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

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

More Publications