林炜

姓名：林炜    

职称：讲师

邮箱：weilin1991@zju.edu.cn/weilin1991@hznu.edu.cn

教学与课程：

本科课程：数学分析，概率论与数理统计, Derivatives, Mathematical Finance

研究生课程：金融随机分析

学术交流：

1. The 15^th Annual Conference on Financial Engineering, Xinjiang Universty of Finance & Economics, Aug.2016-Sep.2016

2. Graduate Summer School on Quantitative Finace, Soochow University, Jul.2017-Aug.2017

3. The 2021 New Zealand Finance Colloquium

学术研究：

2021

1. Xiaoyu Tan Chengxiang Wang Wei Lin Jin E. Zhang Shenghong Li Xuejun Zhao Zili Zhang. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps." Journal of Futures Markets, 41(4), 439-457.

2. Wei Lin and Jin. E Zhang. “Prcing VXX Option by Modelling VIX Directly.” Journal of Futures Markets. (Conditional Accepted)

2019

1. Lin, Wei and Jin E. Zhang, 2019, The Positive-Definite Region of Cumulants for the Gram-Charlier Densities. (Under Review)

2018-

1. Lin, Wei, Shenghong Li, Shane Chern, and Jin E. Zhang, 2018, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, (2019) 22:41–75.

2. W. Lin, S. Li, and S. Chern, Pricing and Hedging Options in Normal Tempered Stable Process with 4/2 Stochastic Volatility, SCIENTIA SINICA Mathematica , 48 (2018), No.1, 201

2015-2017

1. W. Lin, S, Li, X. Luo, and S, Chern, Consistent pricing of VIX and equity derivatives with 4/2 stochastic volatility plus jumps model, Journal of Mathematical Analysis and Application, 447 (2017), No.2, 778-797.