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宋海明

发表于: 2017-11-30   点击: 


基本情况
姓名: 宋海明  
性别:
职称: 副教授
所在系别: 计算数学系
最高学历: 博士研究生
最高学位: 博士
Email:





详细情况
所在学科专业: 计算数学
所研究方向: PDE约束优化问题的数值解法,金融衍生产品定价的数值方法
讲授课程: 数学分析习题,现代数学方法与技巧,数学模型,计算方法,大数据分析
教育经历:

2011年09月-2014年06月 吉林大学数学学院博士

2009年09月-2011年06月 吉林大学数学学院硕士

2005年09月-2009年06月 吉林大学数学学院学士
工作经历:

2018年10月-至今  吉林大学数学学院副教授

2015年05月-2018年09月 吉林大学数学学院讲师

2014年11月-2015年08月 香港浸会大学数学系高级研究助理

2014年09月-2014年10月 香港浸会大学数学系王宽诚访问学者

2014年06月-2014年08月 中科院数学与系统科学研究院访问学者
科研项目:

1. 吉林省教育厅科学技术研究项目,随机优化和随机控制问题的数值方法研究,2021/01-2022/12, 在研,主持

2. 吉林省自然科学基金学科布局项目,深度学习在互补问题和最优控制问题中的应用研究,2020/01-2022/12, 在研,主持

3. 吉林省科技厅科技厅优秀青年人才基金项目,期权定价问题的数值方法研究,2019/01-2020/12, 结题,主持

4. 国家自然科学基金青年项目,求解带PDE约束最优控制问题的数值方法研究,2018/01-2020/12,结题,主持

5. 吉林省教育厅“十三五”科学技术项目,高性能计算机下美式期权定价问题,2018/01-2019/12, 结题,主持
学术论文:

[18] Song, Haiming; Xu, Jingbo; Yang, Jinda; Li, Yutian. Projection and contraction method for the valuation of American options under regime switching. Commun. Nonlinear Sci. Numer. Simul. 109 (2022), Paper No. 106332, 16 pp.

[17] Qian, Yiyuan; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets. Electron. Res. Arch. 30 (2022), no. 1, 90–115.

[16] Zhang, Qi; Song, Haiming; Hao, Yongle. Semi-implicit FEM for the valuation of American options under the Heston model. Comput. Appl. Math. 41 (2022), no. 2, Paper No. 73, 20 pp.

[15] Pang, Xiaowei; Song, Haiming; Wang, Xiaoshen; Zhang, Jiachuan. Efficient numerical methods for elliptic optimal control problems with random coefficient. Electron. Res. Arch. 28 (2020), no. 2, 1001–1022.

[14] Pang, Xiaowei; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation. Adv. Appl. Math. Mech. 12 (2020), no. 4, 902–919.

[13] Gao, Yu; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. Primal-dual active set method for pricing American better-of option on two assets. Commun. Nonlinear Sci. Numer. Simul. 80 (2020), 104976, 15 pp.

[12] Zhang, Qi; Song, Haiming; Yang, Chengbo; Wu, Fangfang. An efficient numerical method for the valuation of American multi-asset options. Comput. Appl. Math. 39 (2020), no. 3, Paper No. 240, 12 pp.

[11] Yang, Jinda; Zhang, Kai; Song, Haiming; Cheng, Ting. An alternating direction method of multipliers for optimal control problems constrained with elliptic equations. Adv. Appl. Math. Mech. 12 (2020), no. 2, 336–361.

[10] Hao, Yongle; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. An alternating direction method of multipliers for the optimization problem constrained with a stationary Maxwell system. Commun. Comput. Phys. 24 (2018), no. 5, 1435–1454. [10] Song, Haiming; Wang, Xiaoshen; Zhang, Kai; Zhang, Qi. Primal-dual active set method for American lookback put option pricing. East Asian J. Appl. Math. 7 (2017), no. 3, 603–614.

[9] Song, Haiming; Zhang, Kai; Li, Yutian. Finite element and discontinuous Galerkin methods with perfect matched layers for American options. Numer. Math. Theory Methods Appl. 10 (2017), no. 4, 829–851.

[8] Song, Haiming; Zhang, Qi; Li, Jingzhi; Liu, Hongyu. Finite element method for valuation of American lookback options. Math. Numer. Sin. 38 (2016), no. 3, 245–256.

[7] Song, Haiming; Zhang, Ran. Projection and contraction method for the valuation of American options. East Asian J. Appl. Math. 5 (2015), no. 1, 48–60.

[6] Zhang, Ran; Zhang, Qi; Song, Haiming. An efficient finite element method for pricing American multi-asset put options. Commun. Nonlinear Sci. Numer. Simul. 29 (2015), no. 1-3, 25–36.

[5] Song, Haiming; Zhang, Qi; Zhang, Ran. A fast numerical method for the valuation of American lookback put options. Commun. Nonlinear Sci. Numer. Simul. 27 (2015), no. 1-3, 302–313.

[4] Zhang, Kai; Song, Haiming; Li, Jingzhi. Front-fixing FEMs for the pricing of American options based on a PML technique. Appl. Anal. 94 (2015), no. 5, 903–931.

[3] Song, Haiming; Zhang, Ran; Tian, WenYi. Spectral method for the Black-Scholes model of American options valuation. J. Math. Study 47 (2014), no. 1, 47–64.

[2] Zhang, Ran; Song, Haiming; Luan, Nana. Weak Galerkin finite element method for valuation of American options. Front. Math. China 9 (2014), no. 2, 455–476.

[1] Zhang, Kai; Li, Jie; Song, Haiming. Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays. Appl. Math. Comput. 218 (2012), no. 22, 10848–10860.


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