领域 : 金融数学与公司金融 Mortgage Pipeline and Mortgage Backed Securities Numerical Methods for American Options Real Options in Energy Industry Energy Portfolio Management for Power Companies Investment Models in Marine Tourism Investment Strategies for Marine Shipping Companies Portfolio Management and Risk Management Valuation of Private Equity Real Estate Finance 计算方法在物理与金融中的应用 Numerical Modeling for Free Boundary Problems Large Scale Computer Simulations for Physical and Financial Systems 流体力学与空气动力学 Multiphase Flows and Turbulent Mixing Supersonics Flow and Shock Wave Conservation Laws in Hydrodynamics Newtonian Flow and Bingham Fluid Flow 激光等离子物理, 核物理, 高能天体物理 Turbulent Fluid Mixing in Inertial Confinement Fusion Reactors Radiation Process in Supernova Laser Experiments Turbulent Combustion and Mixing in Type Ia Supernova 3

4 研究工作经验 : 宁波诺丁汉大学金融学首席教授, 博导 ( ~ 至今 ) 全球金融研究中心, 主任 ( ~ 至今 ) 中国社科院与宁波市合作国际金融研究中心, 主任 ( ~ 至今 ) 诺丁汉商学院 ( 中国 ) 金融系, 主任 (2011,01~2013,01) 西交利物浦大学金融数学副教授, 博导 ( ~ ) 数学系代理系主任,( ~ ) 考试执行官 ( ) 美国富国银行 (Wells Fargo, St. Louis) 资本市场金融部, 风险管理顾问 ( ~ ) 从事资产定价, 期权模型, 为一千亿美元的抵押贷款建立风险管理数学模型, 为固定债券交易员提供投资策略 美国摩根大通银行 (J. P. Morgan Chase, Seattle) 资本市场研究部, 首席研究员 ( ~ ) 从事房屋抵押贷款证券化定价及风险管理的研究, 设计预测贷款利率数学模型 纽约州立大学石溪分校 (State University of New York at Stony Brook, SUNY) 助理教授, 博导 ( ~ ) 从事美国股权的定价研究, 及湍流 多相流 超音速流 超星体爆炸 核爆炸, 及激光核物理的数学建模 ; 同时, 培养了两位博士生, 指导多位博士后研究员 4

5 纽约州立大学研究基金会 (Research Foundation of SUNY) 研究科学家 ( ~ ) 建立原子核爆炸受控核聚变的数学与计算机模型, 领导开发多相流界面跟踪法的百万行 C 代码的超大型软件系统 芝加哥大学 (University of Chicago) 讲师 ( ~ ) 讲授大学数学, 指导商学院的硕士研究生 兼职职位 ( ) 1. 美国哈伯学院 (Harper College), 兼任教授 2. 美国欧科登学院 (Oakton College), 兼任教授 3. 美国通用电器公司 (General Electric), 研究员 4. 美国 IBM 公司, 统计学家 5. 美国 Compel Software, 最优化模型设计员 教学经历 : 有二十年的教学经历, 在六所大学教过数学, 统计, 计算机, 物 理, 金融学的本科与研究生课程 回国后参与的重要评审与专家咨询工作 : 宁波市创业投资引导基金宁波市自然科学优秀论文奖中国社会科学院国情调研基地项目结题宁波市 十二五 金融发展规划宁波市国家科技创新型城市专家研 2012 年 3 月 2011 年 11 月 2011 年 11 月 2011 年 7 月 2012 年 9 月 5

6 讨会宁波市 千人计划 专家座谈会 2012 年 1 月浙江省海外高层次人才联谊会年会 2012 年 2 月浙江省海外高层次人才能源 资源 2012 年 9 月与环境专家座谈会 2012 国际能源论坛专家研讨会 2012 年 7 月 << 宁波金融 >> 专家研讨会 2012 年 10 月 其他职务 : 中国教育部项目评委专家 (2012 至今 ) 宁波市北仑区海外高层次人才项目评委专家 (2012 至今 ) 第九届全国微分方程稳定性暨全国金融数学学术会议学术委员会成员 (2012 至今 ) 定量金融与风险管理国际会议学术委员会成员 (2012) 宁波金融 专家组成员 (2012 至今 ) 国际金融研究中心回顾 主编(2012 至今 ) 宁波诺丁汉国际金融论坛论文集 主编(2012 至今 ) 浙江省海外高层次人才联谊会成员 (2012 至今 ) 浙江省海外高层次人才联谊会能源 资源 环境委员会专家成员 (2012 至今 ) 宁波市海外高层次人才联谊会成员 (2012 至今 ) 浙江省会计发展论坛理事 (2011- 至今 ) 第二届宁波诺丁汉国际金融论坛组委会主席 (2011) 中国社会科学院与宁波市战略合作项目评委 (2011 至今 ) 宁波诺丁汉大学商学院研究基金评委 (2011 至今 ) 6

