Academic Employment

• 2021/01-now

Zhejiang University of Technology, Special-term Professor

• 2018/06-2021/01

University of Wollongong, Lecturer (tenured)

• 2017/01-2018/06

University of Wollongong, Associate Lecturer (tenure track)

Education

• 2014/07-2017/01

PhD in Financial Mathematics, University of Wollongong

• 2010/09-2014/06

BSc in Applied Mathematics, Donghua University (China)

Publications

1. P. Pasricha, S.-P. Zhu and X.-J. He*, A closed-form pricing formula for European options with market liquidity risk, Expert Systems with Applications, in press, 2021.

2. M. Alfeus*, X.-J. He and S.-P. Zhu, Regularization effect on model calibration, Journal of Risk, in press, 2021.

3. X.-J. He and S. Lin*, An analytical approximation formula for barrier option prices under the Heston model, Computational Economics, online, 2021.

4. B.-Z. Yang and X.-J. He* and S.-P. Zhu, Continuous time mean-variance-utility portfolio problem and its equilibrium strategy, Optimization, online, 2021.

5. S. Lin and X.-J. He*, Analytically pricing European options under a new two-factor Heston model with regime switching, Computational Economics, online, 2021.

6. X.-J. He and W.-T. Chen*, Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching, IMA Journal of Management Mathematics, online, 2021.

7. X.-J. He and S. Lin*, An Analytical Approximation Formula for the Pricing of Credit Default Swaps with Regime Switching, ANZIAM Journal, 63: 143-162, 2021.

8. X.-J. He and S. Lin*, A fractional Black-Scholes model with stochastic volatility and European option pricing, Expert Systems with Applications, 178: 114983, 2021.

9. S. Lin and X.-J. He*, A new integral equation approach for pricing American-style barrier options with rebates, Journal of Computational and Applied Mathematics, 383: 113107, 2021.

10. S. Lin and X.-J. He*, A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model, Chaos, Solitons & Fractals, 144: 110644, 2021.

11. X.-J. He and W.T. Chen*, A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean, Mathematics and Financial Economics, 15: 381-396, 2021.

12. X.-J. He and W.-T. Chen*, A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching, International Journal of Finance and Economics, 26: 343-352, 2021.

13. X.-J. He and S.-P. Zhu*, A new algorithm for calibrating local regime-switching models, IMA Journal of Management Mathematics, 32(2): 237-255, 2021.

14. B.-Z. Yang, X.-J. He and N.-J. Huang*, Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory, Applied Mathematics and Optimization, online, 2020.

15. W.-T. Chen, X.-J. He and S. Lin*, Pricing credit default swaps with Parisian and Parasian default mechanics, Communications in Statistics -Simulation and Modelling, online, 2019.

16. X.-J. He and S.-P. Zhu*, A revised option pricing formula with the underlying being banned from short sell, Quantitative Finance, 20(6): 935-948, 2020.

17. S. Lin and X.-J. He*, Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching, Physica A: Statistical Mechanics and Its Applications, 537: 122714, 2020.

18. S. Lin and X.-J. He*, A regime switching fractional Black-Scholes model and European option pricing, Communications in Nonlinear Science and Numerical Simulation, 85: 105222, 2020.

19. X.-J. He and S. Lin*, A semi-analytical pricing formula for European options under the rough Heston-CIR model, ANZIAM Journal, 61: 431-445, 2019.

20. X.-J. He and S.-P. Zhu*, Analytical approximation formula for barrier option prices under the regime-switching model, Journal of Derivatives, 27(2): 108-119, 2019.

21. X.-J. He* and S.-P. Zhu, An alternative form to calibrate the correlated Stein-Stein option pricing model, Computational and Applied Mathematics, 38: 68, 2019.

22. X.-J. He and W.-T. Chen*, An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model, Applications of Mathematics, 64(3): 367-382, 2019.

23. X.-J. He and S.-P. Zhu*, Variance and volatility swaps under a two-factor stochastic volatility model with regime switching, International Journal of Theoretical and Applied Finance, 22(4): 1-19, 2019.

24. W.-T. Chen, X.-J. He* and X. Qiu, Analytically pricing credit default swaps under a regime-switching model, Fluctuation and Noise Letters, 18(3): 1950021, 2019.

25. X.-J. He* and S.-P. Zhu, A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate, Computers & Mathematics with Applications, 76(9): 2223-2234, 2018.

26. X.-J. He and W.-T. Chen*, A Monte-Carlo based approach for pricing credit default swaps with regime switching, Computers & Mathematics with Applications, 76(7): 1758-1766, 2018.

27. S.-P. Zhu and X.-J. He*, A hybrid computational approach for option pricing, International Journal of Financial Engineering, 5(3), 1850021, 2018.

28. H. Fu, W.-T. Chen and X.-J. He*, On a class of estimation and test for long memory, Physica A: Statistical Mechanics and its Applications, 509: 906-920, 2018.

29. S.-P. Zhu* and X.-J. He, A new closed-form formula for pricing European options under a skew Brownian motion, European Journal of Finance, 24(12): 1063-1074, 2018.

30. X.-J. He and S.-P. Zhu*, On full calibration of hybrid local volatility and regime-switching models, Journal of Futures Markets, 38(5): 586-606, 2018.

31. S.-P. Zhu* and X.-J. He, An accurate approximation formula for pricing European options with discrete dividend payments, IMA Journal of Management Mathematics, 29(2): 175-188, 2018.

32. S.-P. Zhu and X.-J. He*, A modified Black-Scholes pricing formula for European options with bounded underlying prices, Computers & Mathematics with Applications, 75: 1635-1647, 2018.

33. X.-J. He*and S.-P. Zhu, A closed-form pricing formula for European options under the Heston model with stochastic interest rate, Journal of Computational and Applied Mathematics, 335: 323-333, 2018.

34. S.-P. Zhu*, X.-J. He and X. Lu, A new integral equation formulation for American put options, Quantitative Finance, 18(3): 483-490, 2018.

35. X.-J. He and S.-P. Zhu*, How should a local regime-switching model be calibrated?, Journal of Economic Dynamics and Control, 78: 149-163, 2017.

36. W.-T. Chen and X.-J. He*, Pricing credit default swaps under a multi-scale stochastic volatility model, Physica A: Statistical Mechanics and Its Applications, 468(15): 425-433, 2017.

37. X.-J. He and S.-P. Zhu*, An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching, Journal of Economic Dynamics and Control, 71: 77-85, 2016.

38. X.-J. He and S.-P. Zhu*, An alternative form used to calibrate the Heston option pricing model, Computers & Mathematics with Applications, 71: 1831-1842, 2016.

39. X.-J. He and S.-P. Zhu*, Pricing European options with stochastic volatility under the minimal entropy martingale measure, European Journal of Applied Mathematics, 27(2): 233-247, 2016.

40. X.-J. He and W.-T. Chen*, The pricing of credit default swaps under a generalized mixed fractional Brownian motion, Physica A: Statistical Mechanics and Its Applications, 404(15): 26-33, 2014.