Yu, Baimin

Assistant Professor

School of International Trade and Economics

University of International Business and Economics

No.10, Huixin Dongjie, Chaoyang District, Beijing, China.

Tel: +86(10)64493378

Email: ybm1982@126.com

EDUCATION

2004-2009    Academy of Mathematics and Systems Science, Chinese Academy of Sciences 

Ph.D. in Mathematical finance，supervised by Prof. Jia-an Yan.

2000-2004    University of Electronic Science and Technology of China  

B. Sc. in Applied Mathematics.

VISITING EXPERIENCES

2012.7-2012.8  Research Associate, Department of Economics and Finance, City University of Hong Kong, Hong Kong.

2008.1-2008.8  Visiting Scholar, Department of Statistics and Actuarial Science, University of Waterloo, Canada.

2007.6-2007.9  Guest, International Graduate College (IGK), Bielefeld University, Germany.

RESEARCH INTERESTS

Quantitative Finance, Financial Economics.

PUBLICATIONS

“Two Efficient Parameterized Boundaries for Vecer's Asian Option Pricing PDE”, Acta Mathematicae Applicatae Sinica (English Series)，Vol. 28(4), 643-652, 2012. (SCI)

“Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model”, with D. Huang, F.J. Fabozzi, S. Focardi, M. Fukushima and Z. Lu, Studies in Nonlinear Dynamics & Econometrics, Vol.14(2), Article 1, 2010. (SSCI)

“CAViaR-based Forecast of Oil Price Risk”, with Dashan Huang, Frank J. Fabozzi and Masao Fukushima, Energy Economics, Vol.31, 511-518, 2009. (SSCI)

“An Improved CAViaR Model for Oil Price Risk,” with Dashan Huang, Frank J. Fabozzi, Masao Fukushima and Lean Yu, Lecture Notes in Computer Science, Vol.4489, 937-944, 2007.（EI）