楊念

2014年1月至今任南京大學金融與保險學系助理教授

2013年獲香港中文大學系統工程與工程管理學系哲學博士(金融工程) ^[1] 

金融工程

金融計量

金融合約理論 ^[1] 

固定收益證券

資產定價

金融衍生品 ^[1] 

Papers can also be downloaded from my SSRN Author Page

Approximate arbitrage-free option pricing under the SABR model (with Nan Chen, Yanchu Liu, Xiangwei Wan). Journal of Economic Dynamics & Control, Vol.83, pp.198-214, 2017.

Pricing continuously monitored barrier options under the SABR model: A Closed-Form Approximation(with Yanchu Liu and Zhenyu Cui). Journal of Management Science and Engineering, Vol.2(2), pp.116–131, 2017.

The survival probability of the SABR model: asymptotics and application (with Xiangwei Wan). Quantitative Finance, Vol.18(10), pp.1767-1779, 2018.

The principle of not feeling the boundary for the SABR model (with Nan Chen). Quantitative Finance, Vol.19(3), pp.427-436, 2019.

A new delta expansion for multivariate diffusions via the Ito-Taylor expansion (with Nan Chen and Xiangwei Wan). Journal of Econometrics, forthcoming. ^[1]