Faculty

Yun FENG

  • Department of:Finance
  • Phone:+86 (0)21 52301390
  • Title:Professor
  • Email:fengyun@sjtu.edu.cn
Biography
  • Educational Background
      1998-2001, PhD, Major in Financial Engineering, Shanghai Jiao Tong University
      1995-1998, M.S., Major in System Engineering, Huangzhong University of Science & Technology
      1991-1995, B.S., Major in Automatic Control, Huangzhong University of Science & Technology

    Academic Position Held
      2009-Present, Professor in Finance, Shanghai Jiao Tong University
      2002-2008, Associate Professor in Fiance, Shanghai Jiao Tong University
      2001-2002, Lecturer in Finance, Shanghai Jiao Tong University

    Visiting Positions & Scholarship
      2008.9-2008.12, Senior Visiting Scholar, Sloan School of Management, Massachusetts Institution Technology
      2005.8-2006.9, Senior Visiting Scholar, Finance Department, Wharton Business School, University of Pennsylvania

    Other Professornal Service
      Director of Shanghai Financial Engineering Association (SFEA)
      Member of Financial Engineering Committee, China Finance Association
      Lifetime Member of the Western Finance Association (WFA)
      Vice Director of Financial Engineering Research Center
      Referee, National Natural Science Fund
      Referee, Journal of Management Sciences in China, Theories and Practice of System Engineering, Systems Engineering: Theory, Methodology & Applications

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Research
  • Research Area
    (1) Application of Financial Derivatives and the Value / Risk of Corporates 

    (2) Exchange Rate Risk Mangement and Exchange Rate Derivatives

    (3) Financial Innovation, Financial Markets Quality and Financial Regulation

    Project in Progress

    • Project Leader, Theoretical and Empirical Studies on the Term Structure of Exchange Rates, Sponsored by National Natural Science Fund, No. 70771066, 2008.1 -2010.12

    • Project Leader, The Term Structure of Exchange Rate Volatilities with the Adjustment of Interest Rates, Sponsored by Shanghai Education Committee, Shanghai Educational Development Foundation, No. 07SG17, 2008.1 -2010.12


    Projects Finished

    • Project Leader, Research on Measure Theories and Applications of Economic Globalization, Sponsored by National Social Science Fund, No. 02CJL010, 2002.7 - 2003.6

    • Project Leader, The Identification and Regulation of Money Laundering, Sponsored by National Natural Science Fund, No. 70403012, 2005.1 -2007.12

    • Project Leader, The Identification Methods for Money Laundering Based on Abnormal Money Flowing, sponsored by Shanghai Education Committee, 2005.1 - 2007.6


    Projects as collaborator

    • Complexity in Finance  Financial Engineering. Sponsored by National Science Fund for Distinguished Young Scholars, 2001-2004

    • Measurements and Modeling of Financial Risk. Sponsored by National Science Fund (Key Program) 2003-2007

    • Analysis, Modeling and Solutions of Abnormal Money Flowing through Financial Networks. Sponsored by Shanghai Sciences  Technology Committee (Key Program). 2004-2006

    • Systematic Research on the Volatility and Crises of Financial Markets and Their Propagation, Feedback and Co-movement. Sponsored by National Natural Science Foundation of China,2000-2002

    • Study on Price Behavior of Financial System, Sponsored by Fund for Distinguished Trans-Century-talents in Ministry of Education, 2000-2002

    • The Tenth Five-Year Plan of Shanghai Economy  Society Informationalization. Sponsored by Shanghai Government, 1999-2000

    • Risk Management System of Shanghai Futures Exchange, Consulting Program, Shanghai Futures Exchange, 2006

    • Study on Liquidity of Shenzhen Stock Market, Sponsored by Shenzhen Stock Exchange, 2002

    • Analysis on Effectiveness of Hedging and Arbitrage in China Copper Futures Market. Sponsored by Shanghai Futures Exchange, 2002

     

    Books
      Research on Financial Volatility and Transmission. Shanghai Finance and Economics University Press, Shanghai, China, 2003 (With WU Chongfeng)
      Identification and Supervision on Money-Laundering. Shanghai Jiao Tong University Press, Shanghai, China, 2008 (With YANG Dongmei, WU Chongfeng)
      Measurement of Economic Globalization: Theory and Application. Shanghai Jiao Tong University Press, Shanghai, China, 2008 (With WU Chongfeng)
      Financial Engineering. Higher Education Press, 2005 (With WU Chongfeng, LIU Hailong, WU Wenfeng)

    Selected Publications
      Is Chinas Economic Growth Extraordinary or Mediocre? ─ The Role of Exchange Rate. China and World Economy, forthcoming, SSCI Journal.(With WU Chongfeng)
      From Volatility to Crisis: The Research on Currency Crises. World Economy, Vol. 23, Issue 1, Jan. 2000: 30-34 (With WU Chongfeng)
      With WU Chongfeng. A Research on Currency Crisis: Global Perspective Analysis. World Economy Vol. 23, Issue 7, Jul. 2000: 22-26 (With WU Chongfeng)
      With WU Chongfeng. A New Measurement Method for Exchange Rate Volatility: Volatility Proportion Method. World Economy, Vol. 24, Issue 8, Aug. 2001: 38-43 (With WU Chongfeng)
      The Contagion Test Based on the Causality and Co-movement. World Economy, Vol. 25, Issue 2, Feb. 2002: 34-42 (With WU Chongfeng)
      The System Thinking for the Global Financial Volatility and Contagion. Journal of Management Sciences in China, Issue 1, 1999: 7-15 (With WU Chongfeng)
      The Research on the Current Deflationalism Based on the Global Economic Integration. Journal of Management Sciences in China, Issue 1, 2000: 15-22 (With WU Chongfeng, SONG Jun)
      Exchange Rate Dynamic Models for the Transitional Phase. Journal of Systems Engineering, Vol. 18, Issue 6, 2003: 571-574
      Research on Currency Crisis Early Warning Systems. Systems Engineering: Theory, Methodology  Applications, Vol. 11, Issue 3, 2002: 8-11 (With WU Chongfeng)
      An Analysis of Chinas Economic Growth from A Global Perspective. China Soft Science, Issue 7, 2004: 65-71 (With WU Chongfeng)
      Policies and Factors Affecting Liquidity of Chinas A Stock Market. Journal of Shanghai Jiao Tong University (Natural Science), Vol. 38, Issue 3, 2004: 362-367 (With XU Rui, WU Chongfeng)

    Professional Awards
    Excellent Research Award of Shanghai Philosophy  Social Science (2000-2001)
    The Best Paper in the Seventh Annual Conference of Asia Pacific Finance Association, 2000
    Excellent Paper in the Sixth National Conference for Youth Scholars on Management Science  System Science, 2001
    The Best Paper in the Seventh Annual Conference of Asia Pacific Finance Association, 2000
    Award of Excellent Advice of Youth Scholars in Shanghai Science  Technology Forum, 2000
    Excellent Research Award of Shanghai Government Decision Consulting, 2001

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Teaching
  • Undergraduate Courses: Econometrics, Fincial Econometrics
    CLGO Course: Finance Theory


     


     

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