7 美国纽约州立大学石溪分校博士后招聘委员会成员 ( ) 美国纽约州立大学石溪分校计算应用数学博士答辩委员会主席 ( ) 宁波市海曙区人民政府科技顾问 (2000 至今 ) 第三界美国麻省理工学院计算流体与固体力学大会组织者,2005 年 6 月 美国能源部基金评委 剑桥大学出版社评委 Houghton Mifflin 出版社评委 以下专业杂志评委 1. International Journal of Strategic Property Management 2. Nonlinearity 3. Journal of Nonlinear Analysis 4. Applied Numerical Mathematics 5. Applied Mathematics Letter 6. Computer and Mathematics with applications 7. INFORMATION Journal 8. ASME Journal of Fluids Engineering 9. International Journal for Numerical Methods in Fluids 10. Journal of Zhejiang University 11. Journal of Computational and Applied Mathematics 7

8 12. Surface and Coatings Technology 13. Applied Mathematics and Computation 媒体访谈 : 1. 浙江日报,2012 年,5 月 2. 人民网,2012 年,5 月 3. 人民日报,2012 年,4 月 4. 网易财经,2011 年 11 月 5. 上海证券新闻,2011 年 11 月 6. 东南商报,2011 年 7 月 7. 宁波日报,2011 年 7 月 主要合作人员 : David Newton, 英国诺丁汉大学金融学教授 Yue Kuen Kwok, 香港科技大学金融数学教授 Zhenguo Lin, 美国加州州立大学金融学教授 Christian Ewald, 英国格拉师哥大学金融经济学教授, 经济与金融研究中心主任 James Glimm, 美国科学院院士, 国家最高科学奖获得者, 纽约州立大学石溪分校杰出教授 Todd Dupont, 芝加哥大学天体物理热核中心主任应用数学与计算机科学教授 R. Paul Drake, 高能实验天体物理的奠基人, 美国密执安大学教授 8

9 John W. Grove, 美国 Los Alamos 国家实验室资深科学家 David H. Sharp, 美国 Los Alamos 国家实验室理论物理部主任 David E. Key, 美国富国银行 (Wells Fargo) 副总裁 Tim Covington, 美国富国银行 (Wells Fargo) 资深副总裁, 房屋贷款市场研究经理 Xiaohai Liao, 美国摩根大通 (J. P. Morgan Chase) 副总裁 Thomas Nagylaki, 芝加哥大学生态与进化学教授 项目资助 : 中国国家自然科学基金 ( ) ( RMB 260,000, 2012~2015) 项目 : 投资消费与劳动供给的随机控制模型中最佳退休年龄决策问题研究 ( 合作者 : 张爱华,Christian Ewald,Daniel Borgia) 英国外交部 (GBP 177,072, 2012~2015) 项目 : 中国金融, 贸易, 商业创新的国际前景 ( 合作者 : 华秀萍,Brian Hilton, 冯雷等 ) 中国社科院与宁波市合作项目基金 (NZKT201115) (RMB 200,000, 2011~2013) 项目 : 建设海洋经济中的金融问题 浙江省教育厅 (RMB 625,000,2012~2017) 项目 : 浙江省高校重点学科建设 9

10 ( 合作者 :Carl Fey, 李磊等 ) 宁波市教育局 (RMB 500,000,2012~2016) 项目 : 宁波市高校重点建设专业 ( 合作者 :Carl Fey 等 ) 宁波市科技局项目基金 (201201A )(RMB 50,000, 2011~2013) 项目 : 科技金融对策研究 江苏省教育厅基金 (RMB 60,000, 2010~2013) 项目 : 青蓝工程 美国能源部国家原子能安全局基金 (DEFGS206NA26208) (US$ 375,000, 2006~2009) 项目 : 对超星体爆炸的激光试验中的流体混合的模型设计 ( 合作者 :James Glimm,R. Paul Drake, 及博士生 ) 美国能源部基金 (DEFG02-90ER25084) (US$ 1,200,000, 2002~2006) 项目 : 多尺度随机模拟与模型 ( 合作者 :James Glimm,John Grove, 及博士后人员与博士生 ) 美国纽约州立大学高等能源研究与技术计划 ( ) 项目 : 核聚变激光实验与湍流混合 (Laser Fusion and Turbulent Mixing) ( 合作者 :James Glimm) ( 美国能源部基金 (US$ 215,000, 2002~2003) 项目 : 湍流与多相流的混合 10

