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Faculty > Professors > ZENG Pingping

ZENG Pingping

Tenure-Track Assistant Professor  

0755-88018701

  • Brief Biography
  • Research
  • Teaching
  • Published Works

Employment

Southern University of Science and Technology, Assistant Professor, June 2016 – Present

Hong Kong University of Science and Technology, Postdoctoral Research Fellow, November 2015 - June 2016

University of Vienna, Postdoctoral Research Fellow, September 2014 - October 2015

 

Research Interests

Financial mathematics (specialized in derivatives modeling and pricing theory, as well as applications of stochastic analysis and probability theory), optimal insurance, operation research.

 

Education

Hong Kong University of Science and Technology, 2010 – 2014, Ph.D., Financial Mathematics

University of Electronic Science and Technology of China, 2006 – 2010, B.S., Mathematics and Applied Mathematics

 

Honors & Awards

The 9th Epsilon Fund Award from the Department of Mathematics of HKUST, 2014.

Shenzhen Talent Peacock Plan (Tier C)


Publications

1.   Huang, Yao Tung, 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.

2.   Wendong Zheng, Pingping Zeng, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, Applied Mathematics Finance201623(5): 344-373

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

4.   Pingping Zeng, Yue-Kuen Kwok, 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)

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

6.   Yong Duan, Yuanming Zheng, 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