Junye LI

Assistant Professor, Finance Department

Ph.D in Economics, Bocconi University, Milan, Italy (2009)

Master of Science in Economics, Bocconi University, Milan, Italy (2005)

Master of Engineering in Systems Engineering, Beijing Jiaotong University, Beijing, China (2001)

1. Financial Econometrics, Volatility Modeling and Empirical Finance;

2. Option Pricing  Modeling using Levy Processes, Continuous-Time Finance, and Credit Risk and Derivatives Modeling;

3. Applied Time Series and Bayesian Econometrics

Papers under Review:

  1. Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing, Second-round revision submitted

  2. Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models, Second-round revision submitted

  3. A Bayesian Estimation of Time-Changed Infinite Activity Levy Models: Explaining Return-Volatility Relations,  (Submitted)

Papers under Revision:

  1. Option Implied Volatility Factors and Cross-Sectional Risk Premia Determinants, this version: October, 2009 

  2. Consistent Modeling of Index Options and Volatility: Variance Dynamics Implicit in SPX and VIX, this version: June 2009

Papers in Progress:

  1. A Particle Based Estimation of Infinite Activity Stochastic Intensity Models

  2. Normal Tempered Stable Stochastic Volatility Model: Inference and Applications

Permanent Working Papers:

  1. Characteristic Function based Estimation of Levy Tempered Stable Stock Price Models and Jump Market Price Calibration, July, 2007 

2009, "Financial Econometrics", Master of Financial Engineering

2010, "Exotic Options", Master of Financial Engineering

2008, 2009, "Econometrics I”, PhD in Economics and Finance, Bocconi University

2007, "Financial Mathematics”, BSc. iin International Economics, Management and Finance, Bocconi University

2006, "Quantitative Methods for Finance”, Master of Science in Finance, Bocconi University

2008-2009, Bocconi Research Grant

2007, Chinese Government Award for Outstanding Self-financed Students Abroad

2005- 2009, Bocconi Doctoral Fellowship

2004, Fondazione Invernizzi Fellowship

Conference on Recent Development in Financial Econometrics, Berlin, Germany

X Workshop on Quantitative Finance, Milan, Italy

2008

Workshop on Modeling and Forecasting Economic and Financial Time Series with State Space Models (invited discussant), Sveriges Riksbank, Sweden

Fifth World Congress of Bachelier Finance Society, London, England

International Conference in Mathematical and Statistical Methods for Actuarial Sciences and Finance, Venice, Italy

IX Workshop on Quantitative Finance, Rome, Italy

2007

2nd European EIF Conference in Finance and Accounting, Paris, France

EC2 Conference on Advances in Time Series Analysis (Poster), Faro, Portugal

China International Conference in Finance, Chengdu, China

Asian Finance Association Annual Conference, Hong Kong, China

European Conference of Financial Management Association, Barcelona, Spain.

Apr., 2001- Aug., 2004  - Program Officer, China International Center for Economic and Technical Exchanges, Ministry of Commerce, Beijing, China

Nov. 2002 - Apr., 2003 - Marco Polo Program on Small and Medium Enterprises Management, CIAPI-International Training Center of Chieti, Italy