熊德文Dewen Xiong
副教授Associate Professor

办公室??Office：
6 号楼 534
办公接待时间??Office Hour：
星期五下午1:30-3:30
办公室电话??Office Phone：
**
E-mail：
xiongdewen at sjtu.edu.cn
教育背景??Education：
博士，2005，上海交通大学
Ph.D., 2005, Shanghai Jiao Tong University

研究兴趣??Research Interests：
随机分析与金融数学
semimartingale; mathematical finance

教育背景/经历　Education
１９９１年９月－１９９５年７月　 四川师范大学数学系读本科；
１９９５年９月－１９９８年３月　上海交通大学应用数学系读硕士；
２０００年９月－２００５年３月　上海交通大学数学系读博士
工作经历　Work Experience
１９９８年４月　至今：　上海交通大学数学系；
２００６年８月－２００７年７月：　德国康斯坦茨大学数学与统计系　访问****
2009年2月－2009年7月：德国康斯坦茨大学数学与统计系　访问客座

研究兴趣
１　金融数学－－不完全市场期权定价，效用优化等；
２　随机分析在金融中的应用；
3 算法交易与动态数据分析

主讲课程
１．概率与数理统计（面上）；　２．随机过程（数学学院本科生）；　３．概率论（数学学院本科生）；　４．高等数理统计（研究生）；5.统计推断与决策（应用统计专硕）

主持（参加）项目：
主持国家自然科学基金（青年基金）项目：具有"一般跳"的连续时间金融模型的若干理论问题（**）
主持上海市自然科学基金面上项目：多次扩大信息流问题及其在金融中应用，（13ZR**)
参加国家９７３项目“金融风险控制中的定量分析与计算”的子项目“信用风险分析和信用衍生产品定价”（项目编号：2007CB814903）
主持国家自然科学基金面上项目：基于市场行情的“个性化”行为（风险）度量及其效用优化问题（**，2017,1-2020,12）

发表论文（Published Papers）
[28] Samuel Drapeau, Peng Luo and Dewen Xiong(2020):Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization,Electronic Journal of Probability,Volume 25, paper no. 24, 26 pp (https://projecteuclid.org/euclid.ejp/)

[27] Bin Li, Peng Luo and Dewen Xiong(2019):Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization,SIAM J. FINANCIAL MATH,Vol. 10, No. 2, pp. 394--429.

[26] Bin Li, Lihe Wang & Dewen Xiong (2018): Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences, Stochastics, 90:4, 524-538, DOI: 10.1080/**.2017.**

[25]Bin Li, Danping Li and Dewen Xiong(2016): Alpha-robust mean-variance reinsurance-investment strategy, Journal of Economic Dynamics and Control, Volume 70, September 2016, Pages 101–123

[24]Yongxu Jiang, Peng Luo, Lihe Wang & Dewen Xiong（2016）：Utility maximization under g*-expectation, Stochastic Analysis and Applications, 34:4, 644-661, DOI:10.1080/ **.2016.**

[23] Kun Tian, Dewen Xiong and Zhongxing Ye(2014): Dynamic CRRA-utility indifference value in generalized Cox process model， Journal of Financial Engineering，29pages, DOI: 10.1142/S00354.
[22] Kun Tian, Dewen Xiong and Zhongxing Ye(2014): The Dynamic Spread of the Forward CDS with General Random Loss, Abstract and Applied Analysis, Volume 2014, Article ID 580713, 17 pages
http://dx.doi.org/10.1155/2014/580713
[21] Dewen Xiong (2014): The exp-UIV for Markets with Partial Information and Complete Information, Stochastic Analysis and Applications, 32:5, 851-875, DOI:
10.1080/**.2014.939540
[20] Michael Kohlmann , Li Siyuanand Dewen Xiong (2013): A Generalized Ito-Ventzell Formula to Derive Forward Utility Models in a Jump Market, Stochastic Analysis and Applications, 31:4, 632-662

[19] Dewen Xiong & Michael Kohlmann (2012): Modeling the Forward CDS Spreads with Jumps, Stochastic Analysis and Applications, 30:3, 375-402

