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Profile

Name:LI Ping
Tel No.:82315110  
Email: liping124@buaa.edu.cn
Title: Professor
personal homepage

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Professor of Finance

School ofEconomics and Management

Beihang University

No.37, Xueyuan Road, HaidianDistrict, Beijing, 100191

Tel: ++86-10-82315110 (O), Fax:++86-10-82328037 E-mail: liping124@buaa.edu.cn, lipingxx@126.com

Education:

Ph.D.: Institute of AppliedMathematics, Chinese Academy of Sciences,

Ph.D. on Probability and Statistics(Mathematical Finance)

M.S.: School ofMathematics and Computer Sciences, Hubei University

Masteron Mathematics (Probability Theory and Stochastic Process)

B.S.: Schoolof Mathematics and Computer Sciences, Hubei University Bachelor on Mathematics

ResearchInterests:

Financial Engineering; Financial Derivatives; Risk Management,

Credit Risk; PortfolioSelection

AcademicPositions:

2012.7-present: Professorof Finance, School of Economics and Management,

Beihang University

2002.5-2012.6: AssociateProfessor of Finance, School of Economics and Management,

Beihang University

2009.9-2009.12: VisitingScholar, Department of Statistics/Department of Industrial Engineering andOperations Research,Columbia University, USA

2008.11-2009.8: VisitingScholar of Finance, Moore School of Business,

University ofSouth Carolina, USA

2006.9-2006.11: Research Fellowon Financial Engineering,

Department of System Engineering andEngineering Management,Chinese University of Hong Kong

2006.7-2006.9: ResearchFellow on Computational Finance

Department of Computer Science,CityUniversity of Hong Kong

2000.5-2002.5: Post-Doctor on Financial Management,

Laboratory of Management, Decisionand Information System,

Institute of System Sciences,ChineseAcademy of Sciences

2001.3-2001.6: VisitingScholar, Department of Financial and Actuarial Mathematics

ViennaUniversity of Technology, Vienna, Austria

Main Awards andScholarship:

[1]“BestPaper” Award,2015, 13th InternationalConference on Risk Management and Financial Systems Engineering;

[2]“BestPaper” Award,2014, 12th InternationalConference on Risk Management and Financial Systems Engineering;

[3]“BestPaper” Award,2014, 2nd InternationalConference on Risk and Emergency Management;

[4]“BestPaper” Award,2010, 8th InternationalConference on Risk Management and Financial Systems Engineering;

[5]“Blue Sky Star” Research Award,2006, BeiHang University;

[6]“BestPaper” Award, 2002, Cross-Straits Conference ofProbability and Statistics

[7]ResearchFellowship, 2006, City University of Hong Kong[8]Research Fellowship, 2006, ChineseUniversity of Hong Kong

Main ResearchProjects:

[1] Design and Pricing of Chinese CoCo Bondsand Their Impact on the Capital Structure of Chinese Commercial Banks,Supported byNational Natural Science Foundation of China(NSFC,Principal), 2016.01-2019.12;

[2] Defaultable Corporate Bond Pricing andCredit Portfolio Management Based on Dynamic Factor Copulas and DCC Model,Supported byNational Natural ScienceFoundation of China(NSFC,Principal), 2013.01-2016.12;

[3] Credit derivative pricing based on dynamiccopulas, Supported byNational NaturalScience Foundation of China(NSFC, Principal), 2010.01-2012.12;

[4] Multi-asset option pricing based onmartingales and copulas in discrete-time incomplete financial markets,Supported byNational Natural Science Foundation of China(NSFC,Principal), Grant No. 70501003, 2006.01-2008.12;

[5] Quantitative analysis and calculation infinancial risk control, Supported byNationalBasic ResearchProgram of China(973 Program, Main Participant), Grant No.2007CB814906, , 2008.01-2012.12;

[6] Diversity of national currency reserve andinternational asset allocation, Supported byNational Natural ScienceFoundation of China(NSFC,Main Participant), Grant No.70831001,2009.01-20012.12;

[7] Research on the design, implement strategyand innovation of Chinese Yuan derivatives, Supported byNational NaturalScience Foundation of China(NSFC,Main Participant), Grant No.70741009, 2007.06-2008.04;

[8] Futures pricing based on martingales indiscrete-time incomplete financial markets, Supported byNational NaturalScience Foundation of China(NSFC,Kernel Participant), Grant No. 70371006,2004.01-2006.12;

[9] Option pricing and optimal portfolioselection, Support byPost-Doctor ScienceFoundation of China(Principal),2001.1-2002.12.

[10]Curriculum system and teaching technologyfor masters majoring in Financial Engineering, Supported by Graduate school ofBeihang University (Principal), 2004.07-2006.5

SelectedPublications:

[1] LiPing, Meng Hui, Yu Feihui, Write-Down Bonds and Bank Capital Structure,QuantitativeFinance(Online), 2018 (ESI期刊);

[2]Li Pingand Li Zezheng, Change Analysis of Dependence Structure and Dynamic Pricing ofBasket

Default Swaps,European FinancialManagement, 2014.(SSCI

[3] LiPing, Zhang Ziyi, Yang Tianna, Zeng Qingchao, The relationship among China’sfuel oil spot, futures and stock markets,Finance Research Letters,2017 (SSCI);

[4] YingweiHan, Ping Li, Yong Xia, Dynamic robust portfolio selection with copulas,FinanceResearch Letters, 2017 (SSCI);

