万相伟系别：金融系
职称：副教授
办公电话：+86 (0)
电子邮箱：xwwan@sjtu.edu.cn

教师简介科学研究主讲课程
通讯地址: 上海市华山路1954号上海交通大学安泰经济与管理学院1204室，200030


2019 -, 上海交通大学安泰经济与管理学院 金融系副教授
2011 - 2019, 上海交通大学安泰经济与管理学院 金融系助理教授
2010, 香港中文大学, 金融工程博士
2006, 中国科学技术大学, 数学学士



研究方向:
金融经济学,金融工程
Papers can also be downloaded from my SSRN Author Page:
http://ssrn.com/author=**
工作论文:


Pi Portfolio Management: Reaching Goals While Avoiding Drawdowns (2019). Available at SSRN: https://ssrn.com/abstract=**. With Jaksa Cvitanic, Steven Kou, Karyn Williams.


Non-Concave Utility Maximization without the Concavification Principle (2019). Available at SSRN: https://ssrn.com/abstract=** . With Min Dai, Steven Kou, Shuaijie Qian.


Hermite Expansion for Transition Densities of Irreducible Diffusions with An Application to Option Pricing (2019). Available at SSRN: https://ssrn.com/abstract=** . With Nian Yang.


Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility (November 12, 2013). Available at SSRN: https://ssrn.com/abstract=**. With Xi-Ren Cao.



发表论文:


A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion. Journal of Econometrics, 209(2), 256-288.2019. With Nian Yang, Nan Chen.


The survival probability of the SABR model: Asymptotics and Application. Quantitative Finance, 18(10), 1767-1779, 2018. With Nian Yang.


Approximate arbitrage-free option pricing under the SABR model. Journal of Economic Dynamics and Control, 83, 198-214, 2017. With Nian Yang, Nan Chen, Yanchu Liu.


Sensitivity Analysis of Nonlinear Behavior with Distorted Probability. Mathematical Finance, 27(1), 115-150, 2017. With Xi-Ren Cao.

A Nonzero-Sum Game Approach to Convertible Bonds : Tax Benefit, Bankruptcy Cost, and Early/Late Calls. Mathematical Finance, 23(1), 57-93, 2013. With Nan Chen, Min Dai.
Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), 412-437, 2010. With Ning Cai, Nan Chen.
Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163-167, 2009. With Ning Cai, Nan Chen.

金融学，投资学，金融经济学