[18] Dewen Xiong & Michael Kohlmann (2012): Defaultable Bond Markets with Jumps, Stochastic Analysis and Applications, 30: 2, 285-321

[17] Dewen Xiong and Michael Kohlmann(2011). The Compatible Bond-Stock Market with Jumps, International Journal of Theoretical and Applied Finance (IJTAF), 2011, vol. 14, issue 05, pages 723-755

[16] Xiong, Dewen and Kohlmann, Michael(2011). ‘Opimal Exponential Utility in a Jump Bond Market‘, Stochastic alysis and Applications, 29: 1, 78 — 105
[15] Kohlmann, Michael and Xiong, Dewen(2010). "Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems"，Stochastic Analysis, Stochastic Systems, and Applications to Finance (WSPC –proceedings ), P163-210
[14] Xiong, Dewen and Kohlmann, Michael(2010). ‘The Mean-Variance Hedging in a Bond Market with Jumps‘, Stochastic Analysis and Applications, 28: 5, 793 — 819
[13] Dewen Xiong and Michael Kohlmann (2010). ’An S-Related DCV Generated by a Convex Function in a Jump Market’, Stochastic Analysis and Applications, 2010,28: 2, 202 — 225. DOI: 10.1080/46389
[12] Michael Kohlmann and Dewen Xiong (2010). The S-Related Dynamic Convex Valuation in the Brownian Motion Setting, Stochastic Analysis and Applications,2010, 28: 2, 171 -189. DOI: 10.1080/46348
[11] Michael Kohlmann, Dewen Xiong and Zhongxing. Ye (2010). ’Mean Variance Hedging in a General Jump Model’, Applied Mathematical Finance,Vol.17, No.1, 29-57, March 2010. DOI: 10.1080/ 135048
[10] Dewen Xiong and Michael Kohlmann. The Mean variance hedging in a general jump market. Int. J. Theor. Appl. Finance, 13(5):789–820, 2010.

[9] Dewen Xiong and Michael Kohlmann (2009). The dynamic convex valuation related to the price process in a market with general jumps’, Stochastic Analysis and Applications, 27:3, 604 — 636, 2009. DOI: 10.1080/44504
[8] Dewen Xiong and Michael Kohlmann (2009).The dynamic q-valuation of a contingent claim in a continuous market model. Stochastic Analysis and Applications, 27: 95–124, 2009. DOI: 10.1080/64814
[7] Michael Kohlmann andDewen Xiong (2008).The minimal entropy and the converg -ence of the p-optimal martingale measures in a general jump. Stochastic Analysis and Applications, Vol.26, 2008, 941–977.
[6] Michael Kohlmann,Dewen Xiong and Zhongxing Ye (2007). Change of filtrations and mean-variance hedging. Stochastics: An International Journal of Probability and Stochastic Processes (formly Stochastics and Stochastics Reports), Vol. 79, No. 6, December 2007, 539–562.
[5]Michael Kohlmann andDewen Xiong (2007). The $p$-optimal martingale measure when there exist inaccessible jumps. International Journal of Pure and Applied Mathematics, Volume 37, No.3, 2007, 321-348.
[4]Michael Kohlmann andDewen Xiong (2007). The mean-variance hedging of a defaultable option with partial information. Stochastic Analysis and Applications, Volume 25, Issue 4 July 2007 , pages 869 - 893 .
[3]Wencai Chen, Dewen Xiong and Zhongxing Ye (2007). Information and dynamic coherent risk measures. Indian Journal Pure and Appled Mathematic, 38(2):79-96, April 2007.
[2] 熊德文、叶中行(2007)，具边信息的最优效用及其影响，《应用概率统计》，第23卷第1期（2007年2月），84－91
[1] Dewen Xiong(with Z. Ye). Optimal utility with some additional information. Stochastic Analysis and Applications, Volume 23, Issue 6, 2005, 1113 –1140.

获奖
I）上海交通大学2007-2008学年教学新秀；
II）上海交通大学最受欢迎的教师提名奖；
III) 上海交通大学2011年度烛光奖一等奖；
IV) 上海交通大学2017年度烛光奖二等奖；
V) “随机数学方向教学与教材建设团队”获得了教书育人奖集体奖一等奖（排名第二）



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