姓  名：马勇

职    称：教授(博士生导师)

办公地点：湖南大学财院校区3号楼201室

E-mail: yma@hnu.edu.cn

研究方向：金融衍生品定价、信用风险管理与动态组合选择

讲授课程：金融工程、资产定价、金融随机分析、动态规划与随机控制等

个人简介：

马勇，湖南大学金融与统计学院教授、博士生导师，应用金融系主任。入选湖湘青年英才支持计划、湖南省121创新人才培养工程和湖南省普通高校青年骨干教师培养对象。湖南师范大学理学学士、硕士，华南理工大学与威斯康星大学麦迪逊分校联合培养管理学博士。

目前，已在Journal of Futures Markets、Quantitative Finance、International Review of Economics and Finance、International Review of Finance、North American Journal of Economics and Finance、Computational Economics、Emerging Markets Finance and Trade、International Journal of Electronic Commerce、Journal of Industrial and Management Optimization、Physica A: Statistical Mechanics and Its Applications、Statistics and Its Interface、Communications in Statistics-Theory and Method、Journal of Computational and Applied Mathematics等国际重要SSCI/SCI期刊和管理科学学报、管理工程学报、系统工程学报、系统管理学报等国内重要期刊发表（含录用）学术论文20余篇。主持国家自然科学基金面上项目和青年项目、教育部人文社科基金青年项目、湖南省优秀青年科学基金项目、湖南省自然科学基金青年项目等。

招生要求：欢迎经济学和数理基础扎实的，特别是具有强烈学术研究兴趣的同学；专业不限。

主要论文（*为通讯作者）：

[1] Bo Jing, Shenghong Li, Yong Ma*. Consistent pricing of VIX options with the Hawkes jump-diffusion model, North American Journal of Economics and Finance, 2021, 56: 101326.

[2] Pengfei Luo, Yong Ma*. Robustly dynamic tax evasion and consumption with preferences for cash, International Review of Finance, forthcoming.

[3] Jianping Lyu, Yong Ma*, Wei Sun. A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps, Communications in Statistics-Theory and Methods, forthcoming.

[4] Yong Ma, Hao Jiang, Weilin Xiao*. Tax avasion, audits with momery, and portfolio selection, International Review of Economics and Finance, 2021, 71: 896-909

[5] Yong Ma, Dongtao Pan, Tianyang Wang*. Exchange options under clustered jumps dynamics, Quantitative Finance, 2020, 20(6): 949-967.

[6] Bo Jing, Shenghong Li, Yong Ma*. Pricing VIX options with volatility clustering, Journal of Futures Markets, 2020, 40(6): 928-944 .

[7] Yong Ma, Dongtao Pan, Keshab Shrestha, Weidong Xu*. Pricing and hedging foreign equity options under Hawkes jump-diffusion processes, Physica A: Statistical Mechanics and Its Applications, 2020, 537: 122645.

[8] Yong Ma, Shiping Shan, Weidong Xu*. Optimal investment and consumption in the market with jump risk and capital gains tax, Journal of Industrial and Management Optimization, 2019, 15(4): 1937-1953.

[9] Rongcai Hu, Meng Liu, Pingping He, Yong Ma*. Can investors on P2P lending platforms identify default risk?, International Journal of Electronic Commerce, 2019, 23(1): 63-84.

[10] Yong Ma, Keshab Shrestha, Weidong Xu*. Pricing vulnerable options with jump clustering, Journal of Futures Markets, 2017, 37(12): 1155-1178.

[11] Yong Ma*, Weidong Xu. Structural credit risk modelling with Hawkes jump diffusion process, Journal of Computational and Applied Mathematics, 2016, 303: 69-80.

[12] Yong Ma*, Zhengjun Zhang, Weiguo Zhang, Weidong Xu. Evaluating the default risk of bond portfolios with extreme value theory, Computational Economics, 2015, 45(4): 647-668.

[13] Qiurong Cui, Yong Ma*. Pricing synthetic CDO with MGB2 distribution, Statistics and Its Interface, 2014, 7(3): 309-318.

[14] 张群, 张卫国, 马勇. 中国金融市场系统复杂性的演化机理与管理研究, 管理科学学报, 2017, 20(1): 75-86.

[15] 马勇, 张卫国, 闫杜娟. 中国股市暴涨暴跌的交互作用及其预测, 系统管理学报, 2014, 23(5): 755-760.

[16] 马勇, 张卫国, 傅俊辉, 刘勇军. 模糊随机环境中的欧式障碍期权定价, 系统工程学报, 2012, 27(5): 641-647.

[17] 马勇, 贺甄, 徐维东. 跳自刺激效应下的VIX期权定价研究, 管理工程学报, 2021, 35(2): 243-248.