个人简历

李辰旭博士，致力于金融计量和金融工程等领域的研究。多项研究成果已跨越领域地成功发表在国际一流的金融学、计量经济学、运筹学、统计学、数理金融学期刊上，包括Review of Financial Studies、Journal of Econometrics、Mathematics of Operations Research、Annals of Statistics、Mathematical Finance等。荣获由国际工业与系统工程学会（The Institute of Industrial and Systems Engineers）颁发的IIE Transactions运筹学最佳论文奖“2018 Operations Engineering and Analytics Best Paper Award”、全国第七届教育部高等学校科学研究优秀成果奖（人文社会科学）、第十三届北京大学人文社会科学研究优秀成果奖、北京大学教学优秀奖、正大奖教金等。作为研究的实践，参与金融机构的衍生品定价与量化交易模型的开发和改进。在北京大学光华管理学院他讲授金融中的数学方法、随机分析与应用、管理学中的回归方法、数量分析方法等课程。2004年获中国科学技术大学数学学士学位，2010年获美国哥伦比亚大学博士学位。他兴趣广泛，对文化艺术特别是钢琴演奏及钢琴艺术鉴赏和研究拥有诚挚的热爱。

教育背景
2010
美国哥伦比亚大学
数学
博士
2004
中国科学技术大学
数学
学士
职业经历
2015至今
北京大学光华管理学院商务统计与经济计量系副教授
2010—2015
北京大学光华管理学院商务统计与经济计量系助理教授

近期论文

Selected Journal Article Publications:
Aït-Sahalia, Y., Li, C., Li, C. X., 2020. Implied Stochastic Volatility Models. Review of Financial Studies, forthcoming.
Aït-Sahalia, Y., Li, C., Li, C. X., 2020. Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps. Journal of Econometrics, forthcoming.
Li, C., Ye, Y., 2019. Pricing and Exercising American Options: an Asymptotic Expansion Approach. Journal of Economic Dynamics and Control, 107, 103729.
Li, C., Wu, L., 2019. Exact Simulation of the Ornstein-Uhlenbeck Driven Stochastic Volatility Model, European Journal of Operational Research, 275(2), 768-779.
Li, C., Chen, D., 2016. Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions. Journal of Econometrics 195 (1), 51-70.
Li, C., 2016. Bessel Processes, Stochastic Volatility, and Timer Options, Mathematical Finance, 26(1), 122–148.
Li. C, An, Y., Chen, D., Lin, Q., Si, N., 2016. Efficient Computation of Likelihood Expansions for Diffusion Models, IIE Transactions, 48(12), 1156-1171.
Li, C., 2014. Closed-form Expansion, Conditional Expectation, and Option Valuation, Mathematics of Operations Research, 39, 487-516.
Cai, N., Li, C., Shi, C., 2014. Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models, Mathematics of Operations Research, 39(3), 789-822.
Li, C., 2013. Maximum-Likelihood Estimation for Diffusion Processes via Closed-Form Density Expansions. Annals of Statistics 41, 1350-1380.
Li, C., 2010. Managing Volatility Risk: Innovation of Financial Derivatives, Stochastic Models and Their Analytical Implementation, PhD Dissertation, Columbia University.
Invited Presentations and Academic Visits:
Morgan Stanley, Global Quantitative Modelling Seminar, Beijing, China, June 2014
Financial Engineering and Risk Management International Symposium, Beijing, China, June 2014
Chinese Academy of Sciences, Academy of Mathematics and System Sciences, Beijing, China, June 2014
Shanghai Jiaotong University, Antai College of Economics and Management, Shanghai, China, June 2014
Columbia University, Mathematical Finance Seminar, New York, US, May 2014
Princeton University, Bendheim Center for Finance, New Jersey, US, April 2014
Southwestern University of Finance and Economics, Chengdu, China, Nov. 2013
Asymptotic Statistics and Related Topics: Theories and Methodologies, Bernoulli Society Satellite Meeting to the ISI World Statistics Congress 2013, Tokyo, Japan, Sept. 2013
Risk Pricing and Related Topics in Financial Engineering, Shanghai, China, June, 2013
Workshop on Mathematical Finance and Related Issues, Kyoto, Japan, September 2012
Financial Engineering and Risk Management International Symposium, Changsha, China, June 2012
National University of Singapore, Singapore, May 2012
Young Researchers Workshop on Finance, Tokyo, Japan, March 2012
Statistical Analysis and Related Topics: Theory, Methodology, and Data Analysis, Tokyo, Japan, Dec. 2011
National School of Development, Beijing, China, Oct. 2011
Workshop on Nonlinear Expectation and it's Applications in Financial Econometrics, Beijing, China, July 2011
Hongkong University of Science and Technology, Department of Mathematics, Hongkong, Jan. 2010
Professional Activities:

Reviewer for Refereed Academic Journals: Management Science, Mathematics of Operations Research, Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Econometrics, Econometric Theory, Journal of Economic Dynamics and Control, Journal of Business and Economic Statistics, Mathematical Finance, Quantitative Finance, European Journal of Operational Research, Operations Research Letters, Probability in the Engineering and Informational Sciences, Annals of the Institute of Statistical Mathematics, etc.