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SUN Lihua
SUN Lihua

Associate Professor

Department: Department of Economics and Finance

+86-21-65982274

 sunlihua@tongji.edu.cn

 

·  2010: Ph.D., Hong Kong University of Science and Technology

·  2006: Bachelor, Peking University

Teaching Positions

  • Nov. 2014-Now: Associate Professor, School of Economics and Management, Tongji University
  • Dec. 2010-Nov. 2014: Lecturer, School of Economics and Management, Tongji University

International Experience

  • 6 Nov. 2014-18 Nov. 2014: American Operational Research and Management Annual Meeting, U.S.A
  • 2 Oct. 2014-14 Oct. 2014: Visiting Alto University, Finland
  • Aug. 2013: East Asian Simulation Workshop, Hong Kong
  • Nov. 2010-Feb. 2011: Visiting Professor, Hong Kong University of Science and Technology
  • Dec. 2009-Feb. 2011: Winter Simulation Conference in U.S.A.
  • Sept. 2006-Sept. 2010: Ph.D., Hong Kong University of Science and Technology

RESEARCH FIELD

  • Monte Carlo Simulation
  • Financial Engineering
  • Risk Management

TEACHING INTERESTS

  • Monte Carlo Simulation
  • Financial Engineering
  • Risk Management

Sponsored Research Projects

  • High Dimension American Option Pricing by Variance Reduction Method, sponsored by Shanghai Municipal Human Resources and Social Society Bureau, 2012
  • Monte Carlo Estimation of Value-at-risk and Conditional Value-at-risk by Variance Reduction Method for Portfolio with Variable Covariance Matrix, sponsored by National Natural Science Foundation, 2011

Selected Publications

  • Lihua Sun, L. Jeff Hong, Zhaolin Hu, Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process- Based Search, Operations Research, 2014, Vol.62 No.6: 1416-1438
  • N. Cai, L. Sun, Valuation of Stock Loans with Jump Risk, Journal of Economic Dynamics and Control, 2014, 40(3): 213-214
  • Guiyun Feng, Guangwu Liu, Lihua Sun, A Nonparametric Method for Pricing and Hedging American Options, Proceedings of the 2013 Winter Simulation Conference, 2013
  • Sun, L. and L. J. Hong, Asymptotic Representations for Importance-sampling Estimators of Value-at-Risk and Conditional Value-at-Risk, Operations Research Letters, 38, 246-251
  • Sun, L., L. J. Hong and Z. Hu, Optimization via Simulation using Gaussian Process-based search, Proceedings of the 2011 Winter Simulation Conference, 4134-4145

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