11 美国能源部国家原子能安全局基金 (DEFG0303SF22689) (US$265,000, ) 项目 : 天体物理的激光实验 ( 第一部分 ) ( 合作者 :R. Paul Drake) 美国能源部国家原子能安全局基金 (DEFG5203SF22689) (US$360,000, ) 项目 : 天体物理的激光实验 ( 第二部分 ) ( 合作者 :R. Paul Drake) 荣誉与学术奖励 : 浙江省 千人计划 人才 (2012) 浙江省 特聘专家 称号 (2012) 中国教育部 海外高层次人才 称号 (2010) 江苏省 青蓝工程 学术带头人 (2010) 收入美国名人录 (2010- 至今 ) 美国国家科学基金会天体物理奖 (2005) 纽约州立大学个人发展奖 (2005,2006) 第四届世界非线性大会主讲人 (2004) 收入美国工程教育名人录 (2002- 至今 ) 浙江省宁波市海曙区人民政府科技顾问 (2000- 至今 ) 第十一届美国数学年会杰出论文奖 (1995) 芝加哥大学学院学者奖学金 ( ) 芝加哥大学大学学者奖学金 ( ) 香港王宽诚基金奖学金 (1990) 法国 UAP 数学奖 (1989) 11

12 重要研究成果 : 为美国富国银行 (Wells Fargo) 建立管理千亿美元以上的房屋抵押贷款的数学模型 富国银行具有美国最大的房屋抵押贷款的资产, 它的最大股东是世界著名投资家巴菲特 (Warren Buffet), 它被认为全美最安全的银行 为美国摩根大通 (J. P. Morgan Chase) 建立房屋抵押贷款的证劵化定价及风险管理模型 建立自由边界问题的多层投影快速算法, 这一方法在水电站管理, 石油运输, 股权定价等领域有广泛应用, 有关论文获得美国第十一届应用数学年会杰出论文奖 提出与持有期有关的最优投资组合策略, 这一方法适合于中国的资本市场的特殊结构 设计美国期权中的最优执行界面的计算方法, 从而解决了美国期权定价中的一个关键难题 第一个实现与激光实验吻合的超星体爆炸的计算机模拟, 这一工作被认为对高能实验天体物理发展起到里程碑作用 二十多年来第一个成功实现在弯曲几何坐标下的原子核爆炸的计算机模拟, 这一结果的展示被用作 2000 年国际流体动力学进展大会的会议文集的封面图片并由英国 WIT Press 出版 创建多相流界面跟踪法在弯曲几何坐标下的数学模型, 开发超大型科学计算的激波模拟软件系统, 这一方法已被美国能源部用于核武器设计与核能的开发与安全控制等一系列实验 发明了在辐射场作用下的界面跟踪法, 这一方法使得能够对天体物理实验中强激光引起的预热辐射对超星体界面结构稳定性的影响有个准确测量 提出了跟踪燃烧界面的计算方法, 这一方法已用在模拟第一类超星体爆炸中的热核反应过程, 研究第一类超星体爆炸对人类懂得 12

13 宇宙大爆炸与宇宙扩张起到很重要作用 发现轴对称流的北极效应, 从而建立轴对称流的界面在截面上的对称不守恒定律, 这一定律对理解多项流中的湍流混合过程起到重要作用 把离散最大值原理从微分方程推广到变分不等式从而改进了由德国著名数学家 Nitsche 在三十多年前建立的对障碍物问题有限元解法的一个经典结果 主要研究成果 : 资本市场研究 (Capital Market Research) 1. Created option valuation models and hedging strategies for Wells Fargo s mortgage pipelines with balance of US$100 billions. 2. Developed cash flow models for Wells Fargo s reverse mortgage products. 3. Built cost of variability models for hedging Wells Fargo s mortgage pipelines. 4. Developed look back option models with hurdle adjustments in mortgage lending. 5. Built transition probability models for rate locks in mortgage pipelines. 6. Developed holding period dependent portfolio management models for real estate assets. 7. Created various mortgage rate forecast models for J. P. Morgan research 8. Developed loan level prepayment models for J. P. Morgan research. 9. Streamlined hedging strategies and option-adjusted valuations for mortgage backed securities and mortgage servicing rights for J. P. Morgan research. 10. Developed software tools for testing i.i.d. property for financial times series. 美国股权研究 (American Option Research) 11. Variational inequalities formulation for American options. 12. Developed fast algorithms for pricing solutions. 13. Conducted error analysis for the numerical solutions 14. Investigated sensitivity of the option price to the final payoff change. 15. Designed accurate methods to determine the optimal exercise boundary. 13

