Imperial College London

ProfessorHarryZheng

Faculty of Natural SciencesDepartment of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Summary

Dr Zheng's research is stochastic control and optimization and financial mathematics.

Dr Zheng's personal web page can be found at http://www.ma.ic.ac.uk/~hz

Publications

Journals

Ching W, Gu J, Zheng H, 2021, On correlated defaults and incomplete information, Journal of Industrial and Management Optimization, Vol:17, ISSN:1547-5816, Pages:889-908

Gu J-W, Steffensen M, Zheng H, 2021, A note on P- vs. Q-expected loss portfolio constraints, Quantitative Finance, Vol:21, ISSN:1469-7688, Pages:263-270

Luo J, Zheng H, 2020, Dynamic equilibrium of market making with price competition, Dynamic Games and Applications, ISSN:2153-0785

Jang HJ, Jia L, Zheng H, 2020, Why should we invest in CoCos than stocks? An optimal growth portfolio approach, The European Journal of Finance, Vol:26, ISSN:1351-847X, Pages:1606-1622

Zheng H, gu J, Si S, 2020, Constrained utility deviation-risk optimization and time-consistent HJB equation, Siam Journal on Control and Optimization, Vol:58, ISSN:0363-0129, Pages:866-894

More Publications