Welcome to Xingchun Wang's Homepage

Xingchun Wang Current Address: School of Mathematical Sciences, Nankai University, Tianjin 300071, China DH53, Mathematical Institute, Oxford University, St Giles' 24-29, Oxford, OX1 3LB, UK Emails: xchwangnk@aliyun.com wangx@maths.ox.ac.uk

Curriculum Vitae

Education

• Sept. 2008 to present, Ph.D. Candidate in School of Mathematical Sciences, Nankai University, Tianjin, China. Supervisor: Prof. Yongjin Wang

• Jan. 2013 to Jan. 2014, Joint Ph.D. student in Mathematical Institute, Oxford University, Oxford, UK. Supervisor: Prof. Hanqing Jin

• July 2008, B.Sc. in Applied Mathematics, Nankai University, Tianjin, China

Research Interests

• Stochastic Processes and Stochastic (Partial) Differential Equations.

• Credit Risk and Derivatives Pricing.

Funding

• 2012-2013: Scholarship Award for Excellent Doctoral Student (CNY30,000), Ministry of Education of China.

 Publications

1. Rare shock, two-factor stochastic volatility and currency option pricing, with Guanying Wang and Yongjin Wang, Applied Mathematical Finance, forthcoming, 2013.

2. Variance-Optimal Hedging for Target Volatility Options, with Yongjin Wang, Journal of Industrial and Management Optimization, forthcoming, 2013.

3. Pricing Vulnerable Options with Correlated Credit Risk under Jump-Diffusion Processes, with Lihui Tian, Guanying Wang and Yongjin Wang, Journal of Futures Markets, forthcoming, 2013.

4. Credit Spreads, Endogenous Bankruptcy and Liquidity Risk, with Jianping Fu and Yongjin Wang, Computational Management Science, 9(4): 515-530, 2012. Download

5. Stochastic wave equation of pure jumps: Existence, uniqueness and invariant measures, with Yiming Jiang and Yongjin Wang, Nonlinear Analysis: Theory, Methods & Applications, 75(13): 5123-5138, 2012. Download

6. On a stochastic heat equationwith first order fractional noises and applications to finance, with Yiming Jiang and Yongjin Wang, Journal of Mathematical Analysis and Applications, 396(2): 656-669, 2012. Download

 Preprints and Working Papers

1. The Exponential Stabilities on the Solutions of two Stochastic Burgers Equations with Jump Noises, with Guanying Wang, Suxin Wang and Yongjin Wang, submitted, 2012.

2. The Asymptotics of the Solutions of the Stochastic Wave Equations Driven by a Non-Gaussian Levy Process, with Yiming Jiang, Suxin Wang and Yongjin Wang, submitted, 2012.

3. The Asymptotics of the Solutions for Stochastic Wave Equations with Jump Noises, with Suxin Wang and Yongjin Wang, submitted, 2012.

4. Variance-Optimal Hedging for Volatility Swaps, with Jianping Fu and Yongjin Wang, submitted, 2012.

5. Variance-Optimal Hedging for Variance Swaps, with Jianping Fu, Yuanji Lin and Yongjin Wang, Working Paper, 2012.

6. Pricing Vulnerable American Put Options under Jump-Diffusion Processes, with Guanying Wang and Yongjin Wang, Working Paper, 2012.

Honors and Awards:

• Chinese Government Award for Outstanding Students, 2012.

• Scholarship Award for Excellent Doctoral Student, Ministry of Education of China, 2012.

• Outstanding Winner of Graduate Student Scholarship, Nankai University, 2012.