14 自由边界问题的数值方法 (Numerical Models for Free Boundary Problems) 16. Developed fast algorithms (Multilevel Projection Algorithm) for solving a class of free boundary problems called obstacle problems which arise from the filtration dam problem, the Stefan problem, and the American option pricing models. 17. Multilevel Projection Algorithm has won Outstanding Paper Award at Eleventh Annual Conference on Applied Mathematics. 18. Derived a general condition for the convergence of free boundaries of discrete solutions to the free boundary of the continuous solution. The interface between wetted and unwetted regions in dam problem and early exercise boundary of American options are typical free boundaries. 19. Established a monotonicity principle for a finite element approximation of obstacle problem. Obtained an optimal error estimate under maximum norm which improved two well-known results established by Nitsche and Baiocchi thirty years ago. 20. Developed a numerical model for a Bingham fluid flow in a cylindrical pipe using a regularization method. 原子弹爆炸受控核聚变中的湍流混合的随机模型 (Stochastic Models for Turbulent Mixing in Inertial Confinement Fusion) 21. Developed and implemented numerical algorithms for a stochastic multiphase fluid mixing model. 22. Discovered an asymmetry effect ( North Pole Effect ) on axisymmetric flow and analyzed this effect on various statistics of the chaotic fluid mixing by carrying out Monte Carlo simulations. 23. These algorithms have been adopted by U.S. Department of Energy for simulating inertial confinement fusion reactors. 多项超音速流与激波的数值方法 (Numerical Methods for Multiphase Supersonic Flow and Shock Waves) 24. Developed the first robust front tracking algorithms in curved geometries. 25. Implemented these algorithms into a flow simulation package FronTier in C/C++. The code has been applied to various fluid instability problems: Gravity and shock driven instabilities, turbulent mixing and combustion, and diesel jet flow. 26. Conducted a quantitative error and efficiency analysis for the FronTier code. 27. Analyzed a scaling law for the shock strength in spherical shock driven mixing. 星球爆炸中的辐射与湍流形成过程的计算机模拟 (Simulations for Radiation and Turbulent Processes in Star Explosions) 14

15 28. Conducted front tracking simulations for the first spherically diverging, hydrodynamically unstable laboratory experiments of relevance to supernova. Front tracking gave a better agreement with laser experiments than other codes. This work has gained international recognition including several leading groups on laser experiments such as, Lawrence Livermore National Laboratories, Los Alamos National Laboratory and Universities of Michigan, etc. 29. Developed radiation-coupled front tracking algorithms in collaboration with laser researchers in University of Michigan. 30. Conducted numerical measurement of impact of laser preheats on interface structure and instability. 跟踪超星体中湍流燃烧界面的计算机模拟 (Flame Tracking Simulations for Turbulent Combustion in Supernova) 31. Developed the first flame tracking model in cylindrical geometry. 32. Conducted direct simulations for Type Ia Supernova using these algorithms. 博士生指导经历 : 纽约州立大学石溪分校 (State University of New York at Stony Brook): ( ) ( 详细见 : Paul Lavergne (Ph.D. Awarded 2007) Dissertation: Thermonuclear Flame Studies in Rectangular Geometry Srabasti Dutta (Ph.D. Awarded 2005) Dissertation: Supernovae and Hydrodynamic Instabilities 宁波诺丁汉大学, 英国诺丁汉大学 (University of Nottingham) (2011 Present) Shusheng Ding (current Ph.D. student) Topic: Real Options in Energy Industry Yuanqian Wang (current Ph.D. student) Topic: Valuation of Private Equity 15

16 硕士生指导经历 : 宁波诺丁汉大学, 英国诺丁汉大学 (University of Nottingham) (2011-present): 2012 graduates: Dandan Zheng, Dissertation: Finance and Investment Strategies for Traditional Energy Haifeng Liu, Dissertation: The Optimization of Energy Portfolio Management in China Haiyuan Zhang, Dissertation: An Analysis of Financing for Marine Tourism Haojun Yin, Dissertation: Financial Instruments in Marine Shipping Industry Jiani Yang, Dissertation: Supervision and Management in Capital Market Liang Zhao, Dissertation: Risk Management in Shipping Industry Wenwen Wen, Dissertation: Finance and Investment Strategies of Renewable Energy Yi Chen, Dissertation: Private Equity Valuation Methods for High-Tech Companies Yun Li, Dissertation: Demand Models in Marine Tourism Yunshan Xu, Dissertation: Determination of Main Factors on Valuation of Oil and Gas Projects 2011 graduates: Kun Ning, 16

