人员 > 科研教学系列 > 曾萍萍

曾萍萍

副教授  

0755-88018701 http://faculty.sustech.edu.cn/zengpp/

  • 简历
  • 科研
  • 教学
  • 发表论著

工作经


2023.6-至今            南方科技大学 数学系 副教授

2016.6 - 2023.5      南方科技大学 数学系 助理教授

2014.9-2015.10      维也纳大学 数学系 博士后

2014.9-2015.10      维也纳大学       数学系  博士后

2014.7-2014.8        滑铁卢大学      统计与精算系 访问学者


教育背景


2010.9-2014.6        香港科技大学   金融数学专业博士学位

2006.9-2010.6        电子科技大大学 数学与应用数学学士学位


获奖情况


2014.05                 荣获香港科技大学数学系颁发的9th Epsilon Fund Award

2019                      南方科技大学第三届教学竞赛二等奖

2019.07                 南方科技大学优秀党员


发表论文(*通讯作者)


1. Weinan Zhang, Pingping Zeng*, Gongqiu Zhang*, and Yue-Kuen Kwok, Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. Journal of Scientific Computing, 2024.


2. Yaodi Yong, Pingping Zeng, and Yiying Zhang*, Credibility theory for variance premium principle. North American Actuarial  Journal, 2024.


3. Weinan Zhang, Pingping Zeng*, and Yue-Kuen Kwok, Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Operations Research Letters, 2023, 51(6): 687-694.


4. Weinan Zhang and Pingping Zeng*, A transform-based method for pricing Asian options under general two-dimensional models. Quantitative Finance, 2023,23(11): 1677–1697. (SSRN Top Ten List)


5. Pingping Zeng, Ziqing Xu, Pingping Jiang*, and Yue-Kuen Kwok, Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. Mathematical Finance, 2023, 33(3): 842-890. (SSRN Top Ten List)


6. Xiaolin Wang, Zhaojun Yang*, and Pingping Zeng, Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023. 


7. Pingping Zeng and Chao Shi*, Computable error bounds of multidimensional Euler inversion and their financial applications. Operations Research Letters, 2022, 50(6): 726-731.


8. Weihua Chen, Rogemar Mamon, Heng Xiong*, and Pingping Zeng, How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 2022, 1-24.


9. Yao Tung Huang, Pingping Zeng*, and Yue-Kuen Kwok, Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.


10. Wendong Zheng and Pingping Zeng*, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance, 2017, 23(5): 344-373.


11. Pingping Zeng and Yue-Kuen Kwok*, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance, 2016, 16(9): 1375-1391.


12. Pingping Zeng, Yue-Kuen Kwok*, and Wendong Zheng, Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(7): 1550046.


13. Pingping Zeng and Yue-Kuen Kwok*, Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach. SIAM Journal on Scientific Computing, 2014, 36(3): B450-B485.


14. Yong Duan*, Yuanming Zheng, and Pingping Zeng, Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations. Engineering Analysis with Boundary Elements, 2012, 36(3): 303-309.



科研项目


1.   基于蒙特卡罗的新融合方法及其在衍生品定价、保险和风险管理领域中的应用                                    2022 - 2025
             国家自然科学基金委员会,面上项目,50万元


2.   希尔伯特变换方法定价金融衍生品                                                                                                        2018 - 2020
             国家自然科学基金委员会,青年科学基金项目,24万元


招聘公告


南方科技大学曾萍萍课题组招收博士后/博士生/科研助理,要求勤奋踏实、善于沟通、热爱科研,立志从事前沿科学研究。欢迎对金融数学或计算金融等相关研究方向感兴趣的即将毕业的优秀博士加入课题组以及优秀学生进行推免硕士/直博或报考申请考核。同时也欢迎优秀在读博士到课题组访问交流。有意者请将相关材料发送至zengpp@sustech.edu.cn, 更多相关信息请见南方科技大学研究生院官网:http://gs.sustech.edu.cn.

曾萍萍现任南方科技大学副教授,主要研究领域为金融数学和计算金融。主持国家自然科学基金青年项目和面上项目;在Mathematical Finance、SIAM Journal on Scientific Computing、SIAM Journal on Financial Mathematics、Quantitative Finance等国际权威期刊上发表论文十余篇。担任Mathematical Finance, Operations Research, INFORMS Journal on Computing, Journal of Economic Dynamics and Control, Insurance Mathematics and Economics等期刊审稿人。

金融风险管理 

衍生证券模型与定价 



1.   Weinan Zhang, Pingping Zeng*, and Yue-Kuen Kwok, Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Operations Research Letters, 2023.


2.   Weinan Zhang and Pingping Zeng*, A transform-based method for pricing Asian options under general two-dimensional models. Quantitative Finance, 2023,23(11), 1677–1697. (SSRN Top Ten List)


3.   Pingping Zeng, Ziqing Xu, Pingping Jiang*, and Yue-Kuen Kwok, Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. Mathematical Finance, 2023, 33(3), 842-890. (SSRN Top Ten List)


4.   Xiaolin Wang, Zhaojun Yang*, and Pingping Zeng, Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023. 


5.   Pingping Zeng and Chao Shi*, Computable error bounds of multidimensional Euler inversion and their financial applications. Operations Research Letters, 2022, 50(6): 726-731.


6.   Weihua Chen, Rogemar Mamon, Heng Xiong*, and Pingping Zeng, How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 2022, 1-24.


7.   Yao Tung Huang, Pingping Zeng*, and Yue-Kuen Kwok, Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.


8.   Wendong Zheng and Pingping Zeng*, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance, 2017, 23(5): 344-373.


9.   Pingping Zeng and Yue-Kuen Kwok*, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance, 2016, 16(9): 1375-1391.


10.   Pingping Zeng, Yue-Kuen Kwok*, and Wendong Zheng, Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(7): 1550046.


11.  Pingping Zeng and Yue-Kuen Kwok*, Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach. SIAM Journal on Scientific Computing, 2014, 36(3): B450-B485.


12.  Yong Duan*, Yuanming Zheng, and Pingping Zeng, Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations. Engineering Analysis with Boundary Elements, 2012, 36(3): 303-309.