Faculty Research

Y

YANG Baochen

Institute of Technical & Quantitative Economics Professor

电子邮箱:bchyang@tju.edu.cn

研究方向:none

Biography

【Education and Career】

Time University Specialty Degree/ Position
October 2001-April 2002 University of Konstanz in Germany Post-doc research fellow (finance)
September, 1999-September 2001 Nanyang Technological University in Singapore Post-doc research fellow (finance)
September 1993-January 1999 management science and engineering Tianjin University Ph.D
September 1987-March 1990 systems engineering Tianjin University M.S
July 2012-present College of Management and Economics Tianjin University Associate dean
March 2005-present Engineering Economics and Quantitative Economics Research,Tianjin University Director of Institute
June 2002-present School of Management ianjin University professor
September 2004-July 2005 University of Michigan Visiting Research Scholar
November 1994-present Tianjin University School of Management associate professor
March 1990-October 1994 Department of Engineering Economics and Systems Engineering,Tianjin University assistant professor
Publications

【Chapters in Books】

[1] Feasible policies and countermeasures for price stabilization in China, (chapter 2), Beijing: Science Press, 2011.

[2] Quantitative analysis for management, (translation), Beijing: Peking university press, 2010.

[3] Statistics for business and economics with Excel, (translation), Beijing: Peking university press, 2011.

[4] Applied managerial operations research, (chapter 8,9,10), Tianjin: Tianjin university press, 1995.

【Journal Paper】

[1] Yang baochen, Liao shan, Su yunpeng. Bonds Portfolio Risk Management Based on Interest Rates Term Structure Forecasting. Journal of financial research, 2012, (10): 86-96.

[2] Yang Baochen, Su yunpeng. Regime switching in risk premium dynamics of SHIBOR. Journal of systems engineering, 2012, 27(2):1-7.

[3] Yang baochen, Su yunpeng. Generalized Heath-Jarrow-Morton model with stochastic volatility and correlated factors. Journal of management sciences in China, 2011,14(9): 77-85.

[4] Wang keliang, Yang baochen, yang li. China’ s Provincial Energy Efficiency Measurement based on DEA and Directional Distance Function. Chinese Journal of management, 2011, 8(3): 456-463.

[5] Yang baochen, Li jingjing. The panel cointegration test with structural changes based on the bootstrap. Journal of technology and quantitative economics, 2012, (9):151-160.

[6] Wang keliang, Yang baochen, Yang li. Measurement Model and Empirical Study of China’s Provincial Environmental Efficiency of Energy Utilization. System engineering, 2011, 29(1): 8-15.

[7] Yang baochen, Chen yue. Grey Relational Decision-making Model Based on Variable Weight and TOPSIS Method. System Engineering, 2011, 29(6): 106-112.

[8] Wang Keliang, Yang baochen, Yang li. Study on China’s regional total- factor energy efficiency based on technology gap. Studies in Science of Science, 2011, 29(7):1021-1028.

[9] Chen haiyan, Yang Baochen. Testing the Unit Root of Panel Data with Structural Change based on LSTR Model. Journal of systems and management, 2011, 20(1): 16-21,39.

[10] Yang Baochen, Su yunpeng. Model calibration of HJM models based on UKF with application. Journal of management sciences in China, 2010, 13(4): 67-75.

[11] Li Biao, Yang Baochen. Research on warrant pricing based on optimal dynamical interest rate model. Journal of systems engineering. 2009, 24(3): 264-271.

[12] Yang baochen, Su Yunpeng. Estimations of Term Structure of Interest Rate Model Based on EKF and UKF Approaches. Journal of systems and management, 2009, 18(3): 344-349.

[13] Yang Baochen, Li Biao. Empirical study of three factor HJM model based on forward rate decomposition technique. Journal of management sciences in China, 2008, 11(6): 112-121.

[14] Li Biao, Yang Baochen. An Optimal Estimation, Selection and Application of the Short-term Interest Rate Models for Stock Option. Journal of systems engineering, 2007, 25(5): 49-54.

[15] Yang baochen, Zhang yugui, Kang choongseok. Convexity based hedge with Treasury futures: Model and numerical analysis. Journal of management sciences in China, 2005,8(5): 38-45.

[16] Joseph Kang, Baochen Yang. A Model for Convexity-Based Cross-Hedges with Treasury Futures. Journal of Fixed Income. 2005.15(3): 68-79.

【Awards】

[1] Scientific and Technological Advancement Awards (third place), Tianjin Scientific and Technological Committee, 2006.

[2] Tianjin Outstanding Achievements Award in Social Sciences (third place), Tianjin Municipal Government, 2004.

[3] Best paper award in the 13th Australasian Finance and Banking Conference, December, 2000, Australia.

[4] Scientific and Technological Advancement Awards (third place), State Bureau of Environmental Protection, 1997.

Projects

【Research Projects】

[1] Pricing and risk management of defaultable bond based on Heath-Jarrow-Morton model with stochastic volatility, granted by NSFC(71171144),2012,1-2015,12.

[2] Carbon market simulation and development strategy of China, granted by national key technology R&D program(2012BAC20B12),2012,1-2015,12.

[3] Pricing and risk management of fixed income securities based on Heath-Jarrow-Morton model, granted by NSFC(70771075),2008,1-2010,12.

[4] Risk assessment of oversea resources development projects, granted by national key technology R&D program(2006BAB08B01)2006,1-2010,12.

[5] Risk pricing for fixed income securities: theory and application, granted by new century talents program of MOE(NCET-08-0397),2009,1-2011,12.

[6] Price volatility, transmission mechanism and countermeasures under economic globalization, granted by NSFC(70841020), 2008, 11-2009, 10.

Comparison of stock market volatility in China, Europe and US, granted by Sino-Finnish governmental S&T cooperation program, 2005, 1-2006, 12.

Academic & social Service

【Academic Part-time jobs】

[1] Examiner, Tianjin Municipal Academic Degree Commission

[2] Standing Fellow, China Technological Economics Society

[3] Associate director, Tianjin Quantitative Economics Society

[4] Fellow, Tianjin Finance Association

[5] Editorial board member, Technology Economics Journal

[6] Referee, National Natural Science Foundation of China

[7] Referee, China Scholarship Council, MOE