17 Dissertation: A Case Study of Mean-covariance Methods in Computing VaR Sixing Xu, Dissertation: The Optimal Issues for Constant Proportion Portfolio Insurance (CPPI): the rebalancing frequency and the multiple Ling Yu, Dissertation: The Research of Real Estate Financial Model in Chinese Market Xiaoping Yu, Dissertation: Stock Portfolio Management and Risk Management Yilong Zhang, Dissertation: Pricing Methods of Private Equity in China 本科生毕业论文指导经历 : 西交利物浦大学, 英国利物浦大学 (University of Liverpool): ( ) 2010 graduates: 1. Xiaohong Gong, Thesis: Black Model and its Applications in Option Price Tracking 2. Jue Li, Thesis: Fixed Income Risk Management (Hedging MBS) 3. Jiajun Cai, Thesis: Forward Measure and its Applications in Fixed Income Derivative Pricing 4. Wentao Lu, Thesis: Finite Difference Methods for American Options 5. Yang Zhang, Thesis: Comparative Study of Forward and Future Pricing 6. Hengyi Zhuang, Thesis: Interest Rate Model Calibrations 7. Lei Zhu, Thesis: Binomial Methods for Option Pricing 8. Zheng Kuang Thesis: Modeling Mortgage Backed Securities 2011 graduates: 1. Moyu Zhang, Thesis: Real Option Application in Real Estate 17

18 2. Mengying Cao, Thesis: Comparison of Numerical Methods for Option Pricing 3. Xinyu Niu, Thesis: Prepayment Modeling and Risk Management for Mortgage-Backed Securities 4. Qi You, Thesis: Private Equity Valuation of a Biotechnology Company 5. Shiliang Liu, Thesis: Evaluation a Mine Project Using Binomial Lattice Approach 6. Dingding Cao, Thesis: Numerical Methods for Real Options 7. Jiao Geng, Thesis: Research on Hedging in Chinese Future Markets 8. Ruochen Liu, Thesis: Mixed Portfolio Allocation with Real Estate Asset in Chinese Market 9. Xue Li, Thesis: Mixed Portfolio Allocation with Real Estate Asset: constant investment opportunity 10. Jiaorong Ning, Thesis: Home Price Analysis 11. Jin Xie, Thesis: Fourier Methods for European Options 12. Li Xu Thesis: Review of Chinese Housing Markets 应邀报告 : minutes talk, International Conference on Quantitative Finance and Risk Management, Changchun, July 2-4, minutes talk, International Marine Technologies Workshop, UNNC, Ningbo, June 11, minutes talk, Wanli Finance Forum, June 7, minutes talk, AMS Computational Finance Conference, Las Vegas, May, minutes talk, SIAM Conference on Financial Mathematics and Financial Engineering, San Francisco, November 19-20,

19 6. 60 minutes talk, Research Seminar, Xi an Jiaotong University, October 29, minutes talk, First China Forum on Financial Product Investment and Risk Management, Beijing, September 10-12, minutes talk, First China Forum on Financial Product Investment and Risk Management, Beijing, September 10-12, minutes talk, The Inaugural Conference of Ningbo-Nottingham International Finance Forum, Ningbo, September 6-7, minutes talk, Financial Mathematics Seminar, XJTLU, Suzhou, December 17, minutes talk, College Study Methods and Planning, Soochow University, Suzhou, December 11, minutes talk, Financial Mathematics Seminar, University of Minnesota, Twin City, February 27, minutes talk, IMA/MCIM, Industrial Problems Seminar, University of Minnesota, Twin City, February 27, minutes talk, Department of Mathematics, University of Leicester, United Kingdom, October 20, minutes talk, Division of Mathematical Science, Nanyang Technological University, Singapore, September 17, minutes talk, School of Systems & Enterprises, Stevens Institute of Technology, New Jersey, July 28, minutes talk, Capital Market Research, Fannie Mae, Washington DC, July 24, minutes talk, Department of Finance, School of Business, Quinnipiac University, Connecticut, March 2, minutes talk, Maseeh Mathematics & Statistics Colloquium Series, Portland State University, December 2,

20 20.Invited session organizer and speaker, Third MIT Conference on Computational Fluid and Solid Mechanics, June 14-17, 2005, Cambridge, MA minutes talk, Applied Mathematics Seminar, New Jersey Institute of Technology, April 8, minutes talk, SIAM Annual Meeting, July 12-16, minutes invited speaker, at Fourth World Congress of Nonlinear Analysis, Orlando, Florida, June 30 - July 7, minutes invited speaker, Fourth International Conference on High Energy Density Laboratory Astrophysics, Ann Arbor, Michigan, February 23-25, minutes talk, SIAM Annual Meeting, July 9-13, minutes talk, departmental seminar, Northwestern University, minutes talk, departmental seminar, University of Illinois at Chicago, minutes talk, departmental seminar, Penn State University, minutes talk, departmental seminar, University of Alberta, minutes talk, departmental seminar, North Carolina State University, minutes talk, departmental seminar, State University of New York at Stony Brook, minutes talk, departmental seminar, Argonne National Laboratory, minutes talk, departmental seminar, Oak Ridge National Laboratory,

