Liu Y, Nicolas P,Selling at the ultimate maximum in a regime-switching model. International Journal of Theoretical and Applied Finance. 2017, 200(3): 1-27, 1750018.(ESCI检索)
刘悦, 杨爱军, 林金官, 基于机制转换模型的碳排放权期权定价. 数理统计与管理. 2019, 38(2): 225-234.
Liu Y, Yang, A J, Zhang J J and Yao J J,An optimal stopping problem of detecting entry points for trading modeled by geometric Brownian motion. Computational Economics.2020, 55(3): 827-843. (SSCI&SCI检索)
Liu Y, Yang A J, Lin J G and Yao J J, A new method of valuing American options based on Brownian Models. Communications in Statistics- Theory and Methods. 2020, 50: 4809-4821(SCI检索).
Liu Y, Sun H P, Zhang J J, Farhad T H, Detection of volatility regime-switching for crude oil price modeling and forecasting. Resources Policy. 2020, 69:101669(SSCI检索).
Liu Y, Xie Z Y, Yao J J,Li K D, Volatility analysis of regime-switching models. Probability in the Engineering and Informational Sciences, (SCI检索), 2021, 35(4): 928-941.
Liu Y, Shi Z Y, Tang Y, Yao J J, Zhu X C, An improvement of markovian integration by parts formula and application to sensitivity computation. Probability in the Engineering and Informational Sciences, (SCI检索), 2021.01, 1-21.
Liu Y, Tian L X, Tang Y, Xie Z Y, Zhen Z L, Sun H P, Option to survive or surrender: carbon asset management and optimization in thermal power enterprises from China. Journal of Cleaner Production, 2021, 314(10): 128006. (SCI检索)
Liu Y, Zhang J J, Ding, X H, Zhang X L. Intervene in advance or passively? Analysis and application on congestion control of smart grid. Annals of Operations Research. 2021. https://doi.org/10.1007/s10479-021-04389-2. (SCI检索)
Liu Y, Tian L X, Sun H P, Zhang X L, Kong C M. Option pricing of carbon asset and its application in digital decision-making of carbon asset. Applied Energy. 2022, 310: 118375. (SCI检索)
Liu Y, Tian L X, Sun H P, Yuan L W, Zhang X L. Marginal return-ability measurement of carbon emission right and its application to unification route analysis of carbon markets. Journal of Cleaner Production. 2022, 345: 130684. (SCI检索)
Yang A J,Liu Y*,Xiang J and Yang H Q,Optimal buying at the global minimum in a regime switching model. Mathematical Social Sciences, 2016, 84: 50-55.(SSCI/SCI检索)
Xie Z Y, Liu Y*, Xu B, Xu, L, The long-term impact of household debts on household consumption in the context of high housing price in China. Psychiatria Danubina, 33: 343-345. 2021. (SSCI&SCI检索)
Zhang C C,Liu Y*,Yang A J, Yang H Q, Level hitting analysis of Brownian models applied for optimization of take-profit level setting for trading. ICIC Express Letters, 2016, 10(10): 2313-2318.(EI检索)
Gu Z, Liu Y*, Yang A J, Li K D, New method of sensitivity computation based on Markov models with its application for risk management. Journal of Mathematics, vol. 2022, Article ID 9510466, 13 pages, 2022. (SCI检索)
张济建,张欢,刘悦.异质性减排政策下碳资产质押融资演化博弈分析[J].中国环境管理,2021,13(6):70-80. (CSSCI,南大核心)
【科研项目】
国家自然科学青年项目(72004082):基于碳排放权及其期权“双权共轭”的企业碳资产运营风险规避机制研究, 2021-2023, 24万,在研,主持。
江苏省自然科学基金青年项目(BK20180852):带机制转换的最优停时问题的解法研究及其应用,2018-2021,20万,已结题,主持。
江苏省双创人才计划,2018.01-2020.12,15万,2018-2021,已结题,主持。
中国博士后科学基金第62批面上资助(2017M621637):机制转换模型下碳排放权市场形态节点刻画及期权定价,2017-2019,5万,已结题,主持。
中国博士后科学基金第71批面上资助:基于碳衍生品组合及其随机最优停时决策的企业碳资产避险研究,2023-2024,5万,2022.06获批,主持。
江苏省高校哲社项目(2020SJA2052): 基于企业碳资产组合的运营风险避险机制研究,2021.01-2022.12,1万,在研,主持。
江苏省博士后科研资助(211110B52109):基于机制转换模型的最优停时问题的解析、算法及应用,2021-2024,2万,在研,主持。
【学术交流】 2022年国家林业和草原局国际林业科技培训中心“一带一路”国家林业碳汇管理研修班。主办单位:中华人民共和国商务部。授课3小时,授课内容:从“碳规制-碳市场”到“碳资产-碳衍生品”的设计与应用。学员为亚非国家65名处级干部及研究员。2022.06.
【联系方式】 liuy0080@e.ntu.edu.sg;286586116@qq.com