Xi'an Jiaotong-Liverpool University

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Dr. Dejun Xie is an Associate Professor at Department of Mathematical Sciences, XJTLU. Dr. Xie holds an MBA degree from Katz Graduate School of Business (concentrated on finance) and a Ph.D. degree in applied mathematics, University of Pittsburgh. His research interests focus on applied finance and economics using mathematical, statistical, and computing (including simulation) approaches. More of Dr. Xie's profiles are available at the following links:

https://scholar.google.com/citations?user=74cZsiUAAAAJ&hl=en&oi=ao

https://www.researchgate.net/profile/Dejun_Xie2

Qualifications
- Ph.D., Applied Mathematics, University of Pittsburgh
- MBA, Katz Graduate School of Business
Research interests
- Dr. Xie's current research interests are in applied finance and economics, and related fields. He is particularly interested in the mathematical/statistical modeling of financial/economic problems and using both mathematical and computing methods to study the problem from financial decision maker’s perspective. Topics he has been recently working with include option pricing, credit risk analysis, interest rate modeling, valuation of mortgages, energy and environmental finance. Dr. Xie has been passionate to assimilate real research frontiers and methodologies into teaching and student supervision. Interested students are very welcome to contact at Dejun Xie@xjtlu.edu.cn
Articles
- Xie, D., Edwards, D., & Feng, X. (2022). Optimal Exercise Frontier of Bermudan Options by Simulation Methods. International Journal of Financial Engineering, in press.
- Zhao, M., Xie, D., Edwards, D., & Liu, Y. (2022). A VAR Based Factor Decomposition to the Term Structure of Treasury Bonds. International Journal of Monetary Economics and Finance, accepted.
- Xie, D., Cui, Y., & Liu, Y. (2021). How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market. China Finance Review International. https://www.emerald.com/insight/content/doi/10.1108/CFRI-01-2021-0007/full/ht ml;
- Xie, D., Yan, Z., Xu, Y., Weng, S., Zhang, C. (2020). An Event Based Study on the Name Change Effect on A-Share Quoted Firm Values. Journal of Statistical and Econometric Methods. 9(4), 171-178.
- Wang, X., Zhai, J., Xie. D., & Jiang, J. (2019). The impact of monetary policy on option-implied stock market expectations. China Finance Review International, 10(1), 37-51.
- Wu, X., Xie, D., & Edwards, D. (2019) An Optimal Refinancing Strategy with Stochastic Interest Rate, Computational Economics, 53 (4), 1353-1375.
- Xie, D., Zhang, N., & Edwards, D. (2018), Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem. Computational Economics, 52 (2), 479-492.
- Jiang, J., Ye, B., Xie, D., Li, J., Miao, L. and Yang, P. (2017). Sector Decomposition of China’s National Economic Carbon Emission and Its Policy Implication for National ETS Development, Renewable and Sustainable Energy Reviews, 75, 855-867. DOI: http://dx.doi.org/10.1016/j.rser.2016.11.066
- Wang, X., Xie, D., Jiang, J., Wu, X., & He, J. (2017). Value-at-Risk Estimation with Stochastic Interest Rate Model for Option-Bond Portfolios. Financial Research Letters, 21, 10-20.
- Ye, B., Jiang, J., Miao, L., & Xie, D. (2017), Interprovincial Allocation of China’s National Carbon Emission Allowance: An Uncertainty Analysis Based on Monte-Carlo Simulations. Climate Policy, 17(4), 401-422.
- Ye, B., Jiang, J., Miao, L., & Xie, D. (2017). Interprovincial Allocation of China’s National Carbon Emission Allowance: An Uncertainty Analysis Based on Monte-Carlo Simulations. Climate Policy, 17 (4), 401-422.
- Jiang, J., Xie, D., Ye, B., Shen, B. and Chen, Z. (2016). Research on China’s Cap-and-Trade Carbon Emission Trading Scheme: Overview and Outlook. Applied Energy, 178, 902-917.
- Xie, D., & Zhang, S. (2016). Semi Discrete Model for Mortgage Valuation and its Computation by an Adaptive Finite Element Method, International Journal of Numerical Analysis and Modeling, 6(13), 831-851.
- Wang, X., Xie, D., Jiang, J., & He, J. (2016). Value-at-Risk Estimation with Stochastic Interest Rate Model for Option-Bond Portfolios. Financial Research Letters. DOI: http://dx.doi.org/10.1016/j.frl.2016.11.013
- Jiang, J., Ye, B., Xie, D., & Miao. L. (2015). Dynamic Nonlinear Relationships between Carbon Emission Allowance and Reduction Credit Markets-Based on the IRF-DCC Model. Geo-Informatics in Resource Management and Sustainable Ecosystem, 770-777.
