Employment

Southern University of Science and Technology, Associate Professsor, June 2023 – present

Southern University of Science and Technology, Assistant Professor, June 2016 – May 2023

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

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

University of Waterloo, Visiting Scholar, July 2014 - August 2014

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)

Model Communist Party member of Sustech,2019.

Second Prize of the Third Teaching Competition in Sustech,2019

Publications(*Corresponding Author)

1.  Chen, W.H., Mamon, R., Xiong, H.*, and Zeng, P., Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. To appear in North American Journal of Economics and Finance, 2024.

2.  Li, L., Zeng, P., and Zhang, G.*, Speed and duration of drawdown under general Markov models. Quantitative Finance, 2024, 24(3-4): 367-386.

3.  Zhang, W.N., Zeng, P.*, Zhang, G.*, and Kwok, Y.K., Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. Journal of Scientific Computing, 2024, 98:47.

4.  Yong, Y., Zeng, P., and Zhang, Y.*, Credibility theory for variance premium principle. North American Actuarial Journal, 2024, 29(1).

5.  Zhang, W.N., Zeng, P.*, and Kwok, Y.K., 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.

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

7.  Zeng, P., Xu, Z.Q., Jiang, P.*, and Kwok, Y.K., 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)

8.  Wang, X., Yang, Z.*, and Zeng, P., Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023, 19: 660-693. 

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

10.  Chen, W.H., Mamon, R., Xiong, H.*, and Zeng, P., 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.

11.  Huang, Y.T., Zeng, P.*, and Kwok, Y.K., Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.

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

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

14.  Zeng, P., Kwok, Y.K.*, and Zheng, W., Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(7): 1550046.

15.  Zeng, P. and Kwok, Y.K.*, 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.

16.  Duan, Y.*, Zheng Y.M., and Zeng, P., 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.

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 postdoctoral/doctoral/research assistant, and requires diligence, sureness, good communication, love of research, and determination to engage in cutting-edge scientific research. Welcome the outstanding doctoral candidates who are interested in financial mathematics or computational finance and other related research fields to join the research group, and the outstanding students to apply for the assessment of promoting the direct doctoral degree or applying for the examination. At the same time, excellent doctoral students are also welcomed to visit the research group. Interested students please send relevant materials to zengpp@sustech.edu.cn. For more information, please refer to the official website of the Graduate School of Southern University of Science and Technology: http://gs.sustech.edu.cn.