李辰旭 - 北京大学 - 光华管理学院

个人简介

教育背景 2010 美国哥伦比亚大学数学博士 2004 中国科学技术大学数学学士职业经历 2021.08—至今北京大学光华管理学院商务统计与经济计量系教授 2015.08—2021.07 北京大学光华管理学院商务统计与经济计量系副教授 2010.06—2015.07 北京大学光华管理学院商务统计与经济计量系助理教授

研究领域

金融计量经济学金融工程学

近期论文

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Chen, D., Li, C., Tang, C. Y., Yan, J., 2023. The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models. Journal of Business and Economic Statistics, forthcoming. Aït-Sahalia, Y., Li, C., Li, C. X., 2022. Maximum Likelihood Estimation of Latent Markov Models Using Closed-Form Approximations. Journal of Econometrics, forthcoming. Chen, D., Li, C., 2022. Closed-Form Expansion for Option Price under Stochastic Volatility Model with Concurrent Jumps. IISE Transactions, forthcoming. Aït-Sahalia, Y., Li, C., Li, C. X., 2021. Implied Stochastic Volatility Models. Review of Financial Studies, 34(1), 394–450. Aït-Sahalia, Y., Li, C., Li, C. X., 2021. Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps. Journal of Econometrics, 222(1), 364-392. Cai, N., Li, C., Shi, C., 2021. Pricing Discretely Monitored Barrier Options: When Malliavin Calculus Expansions Meet Hilbert Transforms. Journal of Economic Dynamics and Control, 127, 104113. Li, C., Ye, Y., 2019. Pricing and Exercising American Options: an Asymptotic Expansion Approach. Journal of Economic Dynamics and Control, 107, 103729. Li, C., Wu, L., 2019. Exact Simulation of the Ornstein-Uhlenbeck Driven Stochastic Volatility Model, European Journal of Operational Research, 275(2), 768-779. Li, C., Chen, D., 2016. Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions. Journal of Econometrics 195 (1), 51-70. Li, C., 2016. Bessel Processes, Stochastic Volatility, and Timer Options, Mathematical Finance, 26(1), 122–148. Li. C, An, Y., Chen, D., Lin, Q., Si, N., 2016. Efficient Computation of Likelihood Expansions for Diffusion Models, IIE Transactions, 48(12), 1156-1171. Li, C., 2014. Closed-form Expansion, Conditional Expectation, and Option Valuation, Mathematics of Operations Research, 39, 487-516. Cai, N., Li, C., Shi, C., 2014. Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models, Mathematics of Operations Research, 39(3), 789-822. Li, C., 2013. Maximum-Likelihood Estimation for Diffusion Processes via Closed-Form Density Expansions. Annals of Statistics 41, 1350-1380. Li, C., 2010. Managing Volatility Risk: Innovation of Financial Derivatives, Stochastic Models and Their Analytical Implementation, PhD Dissertation, Columbia University.