姓名
林炜
性别
男



联系方式
勤园21-524
职称
讲师

研究领域
金融数学、金融衍生品定价

个人简历
HomePage: https://sites.google.com/view/weilinhomepage1991/homepage

教学情况

2019-2020

At University of Otago.

1. FINC306: Derivatives

2. FINC405: Mathematical Finance

2013-2018

At Zhejiang University.

1. Mathematical Analysis



科研情况

2021
1. Xiaoyu Tan Chengxiang Wang Wei Lin Jin E. Zhang Shenghong Li Xuejun Zhao Zili Zhang. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps." Journal of Futures Markets.

2019

1. Lin, Wei and Jin E. Zhang, 2019, The Positive-Definite Region of Cumulants for the Gram-Charlier Densities. (Available at SSRN **.

2018-

Lin, Wei, Shenghong Li, Shane Chern, and Jin E. Zhang, 2018, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, (2019) 22:41–75.

W. Lin, S. Li, and S. Chern, Pricing and Hedging Options in Normal Tempered Stable Process with 4/2 Stochastic Volatility, SCIENTIA SINICA Mathematica , 48 (2018), No.1, 201

2015-2017

1. W. Lin, S, Li, X. Luo, and S, Chern, Consistent pricing of VIX and equity derivatives with 4/2 stochastic volatility plus jumps model, Journal of Mathematical Analysis and Application, 447 (2017), No.2, 778-797.