陈剑利,浙江湖州人,中共党员,讲师。
一.教育和工作经历
1997.9--2001.6 浙江大学应用数学系 理学学士
2001.9--2004.4 浙江大学应用数学系 金融数学专业硕士
2006.9--2012.12 浙江大学应用数学系 金融数学专业博士
2004.4至今 浙江工业大学理学院应用数学系 专任教师
二.主持项目:
1.浙江省教育厅项目:基于多因子厚尾Copula模型的违约相关性研究
三.发表论文:
[1] Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model, Applied Mathematics and Computation, 2012, 219: 2909-2916. (SCI).
[2] Mixed copula model with stochastic correlation for CDO pricing, Economic Modelling, 2014, 40:167-174. (SSCI).
[3] 基于混合Copula的CDO定价模型. 高校应用数学学报,2013, 28(1):1-12. (核心一级).
[4] The mixed G-VG copula models and LHP approximation for CDO pricing, The 3rd International Conference on Computaional and Information Science, 2011.(EI).
[5] Mixed copula model with random recovery rate for CDO pricing, The 3rd International Conference on Computaional and Information Science, 2012.(EI).
[6] A dynamic copula for CDO pricing, the 3rd International Conference on Computational and Information Sciences, 2011. (EI).
[7] Most of returns of convertible funds in China come from a simple buy-and-hold strategy, The 3rd International Conference on Computaional and Information Science, 2012.(EI).
四.出版的书籍
[1]《数理金融学》,浙江大学出版社,2020年第一版。