梁雪 - 苏州科技大学

个人简介

苏州科技大学数理学院副教授、数学系副系主任。2013年6月毕业于苏州大学金融工程中心金融数学专业，获理学博士学位，导师为王过京教授。2013.12-2015.12上海财经大学统计与管理学院博士后，2016.01-2016.08墨尔本大学保险精算研究中心访问学者，2018.03-2018.08中国科学院数学与系统科学研究院访问学者（合作导师：巩馥洲教授）。2018年被遴选为硕士生导师。

研究领域

主要从事金融数学领域研究工作，用随机过程、随机分析等数学理论方法研究信用风险的度量。目前研究方向：金融数学，金融衍生品的定价和统计分析

近期论文

查看导师最新文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

[1]梁雪*,董迎辉，陈洋，有散粒噪声的机制转换的马尔科夫copula模型下的有担保安排的CDS的风险分析，应用概率统计，2017,33（4），385-407.（CSCD） [2] Xue Liang *, A Markov Copula Model with Regime Switching and Its Application, Acta MathematicaeApplicatae Sinica,2016,32(1), 163-174.(SCI) [3] Xue Liang *, Guojing Wang, Li,Hong, Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching, Applied Mathematics and Computation,2014,230,290–302.(SCI) [4] Xue Liang*, Yinghui Dong, A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk. Communications in Statistics - Theory and Methods Methods,2014, 43,498–514.（SCI） [5]Xue Liang*,GuojingWang,Yinghui Dong, A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives，Statistics and Probability Letters，2013，83（1）：373-381(SCI) [6] Xue Liang*, Guojing Wang,On a reduced form credit risk model with common shock and regime switching. Insurance: Mathematics and Economics, 2012, 51, 567–575. (SCI) [7] Yangyang Peng; Xiaolin Xu; Xue Liang; WeiliXue*,Mismatch Risk Allocation in a Coproduct Supply Chain,Annals of Operations Research,2018,accepted.(SCI) [8]Yongfeng Wu*, XueLiang,Vasicek model with mixed-exponentialjumps and its applications in financeand insurance,AdvancesinDifferenceEquations, 2018,138,1-15.(SCI) [9]Yinghui Dong*,Xue Liang, Decomposition of default probability under a structural credit risk model with jumps. 2012, 52(4): 369-384.(SCI) [10]Yinghui Dong*,Xue Liang., Guojing Wang, Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Asia-Pacific Financial Markets ,2012,19:391–415.(SCI)