Economics
.
GUO Shuxin

Hits: Date:2020-12-09 16:34

Curriculum Vitae(简历)

 

Shuxin Guo

CONTACT (联系方式)

 

四川省成都市二环路北一段111

西南交通大学经济管理学院

传真: +86 -28-87600543

经济学

邮箱:shxnguo@home.swjtu.edu.cn

邮编:610031

 

Southwest Jiaotong University

School of Economics and Management

Fax:+86 -28-87600543

Department of Economics

E-mail:shxnguo@home.swjtu.edu.cn

No.111, North Erhuan Road, Chengdu, China 610031

EDUCATION (教育背景)

 

A. 博士金融学,西南财经大学,2016

B. 硕士金融工程,西南财经大学,2012

C. 学士教育技术学,四川师范大学,2009

 

A. Ph.D.Finance, Southwestern University of   Economics and Finance, 2016

B. M.S. Financial Engineering, Southwestern   University of Economics and Finance, 2012

C. C. B.S. Educational Technology, Sichuan   Normal University, 2009

EMPLOYMENT (工作经历)

 

讲师,西南交通大学经济管理学院,6/2016 -至今

Assistant   Professor, Southwest Jiaotong University, from 6/2016 to present

RESEARCH INTEREST(研究兴趣)

 

金融衍生产品定价、资产定价

Derivatives   Pricing, Asset Pricing

PUBLCATIONSPAPERS & CASES)发表,包括文章和案例

a) Basic or   Discovery Scholarship学术类

[1] Guo,   Shuxin and Liu, Qiang, 2019. A Simple Accurate Binomial Tree for Pricing   Options on Stocks with Known Dollar Dividends [J]. Journal of Derivatives.   26(4): 54-70. (SCI)

[2] 刘强,郭姝辛. 正则分布、隐含二叉树与美式期权定价. 期货市场,201333(2):   183-198.

[3] 刘强,郭姝辛. 方差约束下正则最小二乘蒙特卡洛美式期权定价新方法. 北美经济与金融,201428:   77-89.

[4] 刘强,郭姝辛,乔高秀. VIX预测与方差风险溢价:一种新的GARCH方法. 北美经济与金融,201534:   314-322.

[5] 刘强,郭姝辛. 基于辅助倒向二叉树的条件性赎回条款的近似估值法. 国际应用金融问题与经济评论. 20113(3):   658-672.

[1] Guo, Shuxin and Liu, Qiang, 2019. A   Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar   Dividends [J]. Journal of Derivatives. 26(4): 54-70. (SCI)

[2] Liu,   Qiang and Shuxin Guo, 2013. Canonical distribution, implied binomial tree,   and the pricing of American options [J]. Journal of Futures Markets. 33(2):   183-198.

[3] Liu, Qiang and Shuxin Guo, 2014.   Variance-constrained canonical least-squares Monte Carlo: An accurate method   for pricing American options [J]. North American Journal of Economics and   Finance. 28: 77-89.

[4] Liu, Qiang, Shuxin Guo, and GaoxiuQiao,   2015. VIX forecasting and variance risk premium: A new GARCH approach [J].   North American Journal of Economics and Finance. 34: 314-322.

[5] Liu,   Qiang and Shuxin Guo, 2011. Approximating the embedded m out of n day   soft-call option of a convertible bond: An auxiliary reversed binomial tree   method [J]. International Review of Applied Financial Issues and Economics.   3(3): 658-672.

FUNDED PROJECTS 受资助项目

a) Basic or Discovery Scholarship学术类

[1] 《波动率指数衍生产品定价方法研究——基于离散时间波动率模型新视角》,国家自然科学基金青年项目,起止时间:2018/01~2020/12,项目编号:71701171,在研,主持。

[2] 《期权静态对冲新方法研究——基于匹配终期损益视角》,中央高校基本科研业务费文科科研项目青年教师成长项目,起止时间:2018/01~2019/12,项目编号:2682018WQN15,在研,主持。

[3] 《含股息的节点重合二叉树期权定价新方法研究》,中央高校基本科研业务费专项资金项目,起止时间:2015.5~2017.4,项目编号:JBK1507112,已结项(提前结项),主持。

[4]《高频数据视角下的金融市场波动率建模及预测:基于机制转换和时变组合预测法的研究》,国家自然科学基金青年项目,起止时间:2018/01~2020/12,项目编号:71701170,在研,主研。

[5]《股权激励行权限制对管理层短视行为的影响研究》,国家自然科学基金青年项目,起止时间:2018/01~2020/12,项目编号:71702153,在研,主研。

[6] 《复杂衍生产品的蒙特卡洛定价方法研究》,国家自然科学基金面上项目,起止时间:2013.1~2016.12,项目编号:7127117,主研,在研。

[7] 《小微金融企业风险管理研究——基于行为金融学视角》,省部级学科平台开放课题,起止时间:2015.6~2017.6,项目编号:JR201513,主研,在研。

[8] 《美式期权的蒙特卡洛定价研究》,西南财经大学“211三期重点课题,起止时间:2009.1~2012.12,主研,已结题。

[1] “Pricing   derivatives on volatility indices: New approaches based on discrete-time   volatility models”, National Natural Science Foundation of China - Young   Scholar Grant, 2018.1-2020.12, Grant No. 71701171, Principal Investigator.