[5] LiPing, Han Yingwei, Xia Yong, Portfolio optimization using asymmetry robust meanabsolute deviation model,Finance Research Letter,2016 (SSCI);

[6] YingweiHan, Yong Xia, Ping Li*, Minimizing the object space error for pose estimation:towards the most efficient algorithm,Journal of Nonlinear Sciences and Applications, 2017 (SCI);

[7] TiannaYang*, Wenxuan Hou, Ping Li,Short-run priceperformance of venture capital trust in initial public offerings,FinanceResearch Letters, 2017 (SSCI);

[8] Li Ping, Wang Xiaoxu, Empirical Pricing ofChinese Defaultable Corporate Bonds Based on the

IncompleteInformation Model,Mathematical Problems in Engineering,2014。(SCI

[9]Ping LiandJing SongPricingChinese Convertible Bonds with Dynamic Credit Risk,DiscreteDynamics in Nature and Society,2014.(SCI) 

[10]PingLi, Shi Peng, Pricing of LIBOR Futures by Martingale Method inCox-Ingersoll-Ross Model, toJournal of System Science and Complexity,2010.(SCI

[11]LiPing and Wang Shouyang, Optimal Martingale Measure Maximizing the Total Utilityof Consumption with Applications to Contingent Claim Pricing,Optimization,57(5),691–703,2008.(SCI)

[12]LiP, Chen HS, Deng XT, Zhang SM, On default correlation and pricing ofcollateralized debt obligation by copula functions,International Journalof Information Technology & Decision Making3: 483-493, 2006. (SCI)

[13]Cheng Gang, Li Ping and Shi Peng, A NewAlgorithm Based on Copulas for VaR Valuation with

EmpiricalCalculations,Theoretical Computer Science, 378, 190–197, 2007. (SCI)

[14]LiPing, Xia Jian-Ming and Yan Jia-An. Martingale measure method for Utilitymaximization in discrete-time incomplete financial market.Annals ofEconomics and Finance, 2(2), 445-465, 2001.

(SSCI期刊)

[15]LiPing, Xia Jian-Ming. Minimal martingale measures for discrete-time incompletefinancial markets.Acta mathematicae Applicatae Sinica,2, 2002.(SCI期刊)

[16]Li,P., Shi, P. and G.D. Huang. A New Algorithm Based on Copulas for Financial RiskCalculation with Applications to Chinese Stock Markets.Lecture Notes inComputer Science, Vol.3828, 481-490, 2005. (SCI)

[17]LiPing, Wei Zhiyi and Chen Housheng. A Copula Approach to Default Correlation andthe Pricing of Basket Default Swap,American Journal of Mathematical andManagement Sciences(AJMMS), 2010.

[18]LiPing, Yan Jia-An. Growth optimal portfolio for a discrete-time financial market.Advances in Mathematics, 4, 2002.

[19]Li,P., H.S. Chen, D.D. Huang and X.J. Shi. On Portfolio’s Default-Risk-AdjustedDuration and Value: Model and Algorithm Based on Copulas,Lecture Notesin Computer Science,Vol.4286, 214-224, 2006.

Working Papers:

[1] LiPing, Lin Shan, An empirical study on the relationships between Chinesewrite-down bonds and commercial banks,Journal of Banking and Finance(R&R), 2018.

[2] LiPing, Han Yingwei, Jie Li, Robust portfolio selection with dynamic copulas,EmergingMarket Finance and Trade (R&R), 2018.

[3] LiPing, Meng Hui, Li Zengpeng, Impact of Credit Risk Mitigation on Chinese BondMarkets,Emerging Market Finance and Trade (R&R), 2018.

[4] LiPing, Hui Meng,Effects of oil price shocks onChinese stock return: A regime switching model, Submitted toEnergyEconomic, 2018.

[5] LiPing, Li Jie, Dynamic copula approach to the dependence between internationaloil and Chinese energy stock markets,EnergyEconomics, R&R, 2018.

[6] LIPing, HAN Yingwei, Robust portfolio selection based on vine copulas, Submittedto FERM (International conference on Financial Engineering and Risk Management)2018.

[7] LiPing, Li Jie, Zhang Ziyi, The dynamic impact of structural oil price shocks onthe macro-economy, work in progress, 2018.

[8] LiPing, Dong Wang, The Determinants of Chinese Green Bonds’ Yield Spreads, workin progress, 2018.

Courses Teachingand Taught:

Domestic/Foreign

Undergraduates: Financial Derivatives; Financial Engineering,

Domestic Postgraduates: AdvancedFinancial Derivatives;

AdvancedFinancial Engineering,

Mathematical Finance; International Financial Markets

ForeignPostgraduates: Financial Derivatives; Investment,

Applied Portfoliomanagement; EconomicsMBA: Security Market; International Business English

Journal Referee:

Insurance: Mathematics and Economics(IME),

Quantitative Finance,

Communications inStatistics – Theory and Methods Journal of System Science and Complexity

Services and OtherProfessional experiences:

2015.8- : Deputy Manager,Financial Management Department, Capital Group, Beijing, China

2010: Director Assistant, Haidian Bureau of Housing Management, Beijing, China

2009-: Deputy Secretary General, “Financial Engineering and Financial Risk Management” Association of China;

2009- : Deputy SecretaryGeneral, “Financial System Engineering” Association of China



附件【lipingCV_18.pdf