Professor of Mathematics
Mail: Department of Mathematics,
Imperial College, London
SW7 2BZ, UK
Tel: +44(0) 20 7594 8539
Control and optimization, mathematical finance.
Recent refereed journal papers:
- B. Bian, H. Zheng, Turnpike Property and Convergence Rate for an Investment and Consumption
Model, Mathematics and Financial Economics, forthcoming. (arXiv)
- Y.H. Dong, H. Zheng (2019), Optimal Investment of DC Pension Plan under Short-selling Constraints and Portfolio Insurance, Insurance, Mathematics and Economics 85, 47-59. (pdf)
- L. Jia, M. Pistorius, H. Zheng (2019), Dynamic Portfolio Optimization with Looping Contagion Risk, SIAM J Financial Mathematics 10, 1-36. (arXiv)
- Y. Li, H. Zheng (2018), Dynamic Convex Duality in Constrained Utility Maximization, Stochastics 90, 1145-1169.
- H.J. Jang, Y.H. Na, H. Zheng (2018), Contingent Convertible Bonds with the Default Risk Premium, International Review of Financial Analysis 59, 77-93. (ssrn)
- J.W. Gu, M. Steffensen, H. Zheng (2018), Optimal Dividend Strategies of Two Collaborating Businesses
in the Diffusion Approximation Model, Mathematics of Operations Research 43, 377-398.
- Y. Li, H. Zheng (2018), Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations, SIAM J Control Optimization 56, 1130-1153.
- W.K. Ching, J.W. Gu, X.Y. Li, T.K. Siu, H. Zheng (2017), On Infectious Model for Dependent Defaults, Risk and Decision Analysis 6, 249-261. (pdf)
- K.C. Wong, S.C.P. Yam, H. Zheng (2017), Utility-Deviation-Risk Portfolio Selection, SIAM J Control Optimization 55, 1819-1861. (pdf)
- J.T. Ma, W.Y. Li, H. Zheng (2017), Dual Control Monte-Carlo Method for Tight Bounds of Value Function in Regime Switching Utility Maximization, European J Operational Research 262, 851-862. (pdf)
- Y.T. Huang, Q.S. Song, H. Zheng (2017), Weak Convergence of Path-dependent SDEs in Basket CDS Pricing with Contagion Risk, SIAM J Financial Mathematics 8, 1-27. (pdf)
- J.W. Gu, B. Jiang, W.K. Ching, H. Zheng (2016), On Modeling Economic Default Time: A Reduced-Form Model Approach, Computational Economics 47, 157-177. (pdf)
- B. Bian, N. Wu, H. Zheng (2016), Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact, Discrete and Continuous Dynamical Systems (Series B) 21, 1401-1420. (pdf)
- J.T. Ma, D.Y. Deng and H. Zheng (2016), Convergence Analysis and Optimal Strike Choice for Static Hedges of General Path-independent Payoffs, Quantitative Finance 16, 593-603.
- C. Liu and H. Zheng (2016), Asymptotic Analysis for Target Asset Portfolio Allocation with Small Transaction Costs, Insurance: Mathematics and Economics 66, 59-68.
- N. Westray and H. Zheng (2015), Constrained Nonsmooth Utility Maximization on the Positive Real Line, Mathematical Control and Related Fields 5, 679-695.
- B. Bian, S. Hu, Q. Yuan, H. Zheng (2015), Constrained Viscosity Solution to the HJB Equation Arising in
Perpetual American Employee Stock Options Pricing, Discrete and Continuous Dynamical Systems (Series A) 35, 5413-5433. (pdf)
- X. Dong and H. Zheng (2015), Intensity Process for a Pure Jump Levy Structural Model with Incomplete Information, Stochastic Processes and Their Applications 125,
- Y. Li and H. Zheng (2015), Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models, Applied Mathematics and Optimization 71, 39-77. (arxiv)
- B. Bian and H. Zheng (2015), Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions, J Economic Dynamics and Control 51, 28-49.