姓名：阎冬

专业：金融数学

系别：数量金融系

办公室：诚信楼108室

电子邮件：dyan@uibe.edu.cn

教育背景：

2016-2021年 University of Wollongong, Australia 金融数学专业，理学博士

2010-2016年 Institute National des Sciences Appliqués, France 法国工程师之应用数学专业硕士

工作经历：

2021年9月至今 对外经济贸易大学 mjm世界杯官网 讲师

教授课程：

数理金融学；运筹学；大学数学

研究领域：

数理金融，金融衍生品定价，最优投资组合，随机过程，数值计算、深度学习等

主要论文发表：

[1] Dong Yan*, Nanyi Zhang and Junyi Guo (2025). A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs. Submitted to Computers and Mathematics with Applications, under review. (第一作者和通讯作者, arXiv: 2509.02267)

[2] Dong Yan, Ke Zhou, Zirun Wang and Xin-Jiang He* (2025). Portfolio selection under two-factor stochastic volatility and transaction costs with option-implied utility and deep learning. Submitted to Management Science, with editor. (第一作者，arXiv: 2510.21156)

[3] Xin-Jiang He, Dong Yan and Sha Lin* (2025). A new analytical approach for pricing variance and volatility swaps: Incorporating liquidity and self-exciting jumps. Submitted to The Journal of Futures Markets, with editor.

[4] Xin-Jiang He, Dong Yan and Sha Lin* (2025). Regime-switching stochastic volatility and liquidity risks: A nonlinear framework for vulnerable option pricing. Submitted to Communications in Nonlinear Science and Numerical Simulation, with editor.

[5] Dong Yan, Xin-Jie Huang, Guiyuan Ma and Xin-Jiang He (2025). Pricing American options with exogenous and endogenous transaction costs, Computers and Mathematics with Applications, 200, 85-101.

[6] Dong Yan, Wenrui Ye and Xin-Jiang He (2025). American option pricing under a two-factor stochastic volatility model with nonlinear exogenous costs, Mathematical Methods in the Applied Sciences, 0, 1-12.

[7] Ren-Jie Han, Yezi Xu, Hao Fu and Dong Yan (2025). Novel conformal structure-preserving schemes for the linearly damped nonlinear Schrödinger equation, Communications in Nonlinear Science and Numerical Simulation, 140(1), 108400. (通讯作者)

[8] Ren-Jie Han, Qing-Gang Tian, Dong Yan* and Ben-Zhang Yang (2023). Valuation of European crude oil options with co-jump diffusions and stochastic interest rate, Journal of Industrial and Management Optimization, 19(9), 6765-6780. (通讯作者)

[9] Dong Yan, Sha Lin, Zhihao Hu and Ben-Zhang Yang (2022). Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach, Chaos, Solitons and Fractals, 163, 112581.

[10] Xiaoping Lu, Dong Yan*, Song-Ping Zhu (2022). Optimal exercise of American puts with transaction costs under utility maximization, Applied Mathematics and Computation, 415, 126684. (通讯作者)

[11] Dong Yan (2022). A comprehensive study of option pricing with transaction costs, Bulletin of the Australian Mathematical Society, 106(3), 522-524.

[12] Xiaoping Lu, Song-Ping Zhu and Dong Yan* (2021). Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility, Communications in Nonlinear Science and Numerical Simulation, 103, 105986. (通讯作者)

[13] Dong Yan, Song-Ping Zhu* and Xiaoping Lu (2020). A numerical study of the utility-indifference approach for pricing American options, Computers and Mathematics with Applications, 80(5), 894-905.

[14] Dong Yan and Xiaoping Lu* (2020). Utility-indifference pricing of European options with proportional transaction costs, Journal of Computational and Applied Mathematics, 397, 113639.

审稿期刊：

Communications in Nonlinear Science and Numerical Simulation

Economic Modelling

Journal of Computational and Applied Mathematics

Journal of Mathematical Economics

The ANZIAM Journal

Quarterly Review of Economics and Finance