陈旭

系别：金融系

职称：副教授

邮箱：yukchan@gdut.edu.cn

教师简介

陈旭，男，广东工业大学经济学院，副教授，哲学博士。

研究领域

金融衍生品定价算法、新型衍生品模型设计、数值线性代数算法研究、偏微分方程数值解等

教育背景

2015.8-2018.7 澳门大学科技学院，获哲学博士学位，专业为计算数学

2013.8-2015.7 澳门大学科技学院，获理学硕士学位，专业为计算数学

2009.9-2013.6 汕头大学理学院，获得理学学士学位，专业为数学与应用数学（金融方向）

职业经历

2024.7至今 广东工业大学经济学院金融系，副教授

2019.9-2024.6  广东工业大学经济学院金融系，讲师

2018.9-2019.8 澳门大学科技学院助理研究员（Research Assistant）

发表论文

1. X. Chen, D. Deng, S. Lei and W. Wang, A fast preconditioned iterative method for Two-dimensional options pricing under fractional diffusion models, Computers & Mathematics with Applications, accepted. (SCI Q1)

2. X. Chen, S. Deng and S. Lei, A robust preconditioner for two-dimensional conservative space-fractional diffusion equations in convex domains, Journal of Scientific Computing, 80 (2019), pp. 1033-1057. (SCI Q1)

3. S. Lei, W. Wang, X. Chen and D. Ding, A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models, Journal of Scientific Computing, 75 (2018), pp. 1633-1655. (SCI Q1)

4. S. Lei, D. Fan and X. Chen, Fast solution algorithms for exponentially tempered fractional diffusion equations, Numerical Methods for Partial Differential Equations, 34 (2018), pp. 1301-1323. (SCI Q2)

5. X. Chen, W. Wang, D. Ding and S. Lei, A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation, Computers & Mathematics with Applications, 73 (2017), pp. 1932-1944. (SCI Q1)

6. S. Vong, P. Lyu, X. Chen and S. Lei, High order finite difference method for time-space fractional differential equations with Caputo and Riemann-Liouville derivatives, Numerical Algorithms, 72 (2016), pp.195-210. (SCI Q1)

7. S. Lei, X. Chen and X. Zhang, Multilevel circulant preconditioner for high-dimensional fractional diffusion equations, East Asian Journal on Applied Mathematics, 6 (2016), pp. 109-130. (SCI Q4)

8. W. Wang, X. Chen, D. Ding and S. Lei, Circulant preconditioning technique for barrier options pricing under fractional diffusion models, International Journal of Computer Mathematics, 92 (2015), pp. 2596-2614. (SCI Q2)

9. M. Lin, X. Chen, X. Li, C. Huang, Y. Li and J. Wang, Local equilibrium in the dissolution and segregation kinetics of Ag on Cu(111) surface, Applied Surface Science, 297 (2014), pp. 130-133. (SCI Q1)

10. M. Lin, X. Chen, X. Li, C. Huang, Y. Li and J. Wang, Local equilibrium in the dissolution kinetics of Ag on Cu(111) surface, Advanced Materials Research, 648 (2013), pp. 43-49. (EI)

11. X. Li, M. Lin, X. Chen, C. Huang, Y. Li and J. Wang, Influence of bulk concentration on the discontinuous transition in surface segregation, Advanced Materials Research, 648 (2013), pp. 35-42. (EI)

教授课程

《多元经济统计分析及软件应用》《应用随机过程》

我的团队

长期与李兆隆教授（澳门大学副教授、澳门科学技术奖获得者）、丁灯教授（澳门大学数学系主任）和王文飞博士（上海交通大学博士后、海通证券金融研究所研究员）合作，从事新型期权定价模型的研究与设计针对性的快速解法。