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Ke Du Assitant Professor
2017-05-03 14:28
Educational Background:
PhD. in Quantitative Finance Mar. 2009 - Dec. 2012
University of Technology, Sydney
MSc. in Mathematical Finance Oct. 2006 - Oct. 2007
University of York
BSc. in International Economics and Trade Oct. 2002 - Oct. 2006
Southwestern University of Finance and Economics
 
Research Interests:
Quantitative finance, derivative pricing, term structures, stochastic volatility, time series,
financial econometrics, filtering, forecasting
 
Awards:
University of Technology, Sydney
Quantitative Finance Research Centre PhD Scholarship International Research Scholarship (IRS)
Southwestern University of Finance and Economics College Award 2004-2006
 
Employment:
Assistant Professor, Institute of Financial Studies, Southwestern University of Finance and Economics, 2013-
Tutor (Investment Analysis 25503), University of Technology, Sydney, Dec. 2011 - Mar. 2013
 
Published Papers:
1. Du, K., and E. Platen “Benchmarked Risk Minimization for Jump Diffusion Markets.”
Mathematical Financeforthcoming 2013
2. Rui, C., and K. Du “A Generalised Arbitrage-Free Nelson-Siegel Model: the Impact
of Unspanned Stochastic Volatility.” Finance Research Letters, forthcoming, 2012
 
Working Papers:
1. Du, K., and E. Platen “Benchmarked Forward and Futures Contracts of Commodities.”
Presented at the conference of Quantitative Methods in Finance (QMF)
and the Bachelier Finance Society 7th World Congress (BFS), 2011
2. Du, K., E. Platen and R. Rendek “Modeling of Oil Prices”, working paper, 2012
 
Contact Information:
Rm.204, Institute of Financial Studies (IFS)
Southwestern University of Finance and Economics (SWUFE)
No. 55, Guanghuacun Street, Chengdu, Sichuan, P.R. China, 610074
Office:+86 28 87099045
Email: duke20072009@yahoo.com