Selected Publications in Finance
- [In Chinese] Volatility Features and Jump Behavior of Shanghai 50ETF Market Based on Levy-GARCH Model, with Zunxin Zheng, Huaran Wang, Chinese Journal of Management Science, 2018, forthcoming.
- [In Chinese] Monetary Impulses, Trade Finance Arbitrage, and the Financialization of Commodities in China, with Zunxin Zheng, Yingzhao Ni, Xiaoguang Xu, Management World, June 2018.
- [In Chinese] Option pricing for the dynamics of jump-diffusion model with jump self-exciting and the asymmetric cross-feedback effect, with Zunxin Zheng, Hengyu Wu, Systems Engineering-Theory & Practice, 2018, 38 (1): 1-15.
- [In Chinese] Dynamic Structure of a Currency Basket for RMB Exchange Rates, with Genhua Hu, Hengyu Wu, World Economy Studies, 2017,279(5):1-12.
- [In Chinese] Option valuation for the double-factor-cross-feedback infinite activity jump-diffusion model, with Zunxin Zheng, Hengyu Wu, Journal of Systems Engineering, 2017, 32(05): 638-647.
- [In Chinese] Sequential parameter learning for Lévy-driven volatility models, with Hengyu Wu, Jinming Wen, Aaron Kim, Systems Engineering-Theory & Practice, 2017, 37 (3): 556-569.
- [In Chinese] Option Pricing Based on Conditional Infinite Pure Jump Lévy Processes with Leverage Effect, with Hengyu Wu, Jinming Wen, Journal of Management Sciences in China. 2014, 17(8): 74-94.
- [In Chinese] European option pricing for GARCH dynamic infinite activity Lévy processes based on parameter learning, with Hengyu Wu, Genhua Hu, Jinming Wen, Systems Engineering-Theory & Practice, 2014, 34(10): 2465-2482.
- [In Chinese] Option pricing based on ARMA-GARCH with tempered stable Lévy processes, with Hengyu Wu, Jinming Wen, Systems Engineering-Theory & Practice, 2013, 33(11): 2721-2733.
Selected coauthored Publications in Mathematics or Engineering
- Jinming Wen, Jie Tang, Fumin Zhu*. Greedy Block Coordinate Descent under Restricted Isometry Property, Mobile Networks and Applications, 2017, 22(3): 371-376. (SCI: IF=3.259, JCR WoS Q1)
- Chao Tong, Yu Lian, Ji Qi, Zhongyu Xie, Ao Zhang, Jingyuan Feng, Fumin Zhu*, A Novel Classification Algorithm for New and Used Banknotes, Mobile Networks and Applications, 2017, 22(3): 395–404. (SCI: IF=3.259, JCR WoS Q1)
- Chao Tong, Jun Li, Fumin Zhu*, A convolutional neural network based method for event classification in event-driven multi-sensor network, Computers & Electrical Engineering, 2017, 60(1): 90-99. (SCI: JCR WoS Q2)
- Honghong Yang, Shiru Qu, Fumin Zhu*, Zunxin Zheng, Robust objectness tracking with weighted multiple instance learning algorithm, Accepted in Neurocomputing, 2017. (SCI: JCR WoS Q1).
- Jiahong Zhao, Fumin Zhu*, A multi-depot vehicle-routing model for the explosive waste recycling, International Journal of Production Research, 2016, 54(2), 550–563. (SCI: JCR WoS Q1).
- Jinming Wen, Dongfang Li, Fumin Zhu, Stable Recovery of Sparse Signals via $L_p$-Minimization, Applied and Computational Harmonic Analysis. 2015, 38(1), 161-176. (SCI: JCR WoS Q1、CAS Q1).
Research Experience & Projects
- January, 2017 – December, 2019: Supported by National Natural Science Foundation of China (NSFC, No. 71601125), Title: Option pricing for cross-feedback jump-diffusion double-factor model with tempered stable Lévy processes. In Charge.
- April, 2014 – April, 2015: Supported by “the Fundamental Research Funds for the Central Universities”, Title: Option pricing and risk management for infinite jump dynamic volatility models, No: JBK1407164; In Charge.
- October, 2012 - October, 2014: Visiting student & joint Ph.D., Quantitative Finance program, Department of Applied Mathematics and Statistics, State University of New York at Stony Brook.
- September, 2011- October, 2013: Research Assistant, School of Economic Information Engineering, Southwestern University of Finance and Economics.