English 正规靠谱的网投平台 旧版入口 人才招聘

王小群

  • 教授
  • 电话:
  • 邮箱:wangxiaoqun@mail.tsinghua.edu.cn

基本信息

1995年获俄罗斯国立圣彼得堡大学博士学位。澳门投注平台官网长聘教师,国家杰出青年基金获得者,教育部长江学者特聘教授。担任或曾任全国应用统计专业学位研究生教育指导委员会委员,中国工业与应用数学学会秘书长、常务理事,中国运筹学会金融工程和风险管理分会副理事长。 


工作履历

1997年起在澳门投注平台官网任教,历任讲师、副教授、教授。

多次访问香港浸会大学、澳大利亚 The University of New South Wales, 加拿大 University of Waterloo.  


研究领域

金融数学、计算金融学、统计计算与数据科学、随机模拟与确定性模拟方法、计算复杂性理论。


所授课程

概率论(1)(本科生)

概率论(2)(研究生)

概率论与数理统计(本科生)

随机数学 (本科生)

金融数学 (研究生)

计算金融学 (研究生)

蒙特卡罗方法 (研究生)

统计案例与实务 (研究生)

奖励与荣誉

正规靠谱的网投平台学术新人奖获得者 (2004)

国家杰出青年基金获得者 (2009)

教育部长江学者特聘教授 (2011)


学术成果

在金融数学和统计学及其交叉领域取得一系列创新性研究成果。发展“有效维数”的概念,并率先给出高维金融问题有效维数的分析与计算方法,对深化高维金融计算复杂性的认识具有明确的指示意义;提出新的降维策略及函数光滑化方法,发展高效、实时的资产定价和金融风险定量分析算法,有效克服高维计算中“维数的灾难”和函数间断性困难,显著提高计算效率和准确性,拓展方法的适用性;首次用构造性方法证明高维积分的“强可计算性”及最优收敛阶,解决复杂性领域重要的公开问题;本质拓展“加权函数空间”理论,提出“有限阶权重”的概念,并提出构造高维空间中高质量“低偏差点列”的新方法,具有重要的金融应用。

在运筹学和管理科学的两大旗舰刊物 Management Science 和 Operations Research 以及在计算科学的权威刊物 Mathematics of Computation, Numerische Mathematik, SIAM Journal on Numerical Analysis, SIAM Journal on Scientific Computing 等上发表论文四十余篇。 

Selected Publications:

  1. Zhijian He and Xiaoqun Wang. Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall. Mathematics of Computation, Vol. 90, No. 327, 303-319, 2021.

  2. Chaojun Zhang, Xiaoqun Wang, Zhijian He. Efficient importance sampling in quasi-Monte Carlo methods for computational finance. SIAM Journal on Scientific Computing,Vol. 43, No.1, B1-B29, 2021.

  3. Chengfeng Weng, Xiaoqun Wang and Zhijian He. Efficient computation of option prices and Greeks by quasi-Monte Carlo method with smoothing and dimension reduction. SIAM Journal on Scientific Computing, Vol. 39, No. 2, B298-B322, 2017.

  4. Xiaoqun Wang. Handling discontinuities in financial engineering: A good path simulation approach. Operations Research, Vol. 64, No. 2, 297-314, 2016.

  5. Zhijian He and Xiaoqun Wang. On the convergence rate of randomized quasi-Monte Carlo f for discontinuous functions, SIAM Journal on Numerical Analysis, Vol. 53, No. 5, 2488-2503, 2015.

  6. Zhijian He, Xiaoqun Wang, Good path generation methods in quasi-Monte Carlo for pricing financial derivatives, SIAM Journal on Scientific Computing, 2014,Vol. 36, No. 2, pp. B171-B197, 2014.

  7. Xiaoqun Wang and K. S. Tan. Pricing and hedging with discontinuous functions: quasi-Monte Carlo Methods and dimension reduction. Management Science, Vol. 59, No. 2, 376-389, 2013.

  8. Xiaoqun Wang. Enhancing quasi-Monte Carlo by exploiting additive approximation for problems in finance. SIAM Journal on Scientific Computing, Vol.34, No.1, A283-A308, 2012.

  9. Xiaoqun Wang and I. H. Sloan. Quasi-Monte Carlo methods in financial engineering: an equivalent principle and dimension reduction. Operations Research, Vol. 59, No. 1, 80-95, 2011.

  10. Xiaoqun Wang. Dimension reduction techniques in quasi-Monte Carlo methods for option pricing. INFORMS Journal on Computing, Vol. 21, No.3, 488-504, 2009.

  11. Xiaoqun Wang. Constructing robust lattice rules for computational finance. SIAM Journal on Scientific Computing, Vol. 29, No. 2, 598 - 621, 2007.

  12. Xiaoqun Wang. On the effects of dimension reduction techniques on some high-dimensional problems in finance. Operations Research, Vol.54, No.6, 1063-1078, 2006.  

  13. Xiaoqun Wang and I. H. Sloan. Efficient weighted lattice rules with applications to finance. SIAM Journal on Scientific Computing, Vol. 28, No.2, 728-750, 2006.

  14. Dick, J., I. H. Sloan, Xiaoqun Wang and H. Wozniakowski. Good lattice rules in weighted spaces with general weights. Numerische Mathematik, Vol. 103, No. 1, 63-97, 2006.

  15. Xiaoqun Wang and I. H. Sloan. Why are high-dimensional finance problems often of low effective dimension. SIAM Journal on Scientific Computing, Vol. 27, No.1, 159-183, 2005.

  16. Xiaoqun Wang, I. H. Sloan and J. Dick. On Korobov lattice rules in weighted spaces. SIAM Journal on Numerical Analysis, Vol. 42, No. 4, 1760-1779, 2004.

  17. Xiaoqun Wang. Strong tractability of multivariate integration using quasi-Monte Carlo algorithms. Mathematics of Computation, 2003, Vol.72, No. 242, 823-838, 2003.  

  18. Xiaoqun Wang and Kai-Tai Fang. The effective dimensions and quasi-Monte Carlo integration. Journal of Complexity, Vol. 19, No. 2, 101-124, 2003.

  19. Hickernell, F. J. and Xiaoqun Wang. The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension. Mathematics of Computation, Vol. 71, No. 240, 1641-1661, 2002. 


人才培养

培养博士生(毕业或在读)15名,一名博士毕业生获“新世界数学奖”博士论文银奖。

培养硕士生(毕业或在读)49名,两名毕业生获北京市优秀毕业生或正规靠谱的网投平台优秀毕业生称号。