21 其他报告 : 34.SIAM Conference on Financial Mathematics and Financial Engineering, November 19-20, 2010, San Francisco, Some Non-arbitrage Properties in Numerical Solutions for American Options. 35.SIAM Conference on Analysis of Partial Differential Equations, July 10-12, 2006, Boston, Monotonicity and Stability of Numerical Solutions for Obstacle Problems. 36.SIAM Annual Meeting, July 10-14, 2006, Boston, Numerical Modelling of Fluid Mixing for Laser Experiments and Supernova. 37.APS DFD 58th Annual Meeting, November 20-22, 2005, Chicago, Modelling and Simulation of Fluid Mixing for Laser Experiments and Supernova. 38.Frontier in Applied and Computational Mathematics, NJIT, May 13-15, 2005, Modelling and Simulation of Fluid Mixing for Laser Experiments and Supernova, (poster presentation) 39.SIAM Annual Meeting, July 12-16, 2004, Portland, OR, Supernova Simulations by Front Tracking Methods. 40.Conference on Analysis, Modelling and Computation of PDE and Multiphase Flow, Aug. 3-5, 2004, Stony Brook, NY. Supernova and ICF Simulations by Front Tracking Methods. 41.Frontiers in Applied and Computational Mathematics, May 21-22, 2004, New Jersey Institute of Technology. Supernova and ICF Simulations by Front Tracking Methods th Annual Meeting of the Division of Fluid Dynamics, East Rutherford, New Jersey, November 23-25, Front Tracking for Multiphase Fluid Mixing. 43.Multiphase Flow 2003, Computational Methods in Multiphase Flow Santa Fe, New Mexico, November 3-5, Front Tracking for Multiphase Fluid Mixing. 21

22 44.The 2003 International Conference on Computational Science and Its Applications, Montreal, Canada, May 18-21, A Fast Algorithm for Moving Interface Problems. 45.SIAM Annual Meeting, July 9-13, Numerical Study of Axisymmetric Richtmyer-Meshkov Instability and Azimuthal Effect on Spherical Mixing. 46.SIAM Annual Meeting, July 10-14, Three dimensional axisymmetric simulations of fluid instabilities in curved geometry. 47.Third International Conference on Advances in Fluid Mechanics, May 2000, Montreal, Canada. Three dimensional axisymmetric simulations of fluid instabilities in curved geometry. 48.Eleventh Annual Conference on Applied Mathematics, 1995, Multilevel Projection Algorithm for Obstacle Problems. 研究论文 : Working Papers 1. Y. Zhang Monotonicity Properties of Perpetual American Options, Y. Zhang Sensitivity of American Option Prices to Payoff Functions, Y. Zhang Bisection Method for Perpetual American Options Pricing, P. Cheng, Z. Lin, Y. Liu, and Y. Zhang Real Estate in the Mixed-asset Portfolio: the role of illiquidity and investment horizon, submitted to Real Estate Economics, Y. Zhang Rate Lock Option Valuation Models under Stochastic Closing Ratio in Mortgage Pipelines, Y. Zhang, Extension and Application of Discrete Maximum Principle to Obstacle Problems,

23 Books 7. Y. Zhang (Editor), <<Steady Economic Growth and Financial Innovation>>, China Finance Publishing House, Y. Zhang (Editor), <<Finance and Investment in Marine Economy>>, in preparation, Refereed Publications in Journals 9. P. Chen, Z. Lin, Y. Liu and Y. Zhang, Has Real Estate Come of Age?, Journal of Real Estate Portfolio Management, Vol. 17, 3, , Y. Zhang, Mortgage Backed Securities Valuation and Risk Hedging, Journal of Risk Management, 10, pp , Y. Zhang, A two-dimensional flame tracking algorithm with application to type Ia supernova, Nonlinearity, 22, , Y. Zhang, R. P. Drake, and J. Glimm, Numerical Evaluation of Impact of Laser Preheat on Interface Structure and Instability, Physics of Plasma, 14, , Z. Xu, J. Glimm, Y. Zhang, and X. Liu, A Multiscale Front Tracking method for Compressible Free Surface Flows, Chemical Engineering Science Journal, 62 (13): , Y. Zhang, Convergence of Free Boundaries in Discrete Obstacle Problems, Numerische Mathematik,106: , Y. Zhang, Monotone Convergence of Finite Element Approximation of Obstacle Problems, Applied Mathematics Letters, 20, , Y. Zhang, J. Glimm, and S. Dutta, Tracked Flame Simulation for Type Ia Supernova, Computational Fluid and Solid Mechanics, ,

