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, 2020, Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model, European Journal of Operational Research, Vol:280, ISSN:0377-2217, Pages:428-440

Ching W, Gu J, Zheng H, On correlated defaults and incomplete information, Journal of Industrial and Management Optimization, ISSN:1547-5816

Dong Y, Zheng H, Optimal investment with S-shaped utility and trading and value at risk constraints: An application to defined contribution pension plan, 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

More Publications