徐玉红
职称: AP
院部/部门: 数学学院

电子邮箱: yhxu@suda.edu.cn

联系电话: 051265112418

办公地点: 金融工程研究中心

个人简介

Education and working experience

2016-02      National University of Singapore, Research Fellow

2015-07 2015.08  HKU, Research associate

2013-09 2014.08  Universitéde Brest, France, Postdoctor

2013-08            Soochow University, associate professor

2009-09 2013.07  Shandong University, Ph.D student supervised

                            by Prof. Shige Peng




研究方向

Research Interests
· Portfolio management

· Risk measurement 
· Equilibrium theory
· Economic models with incomplete information

· Stochastic control

· Differential games

 ·Backward stochastic differential equation

 ·Nonlinear expectation

科学研究

Reviewer

Systems & Control Letters; StochasticProcesses and their Applications; Dynamic Games and Applications; Journal of Economic Dynamics & Control; Mathematical Reviews; Asia-PacificJournal of Operational Research;  ESAIM: Control, Optimisation and Calculus of Variations, Asian Journal of Control, J of management sciences in China(管理科学学).

Fellow

Association of  Financial Engineering and Financial Risk Management of Operational Research, China;

National Collaborative Innovation Center for Quantitative Calculation and Control of Financial Risk;

Meeting (co-)Organized
2016MFDP
2017MFDP

科研团队

论文成果

Preprint

6. Consistent interpretation for family firm puzzle. 1-32, Preprint.

5Jia Guangyan, Xia Jianming, Xu Yuhong, Zhang Na,  Arrow-Pratt Theory for Variational Preferences: A Continuous-Time Model, 1-32, Preprint.
4. Xu Yuhong, Kelly criteria under model uncertainty, 1-29, Preprint.

3. Worst-Case Value at Risk and Portfolio Management: A Simple Method Incorporating Model Uncertainty, 1-32, Preprint.

2. Dai Min, H Jin, Kou Steven, Yuhong Xu, Bridging Mean-Variance and CRRA Utility in continuous-time markets, 1-42, Preprint.
1. Jia Guangyan, Xu Yuhong, A note on g-concave function, 1-7, Preprint. 


Publication
9. Lam C, Xu Yuhong, Yin, G, Dynamic portfolio selection without cash, 1-30, Quantitative Finance, 2018
https://doi.org/10.1080/14697688.2018.1465580
.
(2018 IF 1.17)

8.Xu, Yuhong. Robust Valuation, Arbitrage Ambiguity and Profit& Loss Analysis. Journal of the Operations Research Society of China 6.1 (2018): 59-83.

7.  Xu Yuhong, An existence theorem for multidimensional BSDEs with mixed  reflectionsComptes Rendus Mathematique, 354(11) (2016), 1101-1108.

6.  Xu Yuhong, Multidimensional dynamic risk measure via conditional g-expectation, Mathematical Finance, 26(3),  (2016) ,  638–673.

(2016 IF 2.414)

5.  Xu Yuhong, Stochastic maximum principle for optimal control with multiple priors, Systems &Control Letters, 64, (2014), 114–118.

(2016 IF 2.55)

4.  C.Jimenez, M. Quincampoix, Y. H. Xu, Differential games with incomplete information on a continuum of initial positions and without Isaacs condition, Dynamic Games and ApplicationsMarch 2016, Volume 6, Issue 1, pp 82–96
(2016 IF 1.647)

3.  Buckdahn, M. Quincampoix, C. Rainer, Yuhong Xu, Differential games with asymmetric information and without Isaacs condition,1-21, International Journal of Game TheoryNovember 2016, Volume 45, Issue 4, pp 795–816

2. Xu Yuhong, Multidimensional BSDEs with left-Lipschitz coefficientsJ.Math.Sci.Univ. Tokyo, 20 (1) (2013), 115-126.

1. Xu Yuhong, Probabilistic solutions for aclass of path-dependent HJB equations, Stochastic Analysis and Applications, 31(3) (2013), 440-459.

荣誉奖励

课程教学

Stochastic Calculus for Finance;

Risk Management and Financial Institute;

Probability and Statistics;

Options, Futures and Other derivatives;

Useful links:
1. 从实战经验来看,究竟如何才能做出赚钱的量化投资策略?
2.  赶快实行房产税 实施后房价不会暴跌



招生信息

标准:做人厚道,做事靠谱,喜欢钻研