24 17.Y. Zhang, R. P. Drake, J. Glimm, J. W. Grove, and D. H. Sharp, Radiation Coupled Front Tracking Simulations for Laser Driven Shock Experiments, Nonlinear Analysis, 63/5-7, pp. e1635-e1644, S. Dutta, E. George, J. Glimm, J. Grove, H. Jin, T. Lee, X. Li, D. H. Sharp, K. Ye,Y. Yu, Y. Zhang, and M. Zhao, Shock Wave Interactions in Spherical and Perturbed Spherical Geometries, Nonlinear Analysis, 63/5-7, pp , Y. Zhang, J. Glimm, and R. P. Drake, Modelling and Simulation of Fluid Mixing for Laser Experiments and Supernova, Bulletin of American Physical Society, Vol.50, No. 9, pp. 178, S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, Spherical Richtmyer-Meshkov instability for axisymmetric flow, Mathematics and Computers in Simulation, 65 (2004) S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, Error Comparison in Tracked and Untracked Spherical Simulations, Computers & Mathematics with Applications, 48, , J. Glimm, H. Jin, and Y. Zhang, Front Tracking for Multiphase Fluid Mixing, Computational Methods in Multiphase Flow, 2, pp , Y. Zhang, Error Estimates for the Numerical Approximation of Time-dependent Flow of Bingham Fluid in Cylindrical Pipes by the Regularization Method, Numerische Mathematik, Vol 96, No. 1, , S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, A Fast Algorithm for Moving Interface Problems, Lecture Notes in Computational Science 2668: , J. Glimm, H. Jin, M. Laforest, F. Tangerman, and Y. Zhang, A Two Pressure Numerical Model of Two Fluid Mixtures, SIAM J. Multiscale Modelling and Simulation, 1: , R. P. Drake, H. F. Robey, O. A. Hurricane, Y. Zhang, B. A. Remington, J. Knauer, J. Glimm, D. Arnett, J. O. Kane, K. S. 24

25 Budil, J. W. Grove Experiments to produce a hydrodynamically unstable spherically diverging system of relevance to instabilities in supernovae, Astrophysical Journal, Vol. 564, 2, , J. Glimm, J. W. Grove, Y. Zhang, and S. Dutta, Numerical Study of Axisymmetric Richtmyer-Meshkov Instability and Azimuthal Effect on Spherical Mixing, J. Stat. Physics, Vol. 107, nos 112, , J. Glimm, J. W. Grove, and Y. Zhang, Interface Tracking for Axisymmetric Flows, SIAM J. Sci. Comp., Vol 24, No. 1, , Y. Zhang, Multilevel Projection Algorithm for Obstacle Problems, Computers and Mathematics with Applications 41 (2001) J. Glimm, J. W. Grove, and Y. Zhang, Three Dimensional Axisymmetric Simulations of Fluid Instabilities in Curved Geometry, Advances in Fluid Mechanics, 3, , Y. Zhang, A Posterior Error Analysis of a Two-level Scheme for Solving the Obstacle Problem, INFORMATION, Vol. 3, No. 4, , October Refereed Publications in Conference Proceeding 32.R. Liu, X. Li, and Y. Zhang, Mixed Portfolio Allocation with Real Estate Asset in Chinese Market, The Second Conference of Ningbo-Nottingham International Finance Forum Paper Series, forthcoming, China Finance Publishing House, Y. Zhang, Risk Management for Mortgage Pipeline, Proceeding of the Inaugural Conference of Ningbo-Nottingham International Finance Forum, pp , Economics Science Press, Y. Zhang, Pricing and Risk Management for Mortgage Backed Securities, Proceeding of First China Forum on Financial Product Investment and Risk Management, pp , Y. Zhang, Hedging Mortgage Pipeline Risk using Capital Market Instruments, Proceeding of First China Forum on 25

