Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Professor of Mathematics



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




6M16Huxley BuildingSouth Kensington Campus





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

Dr Zheng's personal web page can be found at



Ma J, Li W, Zheng H, 2019, Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model, European Journal of Operational Research, ISSN:0377-2217

ma J, Xing J, Zheng H, Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems, Siam Journal on Control and Optimization, ISSN:0363-0129

Dong Y, Zheng H, 2019, Optimal investment of DC pension plan under short-selling constraints and portfolio insurance, Insurance: Mathematics and Economics, Vol:85, ISSN:0167-6687, Pages:47-59

Jia L, Pistorius M, Zheng H, Dynamic portfolio optimization with looping contagion risk, Siam Journal on Financial Mathematics, ISSN:1945-497X

Jang HJ, Na YH, Zheng H, 2018, Contingent convertible bonds with the default risk premium, International Review of Financial Analysis, Vol:59, ISSN:1057-5219, Pages:77-93

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