陈文婷

系别：金融系

职称：教授

联系方式：

科学研究：研究方向：金融数学，金融工程

近五年发表论文情况（*代表通讯作者）：
1. X.-J. He and W.-T. Chen*, A semi-analytical formula for European options under a hybrid Heston-CIR model with regime switching,  International Journal of Finance and Economics, (2019), accepted on 13/09/2019. (SSCI)
2. Z.-D. Cen and W.-T. Chen*, A HODIE finite difference scheme for pricing American options, Advances in Difference Equations, (2019) accepted and published online 2019:67.https://doi.org/10.1186/s13662-018-1917-z. (SCI,SSCI双收录，0.970)
3. W.-T. Chen ,X.-J. He  and S. Lin, Pricing credit default swaps with Parisian and Parasian default mechanics, Communications in Statistics-Simulation and Computation, (2019) accepted and published online https://doi.org/10.1080/03610918.2019.1653913.(SCI，SSCI双收录，0.483)
4. G. Ma*, S.-P. Zhu and W.-T. Chen, Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation, 357(2019), 243-257. (SCI,SSCI双收录，2.377)
5.  W.-T. Chen ,X.-J. He * and X.-Z. Qiu, Analytically pricing credit default swaps under a regime-switching model, Fluctuation and Noise Letters, 18(3)(2019):1950021. (SCI,SSCI双收录，0.836)
6. W.-T. Chen and S. Lin*,  Option pricing under the KoBol model, The ANZIAM Journal, 60(2018), 175-190. (SCI,SSCI双收录，0.595)
7. H. Fu, W.-T. Chen and X.-J. He*, On a class of estimation and test for long memory, Physica A: Statistical Mechanics and its Applications, 509(2018): 906-920 .(SCI,SSCI双收录，2.292)
8. X.-J. He and W.-T. Chen*, A Monte-Carlo based approach for pricing credit default swaps with regime switching, Computers & Mathematics with Applications, 76(28)(2018):1758-1766. (SCI,SSCI双收录，2.067)  
9. W.-.T. Chen*, K. Du, X.-Z. Qiu, Analytic properties of American option prices under a modified Black–Scholes equation with spatial fractional derivatives, Physica A: Statistical Mechanics and its Applications, 491(2018): 37-44 . (SCI,SSCI双收录)
10. W.-T. Chen, M.-Y. Du and X. Xu*, An explicit closed-form analytical solution for European options under the CGMY model, Communications in nonlinear science and numerical simulations, 42(2017):285-297. (SCI, SSCI双收录，3.311)
11. W.-T. Chen*, B.-W. Yan, G.-H. Lian and Y. Zhang, Numerically pricing American options under the Generalized Mixed Fractional Brownian Motion model, Physica A: Statistical Mechanics and its Applications,451(2016):180-189. (SCI,SSCI双收录, 2.292,)
12. W.-T. Chen*, L.-B. Xu and S.-P. Zhu, Stock loan valuation under a stochastic interest rate model，Computers & Mathematics with Applications, 70(8)(2015):1757-1771. (SCI,SSCI双收录，2.067)
13. W.-T. Chen, X. Xu* and S.-P. Zhu, A predictor-corrector approach for pricing American options under the finite moment log-stable model, Applied Numerical Mathematics, 97(2015), 15-29. (SCI,SSCI双收录, 1.343)
14. W.-T. Chen*, X. Xu and S.-P. Zhu, Analytically pricing double barrier options based on a time-fractional Black–Scholes equation, Computers & Mathematics with Applications 69(12)(2015), 1407-1419. (SCI,SSCI双收录，2.067)
15. S.-P. Zhu*, L.-N Le, W.-T. Chen and X.-P. Lu, Pricing Parisian down-and-in options, Applied Mathematics Letters 43(2015), 19-24.(SCI，SSCI双收录，2.727)

主持基金情况：
1. URC small grant (主持), 题目：Analytically pricing perpetual American options under the fractional-order Black-Scholes equation, University of Wollongong, 2013/01-2013/12,金额: AU$6,500.
2.澳洲基金面上项目(联合主持), 题目：The effect of bans on short selling: a comprehensive study, 澳洲基金委, 2014/01–2016/12, 金额: AU$400,000.
3.江苏省自然科学基金（青年基金）（主持）, 题目：分数阶导数模型下的信用违约互换，项目编号：BK20160156，2016/06-2019/06, 金额：20万人民币。
4.国家自然科学基金（青年项目）（主持），题目：基于随机时间游走模型的期权定价，项目编号：11601189,  2017/02-2019/12, 金额：19万人民币。

主讲课程：本科生：金融工程、固定收益证券、Finance（全英文）