姓名: 李平
电话:010-82315110
Email: liping124@buaa.edu.cn
职称: 教授
教师个人主页

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一、学习和工作简历:

2002.05--现在: 北京航空航天大学经济管理学院金融系,副教授、教授、博导

2009.09—2009.12: 美国哥伦比亚大学统计系和IEOR系,访问学者

2008.11—2009.08: 美国南卡罗来纳大学商学院金融系,访问学者

2006.07—2006.09: 香港城市大学计算机系访问学者

2006.09—2006.11: 香港中文大学系统工程和工程管理系,访问学者

2000.05—2002.05: 中科院数学与系统科学研究院,博士后

2001.03—2001.06: 奥地利维也纳理工大学金融数学系,访问学者

2001.06—2001.06: 德国洪堡大学随机数学所,访问学者

1997.09—2000.05: 中国科学院数学与系统科学研究院,博士学习

二、研究方向:

1. 金融衍生产品的设计、开发与定价

2. 金融风险管理

3. 信用风险

4. 证券投资理论与方法

5. 金融市场

三、奖励情况:

1. 北航“蓝天(科研)新星”称号,2006;

2. 北京市统战部优秀调研成果三等奖,并被转化为2012年北京市政协提案;

3. 2015年度“金融系统工程与金融风险管理国际会议优秀论文奖”;

4. 2014年度“金融系统工程与金融风险管理国际会议优秀论文奖”;

5. 2010年度“金融系统工程与金融风险管理国际会议优秀论文奖”;

6. “第三届应急管理科学家论坛&金融风险管理论坛(2014年)”优秀论文奖, 2014. 11.

四、在研或已经完成的课题:

1.国家自然科学基金面上项目:我国商业银行减记债的设计、定价及对银行资本结构的影响研究,起止时间:2016.01-2019.12,项目负责人;

2.国家自然科学基金面上项目:基于动态因子Copula和DCC模型的可违约公司债券定价和信

用资产组合管理,起止时间:2013.01-2016.12,项目负责人;

3.国家自然科学基金面上项目:基于动态Copula的多元信用衍生产品定价,起止时间:2010.01-2012.12,项目负责人;

4.国家自然科学基金青年项目:离散时间不完全金融市场中基于Copula的多资产期权定价研究,起止时间:2006.01-2008.12,项目负责人;

5.航空科学基金项目:基于Copula函数的航空武器项目组合全寿命风险管理,起止时间:2006.10-2008.09,项目负责人;

6.国家973项目:金融风险控制中的定量分析与计算,批准号:2007CB814906,起止时间:2008.01-20010.12,参加人;

7.国家自然科学基金重点项目:国家外汇储备的多元化和国际资产配置模型,起止时间:

2009.01-2012.12,主要成员;

8.国家自然科学基金应急项目:国际化前景下人民币衍生品框架设计、实施策略及创新研究,

批准号:70741009,起止时间:2007.06-2008.05,主要成员;

9.国家自然科学基金面上项目:离散时间不完全金融市场中基于鞅方法的期货定价研究,起止时间:2004.01-2006.12,主要成员;

10. 北航研究生院教育发展基金项目:“金融工程”专业研究生课程体系与教学技术研究,起

止时间:2004.07-2006.5,项目负责人。

11. 北航经管学院董事会青年基金项目,“Copula在二元期权定价中的应用”,起止时间:

2003.10-2005.10,项目负责人。

五、社会服务及其他工作经历

1. 2015.8-现在:首创集团金融管理部,副总经理(挂职);

2. 2010.1-现在: 民主建国会北京市金融委员会,委员;

3. 2015.7-现在:民建北航支部主委;

4. 2009.10-现在:中国系统工程学会金融系统工程分会,理事;

5. 2009.10-现在:中国运筹学会金融工程及金融风险管理分会,理事;

6. 2010.7-12: 海淀区房屋管理局挂职,局长助理。

六、曾经或正在主讲的课程:

“金融衍生工具”(本科生、硕士生、留学生)

“金融工程”(本科生、硕士生、留学生)

“证券市场与资本运营”(MBA)、“商务英语”(MBA)

“国际金融市场”、“数理金融学”(硕士生)

“投资学”、“金融衍生工具及风险管理”、“应用投资组合管理”