- Chen, X., & Xie, D. (2016). How Responsive is China’s Stock Market to the Monetary Polices. Proceedings of the International MultiConference of Engineers and Computer Scientists, IAENG.
- Zhang, N., Man, K. L., & Xie, D. (2014). Computing Value at Risk in OpenCL on the Graphics Processing Unit. Lecture Notes in Electrical Engineering, 329, 71-78.
- Xie, D., Zheng, J., Zhang, N., Chen, K., & Wang, H. (2014). Finite Difference Approach to Steady State Problems Arising from Mortgage and Option Pricing, Lecture Notes in Electrical Engineering, 308, 429-435.
- Feng, X., & Xie, D. (2013). Optimal Refinancing of Mortgage Loans Based on Monte Carlo Methods, International Journal of Applied Mathematics
- Feng, X., & Xie, D. (2012). Bayesian Estimation of CIR Model. Journal of Data Sciences, 10, 271-280.
- Xie, D., Edwards, D., Gilberto, S., & Zhu, Q. (2011). Characterization of the American Put Option Using Convexity. Applied Mathematical Finance, 18, 353-365. https://core.ac.uk/display/6932259, DOI:10.1080/1350486X.2010.524359; Corpus ID: 417353, https://ideas.repec.org/a/taf/apmtfi/v18y2011i4p353-365.html, https://www.tandfonline.com/doi/abs/10.1080/1350486X.2010.524359?journalCode=ramf20
- Xie, D., Edwards, D., & Gilberto, S. (2009). An Asymptotic Method to a Financial Optimization Problem, Advances in Machine Learning and Data Analysis, S. Ao, et al., eds. New York: Springer (2009), 79-94.
- https://scholar.google.com/citations?user=74cZsiUAAAAJ&hl=en&oi=ao
- https://www.researchgate.net/profile/Dejun_Xie2
Proceedings
- Optimizing the Design of Recommendation Systems. 9th ICCCM Conference, 2021.
- Shan, Y., Xie, D., & Zhang, R. (2019). A Multi-Objective Optimization Model for Bike-Sharing. Proceedings of The 7th International Conference on Information Technology, 383-387. https://doi.org/10.1145/3377170.3377175.
- Shen, B. Shan, Y., Jia, Y. , Xie, D., & Zhu., S. (2019). Modeling the Cashflow Management of Bike Sharing Industry. Lecture Notes in Business Information Processing. 354, 132-146.
- Ye, B., & Xie, D. (2018). An Overview of Event Based Directional Change for Algorithmic Trading. Proceedings of 16th International Conference on Software Engineering Research, Management and Applications (SERA), 13-18. DOI:10.1109/SERA.2018.8477229.
- Sun, Y., Chong, W. K., Man, K. L., Rho, S., & Xie, D. (2016). Exploring Critical Success Factors of Mobile Recommendation Systems: The End User Perspective. In: G.C. Yang, S.I. Ao, X. Huang, O. Castillo (eds.), Transactions on EngineeringTechnologies, International MultiConference of Engineers and Computer Scientists, Springer, Heidelberg, German.
- Chen, X., & Xie, D. (2016). How Responsive is China’s Stock Market to the Monetary Polices. Proceedings of the International MultiConference of Engineers and Computer Scientists, IAENG.
- Zhang, N., Man, K. L., & Xie, D. (2014). Computing Value at Risk in OpenCL on the Graphics Processing Unit. Lecture Notes in Electrical Engineering, 329, 71-78.
Conference presentations
- Optimizing the Design of Recommendation Systems. 9th ICCCM Conference, 2021.
- Bayesian Approach for Multivariate Sequential Data Analysis in Finance, Xian Jiaotong Liverpool University, 2021.
- Developmental Analytics and Simulations to Financial Optimization, Xian Jiaotong Liverpool University, 2020.
- A Multi-Objective Optimization Model for Bike-Sharing, ICIT Conference, Shanghai, 2019.
- The Impact of Name Change on A-Share Quoted Firm Values, 2nd International Conference on Economics Social Science and Business Development, Shanghai, 2019.
- Financial Optimization Problems in Mortgage Prepayment and Refinancing, Workshop Stochastic Processes with Applications in Finance and Related Fields, XJTLU, 2018.
- Monte Carlo Simulations with Applications in Carbon Budget Allocation, Low Carbon City Development World Forum, 2017.
- Finite Difference Approach to Steady State Problems Arising from Mortgage and Option Pricing, International Conference on Platform Technology and Service, 2014.
- Finite Elements Methods for Mortgage Refinancing Strategies, Shenzhen University, 2013.
- Application of MCMC Algorithm in Interest Rate Modeling, 2011 IAENG.
- A PDE Approximation Approach to the Valuation of American Put Option, AMS Southeastern Section Meeting on Numerical Methods and Application of Partial Differential Equations, 2009.

电话
+86 (0)51281884992
Email
Dejun.Xie@xjtlu.edu.cn
地址
MB460(SIP Campus-Mathematics Building)
Suzhou Dushu Lake Science and Education Innovation District
Suzhou Industrial Park
Suzhou
P.R.China
215123

Dejun XiePh.D.

Profile

Qualifications

Research interests

Articles

Proceedings

Conference presentations