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
Financial mathematics (specialized in derivatives modeling and pricing theory, as well as applications of stochastic analysis and probability theory), optimal insurance, operation research.
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)
Model Communist Party member of Sustech,2019.
Second Prize of the Third Teaching Competition in Sustech,2019
1. 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.
2. Wendong Zheng and Pingping Zeng*, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematics Finance, 2016, 23(5): 344-373.
3. 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.
4. 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.
5. 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.
6. 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.
Submitted for Publication
Pingping Zeng, Ziqing Xu, Pingping Jiang*, and Yue-Kuen Kwok, Analytical solvability and exact simulation of stochastic volatility models with Lévy jumps. 2021.
Grants as PI
1. New methods based on Monte Carlo and their applications in pricing financial derivatives, 2022 - 2025
insurance and risk management
National Natural Science Foundation of China, General Program Project, 500,000
2. The Hilbert transform method for pricing financial derivatives 2018 - 2020
National Natural Science Foundation of China, Youth Science Foundation Project, 240,000
Zeng Pingping's research group is looking for 1-2 postdoctoral researchers. They are required to graduate with a doctor's degree and engage in research related to financial mathematics or computational finance. Interested parties please send your resume to email: email@example.com
Financial Risk Management
Models and Pricing of Financial Derivatives