[2] “Static   hedging: A new approach based on matching options’ payoffs”, Program for   Fundamental Research Funds for the Central Universities, 2018.1-2019.12,   Grant No. 2682018WQN15, Principal Investigator.

[3] “A   recombining binomial tree for pricing options on stocks with known dollar   dividends”, Research Fund for the Central Universities, 2015.5-2017.4, Grant   No. JBK1507112, Principal Investigator.

[4] “Modelling   and forecasting the financial markets volatility using the high-frequency   data: Regime-switching and dynamic model averaging approach”, National Natural   Science Foundation of China - Young Scholar Grant, 2018.1-2020.12, Grant No.   71701170, 2nd Investigator.

[5] “A Study   on the Influence of Equity Incentive Vesting Restrictions on Managerial   Short-Term Orientation”, National Natural Science Foundation of China - Young   Scholar Grant, 2018.1-2020.12, Grant No.71702153, 3nd Investigator.

[6] “Monte   Carlo pricing of complex derivatives”, National Natural Science Foundation of   China, 2013.1-2016.12, Grant No. 71271173, 1st Investigator.

[7] “Risk   Management of Small Micro-finance Enterprises - Based on Behavioral Finance”,   Provincial and ministerial disciplines platform open subject, 2015.6-2017.6,   Grant No. JR201513, 2nd Investigator.

[8] “Monte   Carlo in derivatives pricing”, Key Research Grant from Project 211 (Phase III)   of Southwestern University of Finance and Economics, 2015.5-2017.4, 1st   Investigator.

b) Applied or Integration/Application   Scholarship应用实践类

[1] 《四川省酒类产品衍生工具及指数的设计项目》,上市公司横向课题,起止时间:2010.4~2010.10,主研,已结项。

[2] “Design of Sichuan alcoholic products   derivatives and its indexes”, supported by Shenzhen Jinzheng Technology Co.,   Ltd, 2010.4-2010.10, 1st Investigator.

WORKING PAPER 工作论文

a) Basic or   Discovery Scholarship学术类

[1] 已知股息的节点重合的二叉树期权定价新方法,与刘强合著,西南交通大学,2016

[2] 基于模拟的条件区间概率的条件性赎回条款的近似估值法,与刘强合著,西南交通大学,2016

[3] VIX期货定价——GARCH模型与Heston模型的比较研究,与刘强合著,西南交通大学,2016

[4] 基于最小二乘蒙特卡洛方法的美式期权最优执行边界近似,与刘强、贺方毅合著,西南交通大学,2016

[5] 中国股市收益与产业组合,与王利娟,刘强合著,西南交通大学,2016

[6] 非传统的我国股市与50ETF期权,与刘强合著,西南交通大学,2016

[7] 沪深300指数及其期货动态研究,与刘强合著,西南交通大学,2016

[1] Guo, Shuxin   and Qiang Liu. A recombining binomial tree for pricing options on stocks with   known dollar dividends. Working paper.

[2] Guo,   Shuxin and Qiang Liu. Simulated conditional range probabilities: An excellent   approximation for the m out of n day provision. Working paper.

[3] Guo,   Shuxin, and Qiang Liu. VIX futures pricing: An empirical comparison of GARCH   and the Heston model. Working paper.

[4] Liu,   Qiang ,Shuxin Guo, and Fangyi He. Approximating the optimal exercise boundary   for American options via least-squares Monte Carlo, Working paper.

[5] Guo,   Shuxin, Lijuan Wang and Qiang Liu. The Chinese Stock Market and Industries.   Working paper.

[6] Guo,   Shuxin and Qiang Liu. The Unconventional China Stock and 50 ETF Options of   the Shanghai Stock Exchange. Working paper.

[7] Guo,   Shuxin and Qiang Liu. CSI 300 Index and its futures. Working paper

OTHER RESEARCH AND SCHOLARLY ACTIVITIES 各类其它学术、教学和应用实践类成果

a) Basic or   Discovery Scholarship学术类

l Relevant,   active editorships with academic journals or other business publications在学术期刊任编辑

[1] 四川省金融学会第十六次金融科研优秀成果三等奖

[2] 西南财经大学首届金融学科曾康霖奖学金

[3] 西南财经大学首届殷孟波金融教育基金优秀学生奖学金

[1]The   Sixteenth Outstanding Achievements of Financial Research, the third prize,   Sichuan Finance Institute.

[2]The   First Financial Discipline of Zeng Kanglin Scholarship, Southwest University   of Finance and Economics.

[3]The First Ying   Mengbo Financial Education Fund Scholarship for Outstanding Students,   Southwestern University of Finance and Economics.

COURSES TAUGHT   AT SWJTU 教授课程

 

《投资决策与风险管理研究》,博士课程

《金融工程导论》(双语),本科课程

《金融学漫谈》,本科课程

 

Investment   Decisions and Risk Management, course for doctoral students

Introduction to Financial Engineering   (bilingual course), undergraduate course

Finance   in Life, undergraduate course