商务统计与经济计量系
副教授
cxli@gsm.pku.edu.cn
简介:
李辰旭博士，北京大学光华管理学院副教授，博士生导师，致力于金融计量和金融工程等领域的研究。多项研究成果已跨越领域地成功发表在国际一流的统计学、计量经济学、运筹学、数理金融学、工业与系统工程学期刊上，包括Annals of Statistics、Journal of Econometrics、 Mathematics of Operations Research、Mathematical Finance、IIE Transactions等。荣获由国际工业与系统工程学会（The Institute of Industrial and Systems Engineers）颁发的IIE Transactions运筹学最佳论文奖“2018 Operations Engineering and Analytics Best Paper Award”、全国第七届教育部高等学校科学研究优秀成果奖（人文社会科学）、第十三届北京大学人文社会科学研究优秀成果奖、正大奖教金等。作为研究的实践，参与金融机构的衍生品定价与量化交易模型的开发和改进。在北京大学光华管理学院他讲授金融中的数学方法、随机分析与应用、管理学中的回归方法、数量分析方法等课程。2004年获中国科学技术大学数学学士学位，2010年获美国哥伦比亚大学博士学位。他兴趣广泛，对文化艺术特别是钢琴演奏及钢琴艺术鉴赏和研究拥有诚挚的热爱。

研究领域:
Financial Econometrics and Financial Engineering,Stochastic Modeling,Applied Probability
职业经历:
2015至今北京大学光华管理学院商务统计与经济计量系副教授2010—2015北京大学光华管理学院商务统计与经济计量系助理教授
研究成果:
Selected Journal Article Publications:
[1] C. Li (2013). Maximum-likelihood Estimation for Diffusion Processes via Closed-form Density Expansions, Annals of Statistics, 41(3), 1350-1380.
[2] C. Li (2014). Closed-form Expansion, Conditional Expectation, and Option Valuation, Mathematics of Operations Research, 39(2), 487-516.
[3] N, Cai, C. Li, and C. Shi (2014). Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models, Mathematics of Operations Research, 39(3), 789-822.
[4] C. Li (2016). Bessel Processes, Stochastic Volatility, and Timer Options, Mathematical Finance, 26(1), 122-148.
[5] C. Li and D. Chen (2016). Estimating Jump-Diffusions Using Closed-form Likelihood Expansions, Journal of Econometrics, 195(1), 51-70.
[6] C. Li, Y. An, D. Chen, Q. Lin, and N. Si (2016). Efficient Computation of Likelihood Expansions for Diffusion Models, IIE Transactions, 48(12), 1156--1171.
[7] C. Li (2010). Managing Volatility Risk: Innovation of Financial Derivatives, Stochastic Models and Their Analytical Implementation, PhD Dissertation, Columbia University.
Invited Presentations and Academic Visits:
 
Morgan Stanley, Global Quantitative Modelling Seminar, Beijing, China, June 2014
 
Financial Engineering and Risk Management International Symposium, Beijing, China, June 2014
Beijing Normal University, Beijing, China, June 2014
 
Chinese Academy of Sciences, Academy of Mathematics and System Sciences, Beijing, China, June 2014
 
Shanghai Jiaotong University, Antai College of Economics and Management, Shanghai, China, June 2014
 
Columbia University, Mathematical Finance Seminar, New York, US, May 2014
 
Princeton University, Bendheim Center for Finance, New Jersey, US, April 2014
 
Southwestern University of Finance and Economics, Chengdu, China, Nov. 2013
 
Asymptotic Statistics and Related Topics: Theories and Methodologies, Bernoulli Society Satellite Meeting to the ISI World Statistics Congress 2013, Tokyo, Japan, Sept. 2013
Risk Pricing and Related Topics in Financial Engineering, Shanghai, China, June, 2013
 
Workshop on Mathematical Finance and Related Issues, Kyoto, Japan, September 2012
 
Financial Engineering and Risk Management International Symposium, Changsha, China, June 2012
 
National University of Singapore, Singapore, May 2012
 
Young Researchers Workshop on Finance, Tokyo, Japan, March 2012
 
Statistical Analysis and Related Topics: Theory, Methodology, and Data Analysis, Tokyo, Japan, Dec. 2011
 
National School of Development, Beijing, China, Oct. 2011
 
Workshop on Nonlinear Expectation and it's Applications in Financial Econometrics, Beijing, China, July 2011
 
Hongkong University of Science and Technology, Department of Mathematics, Hongkong, Jan. 2010
Professional Activities:
 
Reviewer for Refereed Academic Journals:  Management Science, Mathematics of Operations Research, Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Econometrics, Econometric Theory, Journal of Economic Dynamics and Control, Journal of Business and Economic Statistics, Mathematical Finance, Quantitative Finance, European Journal of Operational Research, Operations Research Letters, Probability in the Engineering and Informational Sciences, Annals of the Institute of Statistical Mathematics, Asia-Pacific Financial Markets, etc.