(北航与澳大利亚新南威尔士大学的国际合作培训项目“商学硕士”课程)

七、主要科研论文:

期刊论文与专著

1. Li Ping, Li Zezheng, Change Analysis of Dependence Structure andDynamic Pricing of Basket Default Swaps, European Financial Management, 2014. (SSCI检索)

2. Li Ping, Wang Xiaoxu, Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model, Mathematical Problems in Engineering, 2014.(SCI检索)

3. Li Ping and Jing Song,Pricing Chinese Convertible Bonds withDynamic Credit Risk,Discrete Dynamics in Nature and Society,2014. (SCI检索)

4. Li Ping, Shi Peng, Guangdong Huang, and Xiaojun Shi. Pricing of LIBOR Futures by Martingale Method in Cox-Ingersoll-Ross Model, Journal of System Science and Complexity, 23: 261-269, 2010. (SCI/EI检索)

5. Li Ping and Wang Shouyang, Optimal Martingale Measure Maximizing the Total Utility of Consumption with Applications to Contingent Claim Pricing, Optimization, 57(5),691–703,2008. (ESI/SCI检索)

6. Cheng Gang, Li Ping and Shi Peng, A New Algorithm Based on Copulas for VaR Valuation with Empirical Calculations, Theoretical Computer Science, 378, 190–197, 2007. (ESI/SCI/EI/ISTP检索)

7. Li P, Chen HS, Deng XT, Zhang SM, On default correlation and pricing of collateralized debt obligation by copula functions, International Journal of Information Technology & Decision Making 3: 483-493, 2006. (ESI/SCI收录)

8. Li, P., Shi, P. and G.D. Huang. A New Algorithm Based on Copulas for Financial Risk Calculation with Applications to Chinese Stock Markets. Lecture Notes in Computer Science, Vol.3828, 481-490, 2005. (ESI/SCI/EI/ISTP收录)

9. Li Ping, LiuJie. Design and Pricing of Chinese Contingent Convertible Bonds,Journal of Systems Science and Information,2014.

10. Li Ping and Chen Housheng. A Copula Approach to Default Correlation and the Pricing of Basket Default Swap, American Journal of Mathematical and Management Sciences (AJMMS), 2010.

11. Li Ping., Xia Jian-Ming and Yan Jia-An. Martingale measure method for Utility maximization in discrete-time incomplete financial market. Annals of Economics and Finance, 2(2), 445-465, 2001. (SSCI)

12. Li Ping, Xia Jian-Ming. Minimal martingale measures for discrete-time incomplete financial markets. Acta mathematicae Applicatae Sinica, 2, 2001, 445–465.

13. Li Ping, Yan Jia-An. Growth optimal portfolio for a discrete-time financial market. Advances in Mathematics, 4, 2002.

14. Li Ping, Wang Haibo, A Factor Model for the Calculation of Portfolio Credit VaR,Procedia Computer Science,17: 611-618, 2013.

15. 李平,曲博,黄光东. 基于Fréchet Copula的欧式脆弱期权定价,管理科学学报,2012.

16. 李平,黄光东,路阳. 基于Copula理论的多心理帐户组合VaR模型与基金风险管理,系统工程理论与实践,31(5): 799-804, 2011. (EI)

17. 李平,张馨匀,丁倩岩。 基于时变t-Copula的抵押外汇契约(CFXO)定价研究, 管理学报, 2012.7

18. 李平, 付文燕. 中国CRM息差与债券信用利差关系的实证研究.金融经济学研究,30(3),2015

19. 吴卫星,潘慧峰,李平,杜冬云. 基于MATLAB 的金融工程方法及应用,中国金融出版社,2012.5

20. 孙志武, 李平. 航空发动机研制项目风险分析指标体系设计,北京航空航天大学学报, 23(3), 62-65, 2010.

21. 李平,马婷婷. 基于Copula的我国商业银行整体风险度量,统计与决策,11, 2009. (CSSCI刊物)

22. 路阳,李平. 基于Copula函数的风险预算新方法,统计与决策,2,23-25,2007。(CSSCI刊物)

23. 李平, 程鹏. 工科院校“金融工程”专业研究生课程体系研究,北京航空航天大学学报,20(1), 72-76, 2007。

24. 朱光,陈厚生,李平. 基于Copula的极大/极小期权定价,统计与决策,8,26-27,2006。(CSSCI刊物)

25. 李平, 李华. 中国沪市β系数和收益率关系的条件检验法,管理评论, 2, 3-6, 2005.