26 Financial Product Investment and Risk Management, pp , Y. Zhang, Some Non-arbitrage Properties in Numerical Solutions for American Options, Proceeding of SIAM Conference on Financial Mathematics and Financial Engineering, 26, Y. Zhang, American Option Pricing Model as an Obstacle Problem, Proceeding of SIAM Annual Meeting, Y. Zhang Numerical Measurement of Impact of Laser Preheat in Laboratory Astrophysics Experiments, Proceeding of SIAM Annual Meeting, J. Glimm, H. Jin, and Y. Zhang, Front Tracking for Multiphase Fluid Mixing, Proceeding of Division of Fluid Dynamics 56th Annual Meeting, KB.008, American Physical Society, Non-Refereed Papers, Report and Other Articles: 40. Y. Zhang, Z. Yang, W. Tu, and A. Shen, Construction of Ningbo Sci-Tech Finance System, Ningbo Government Policy Paper, P. Cheng, Z. Lin, Y. Liu, and Y. Zhang, The Real Estate Allocation Puzzle: Factor or Fiction, J. of Portfolio Management, under review, also available in Social Science Research Network ( Y. Zhang, A Non-arbitrage Condition on Payoff Functions for American Option, preprint, P. Cheng, Z. Lin, Y. Liu, and Y. Zhang, Serial Persistence and Holding Period Dependence of Real Estate Risk, preprint, J. Glimm, X. Li, and Y. Zhang, Modelling and Simulation of Fluid Mixing Laser Experiments and Supernova, National Nuclear Security Administration Progress Report, Award Number: DEFGS206NA 26208, J. Glimm and Y. Zhang, Laser Fusion and Turbulent Mixing, Advanced Energy Research and Technology, Page 5,

27 46.Y. Zhang, Monotonicity and Stability of Numerical Solutions for Obstacle Problems, Preprint, Y. Zhang, J. Glimm, S. Dutta, and P. Lavergne, Interface Tracking for Reactive Flows with Application to Type Ia Supernova, Preprint, R. P. Drake, Y. Zhang, and etc., Experimental Astrophysics on Omega Laser, National Nuclear Security Administration Final Report, Award Number: DEFG5203SF22689, S. Dutta, J. Glimm, and Y. Zhang, LES Simulations of Turbulent Combustion in a Type Ia Supernova, University at Stony Brook preprint number AMS-05-05, Y. Zhang, R. P. Drake, J. Glimm, and P. Lavergne, Numerical Measurement of Impact of Laser Preheat on Interface Structure and Instability, University at Stony Brook Report, AMS-03-13, J. Glimm, J. Grove, and Y. Zhang, Numerical Calculation of Rayleigh-Taylor and Richtmyer-Meshkov Instabilities for Three Dimensional Axisymmetric flows in Cylindrical and Spherical Geometries, Los Alamos Laboratory, Report# LA-UR , Y. Zhang, Numerical Solution of Variational Inequalities, Ph.D. thesis, University of Chicago, Y. Zhang, Implementation of MA Prediction Algorithm, Applied Science Laboratory, GE Medical Systems, Y. Zhang, File Structure and Operation Manual for CT/i Implementation of MA Prediction Algorithm, Applied Science Laboratory, GE Medical Systems, Y. Zhang, A Monotonicity Principle and L1-Error Bound for a Discrete Obstacle Problem, Technical Report (TR-96-21), University of Chicago,

28 Papers in Wells Fargo Internal Research 56.Y. Zhang, D. Key, D. Sweeney, and J. Ahlart A New Fallout Model for Mortgage Pipeline Valuation, Capital Market Finance Document, Wells Fargo, Y. Zhang and D. Key An Alternative Method for Valuing Hedge Cost Variability, Capital Market Finance Document, Wells Fargo, Y. Zhang Transition Probabilities between Statuses for Rate Locks, Capital Market Finance Document, Wells Fargo, Y. Zhang Reverse Mortgage Cash Flow Modelling, Capital Market Finance Document, Wells Fargo, Y. Zhang Look back options with hurdle adjustment, Capital Market Finance Document, Wells Fargo, Y. Zhang ADCO Prepayment Model Tuning for Quantitative Risk Management (QRM) System, Capital Market Finance Document, Wells Fargo, Y. Zhang Comparative Study for Black-Karasinski model and Hull-White model within QRM framework, Capital Market Finance Document, Wells Fargo, Papers in J. P. Morgan Internal Research 63.. Y. Zhang Valuation and Hedging for Mortgage Backed Securities, Capital Market Research Report, J. P. Morgan, Y. Zhang Prediction Models for Daily MSR Portfolio Values, Capital Market Research Report, J. P. Morgan, Y. Zhang Hedging Strategies for Mortgage Servicing Rights, Capital Market Research Report, J. P. Morgan, Y. Zhang Multifactor Libor Market Interest Rate Models Calibration, Capital Market Research Report, J. P. Morgan,

29 67.Y. Zhang WaMu Loan Level Mortgage Prepayment Models, Capital Market Research Report, J. P. Morgan, Y. Zhang WaMu Pool Level Mortgage Prepayment Models, Capital Market Research Report, J. P. Morgan, Y. Zhang Swap based Mortgage Index Models, Capital Market Research Report, J. P. Morgan, Y. Zhang Mean-reversion Mortgage Spread Models, Capital Market Research Report, J. P. Morgan,