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:
- Y.H. Dong, H. Zheng, Optimal Investment with S-shaped Utility and Trading and Value at Risk Constraints: an Application to Defined Contribution Pension Plan, European J Operational Research, forthcoming.
- J.T. Ma, W.Y. Li, H. Zheng, Dual Control Monte Carlo Method for Tight Bounds of Value Function under Heston Stochastic Volatility Model, European J Operational Research, forthcoming.
- J.T. Ma, J. Xing, H. Zheng (2019), Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems, SIAM J Control Optimization 57, 2092-2121.
- B. Bian, H. Zheng (2019), Turnpike Property and Convergence Rate for an Investment and Consumption
Model, Mathematics and Financial Economics 13, 227-251. (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.