26. 程鹏,李平. 中国发展信用衍生产品的监管问题探析, 特区经济,206, 324-325, 2006.

27. 李平, 黄光东. 二元数字期权定价与copula的关系,数学的实践与认识, 3, 2005.

28. 黄光东,李平. 输电线路阻塞费用的管理, 数学的实践与认识,2005

29. 黄光东,李平. 排球比赛中的二传最优过程, 数学的实践与认识,2004

会议论文:

30. Li, Ping, Libo, Yin. A copula-based regime-switching model for rainbow option pricing, Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012, p 140-143, 2012 (EI)

31. He, Hui, Li, Ping. Dynamic asset allocation based on copula and CVaR, International Conference on Management and Service Science, 2011. (EI) 32. Ping Li, Wenjing Xing, Financial Asset Price Forecasting Based on Intertransaction Association Rules Mining,Proceedings of international conference on E-Business and E-Government (iCEE2010),2010.1. (EI)

32. Ping Li, Du Changquan, Credit Spread Option Pricing by Dynamic Copulas,Proceeding of The International Conference on Data and Knowledge Engineering (ICDKE), 2010.(EI)

33. Li Zezheng, Li Ping,Using Dynamic Copula Method for CDO Pricing,Proceedings of The 1st International Conference on Information Science and Engineering (ICISE2009),2009.9. (EI)

34. Ding Qianyan, Li Ping,Pricing of Multi-asset Options Using Monte Carlo Method,Proceedings of The 1st International Conference on Information Science and Engineering (ICISE2009),2009.9. (EI)

35. Li, P., H.S. Chen, G.D. Huang and X.J. Shi. On Portfolio’s Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas, Lecture Notes in Computer Science, Vol.4286, 214-224, 2006. (EI/ISTP)

36. Li, P., H.S. Chen, G.D. Huang and X.J. Shi. On Portfolio’s Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas, Lecture Notes in Computer Science, Vol.4286, 214-224, 2006. (EI/ISTP)

37. Sun, Xiaoxun; Wang, Hua; Truta, Traian Marius; Li, Jiuyong; Li, Ping, (p+,α)-sensitive k-anonymity: A new enhanced privacy protection model, Proceedings–2008 IEEE 8th International Conference on Computer and Information Technology, CIT 2008, p 59-64, 2008. (EI)

38. Huang Guangdong, Li Ping, Wang Qun. A hybrid ACO-GA with an application in sports competition scheduling,Proceedings of SNPD (8th International Conference on Software Engineering, Artificial Intelligence, Networking and Parallel/ Distributed Computing), 2007 (EI).

39. Li, P., S.Y. Wang and G.D. Huang. Martingale measure method for optimal portfolio-consumption in discrete-time incomplete markets (Jointly with), In Proceedings of ICOTA (International Conference on Optimization: Theory and Applications) 5, 2001.

40. Ping Li, Zheng Siquan, Comparative Study on the Models of Optimal Hedge Ratio with Applications to Chinese Fuel Futures, Proceeding of the 10th International Conference on Industrial Management, 2010. (ISTP)

41. Li Ping, Ma Tingting. A Copula Approach to Integrated Risk Measurement for Banks, Proceedings of the 9th International Conference on Industrial Management, 726-730, 2008.(ISTP)

42. Li Ping, Yunwei Zhang. A Copula Method to Measuring Extreme Financial Risk with an Example in Asia Financial Crisis, In: Proceedings of the 8th International Conference on Industrial Management, 853-858, 2006. (ISTP)

43. Li Ping, Wang Shou-Yang and Huang Guang-Dong. Option Pricing, Martingale Measure and Optimal Consumption for Discrete-time Incomplete Financial Markets. In: Proceedings of ICIM (International Conference on Industrial Management), 7,2004. (ISTP)

44. Huang Guangdong, Li Ping. An improved genetic algorithm with an application in sports competition scheduling,Proceedings of the Second International Symposium on Intelligence Computation and Application, ISICA, 32-36, 2007(ISTP)