2007 - 2012 Ph.D. in Finance, School of Economics and Finance, the University of Hong Kong, Hong Kong
2005 - 2007 M.Sc. in Economics, HSBC School of Business, Peking University, China
1999 - 2003 B.Sc. in Chemistry, College of Chemistry and Molecular Engineering, Peking University, China
Quantitative Finance, Investments, Asset Pricing Theory
Journal Publications:
1.
A Bayesian Analysis of Time-Varying Jump Risk in S&P 500 Returns
and Options, with Andrew Carverhill, 2022, Journal of Financial Markets,
forthcoming.
2. Fundamental Volatility and Informative Trading
Volume in a Rational Expectations Equilibrium, with Yipeng Mao, 2021,
Economic Modelling 105, 105663.
3. Tail Risk and Robust Portfolio Decisions, with Xing Jin and Xudong Zeng, 2021, Management Science 67(5), 2657-3320.
4.
The Pricing of Jump Propagation: Evidence from Spot and Options
Markets, with Du Du, 2019, Management Science 65(5), 2360-2387.
5.
Pricing and Integration of Credit Default Swap Index Tranches, with
Andrew Carverhill, 2019, Journal of Futures Markets 40(4), 503-526.
(Lead Article)
6. Dynamic Asset Allocation with Uncertain Jump Risks:
A Pathwise Optimization Approach, with Xing Jin and Xudong Zeng, 2018,
Mathematics of Operations Research 43(2), 347-376. (Lead Article).
7.
Model Specification and Collateralized Debt Obligation (Mis)Pricing,
with Dragon Yongjun Tang and Sarah Qian Wang, 2018, Journal of Futures
Markets 38(11), 1284-1312. (Lead Article).
8. 罗丹，李志骞。经济政策不确定性对企业融资影响的实证研究。《统计与决策》, 2019年第9期。
9. 罗丹，李志骞。投资者实地调研能降低上市公司违规吗？《郑州大学学报(哲学社会科学版)》，2019年第2期。
Working Papers：
1. Toxic Emission Regulation and Innovation-Driven Entry, with Hui Dong and Sirui Wu, 2022
2. “Up” and “Down” Levy Jumps and Market Risk Premia Implications from S&P500 Options, with Andrew Carverhill, 2022.
3. Belief Dispersion in the Market for Rare Event Risk, with Zhentao Zou, 2022.
4. Inside Debt and Nondiversifiable Risk, with Zhentao Zou, 2021.
5.
Cross-Affiliation Collaboration and Power Laws for Research Output of
Institutions: Evidence and Theory from Top Journals in Financial
Economics, with Hui Dong, Xudong Zeng, and Zhentao Zou, 2022, submitted.
6.
Optimal Life Cycle Decisions with Time-Inconsistent Preferences, with
Shumin Chen and Haixiang Yao, 2022, Revise&Resubmit at Journal of
Banking and Finance.
7. Intertemporal Capital Asset Pricing: A Continuous-Time Mean-Variance Approach, with Bangru Shi and Haixiang Yao, 2022.
Literature:
Darcy and Shelly, Latest version downloadable @:
https://anyshare.sufe.edu.cn:443/link/E469B2A5E9D9066CD2D7E8FB2DBF4A3
Financial Management, Risk Management, and Investment Management
1.
2016 2nd Prize for Outstanding Papers for Tail Risk, Robust Portfolio
choice, and Asset Prices”, China Finance Annual Meeting in Dalian, China
2. 2016 Outstanding Reviewer of 2016, by Emerald for China Finance Review International
3.
2014 GTA Best Paper Award for “Jump Propagation and Dynamic Derivative
Investment”, China Finance Review International Annual Conference by
Shanghai Jiaotong University, China
4. 2010 Ph.D. Student Travel Grant, American Finance Association Annual Conference in Atlanta, U.S.
5.
2009 Best Paper Award in Risk Management for “Model Specification, Data
History, and CDO (Mis)Pricing”, Financial Management Association Annual
Meeting in Reno, U.S.
6. 2009 University Travel Grant, the University of Hong Kong, Hong Kong
7. 2009 Travel Grant, International Symposium on Risk Management and Derivatives by Xiamen University, China
8.
2009 Travel Grant, 19th Annual Derivative Securities and Risk
Management Conference at Federal Deposit Insurance Corporation in
Washington, U.S.
1. 2019 Grant No. 71972123, National Natural Science Foundation of China, General Program (PI)
2. 2017 Research Startup Fund for Young Scholars, Shanghai University of Finance and Economics, Shanghai, China (PI)
3. 2015 Investments selected for the English Model Class Development Project for Foreign Students, Shanghai, China (PI)
4. 2013 Grant No. 71302075, National Natural Science Foundation of China, for Young Scholars (PI)
5. 2013 Shanghai Pujiang Program, Shanghai, China (PI)
6. 2013 Research Startup Fund for Young Scholars, Shanghai University of Finance and Economics, Shanghai, China (PI)