工作經歷
2023.6-至今 南方科技大學 數學系 副教授
2016.6 - 2023.5 南方科技大學 數學系 助理教授
2015.11-2016.06 香港科技大學 工業工程與物流管理系 博士后
2014.9-2015.10 維也納大學 數學系 博士后
2014.7-2014.8 滑鐵盧大學 統計與精算系 訪問
教育背景
2010.9-2014.6 香港科技大學 金融數學專業博士學位
2006.9-2010.6 電子科技大學 數學與應用數學學士學位
獲獎情況
2014.05 榮獲香港科技大學數學系頒發的9th Epsilon Fund Award
2019 南方科技大學第三屆教學競賽二等獎
2019 南方科技大學優秀黨員
發表論文(*通訊作者)
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 Scienti?c 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.
科研項目
1. 基于蒙特卡羅的新融合方法及其在衍生品定價、保險和風險管理領域中的應用 2022 - 2025
國家自然科學基金委員會，面上項目，50萬元
2. 希爾伯特變換方法定價金融衍生品 2018 - 2020
國家自然科學基金委員會，青年科學基金項目，24萬元
招聘公告
南方科技大學曾萍萍課題組招收博士后/博士生/科研助理，要求勤奮踏實、善于溝通、熱愛科研，立志從事前沿科學研究。歡迎對金融數學或計算金融等相關研究方向感興趣的即將畢業的優秀博士加入課題組以及優秀學生進行推免碩士/直博或報考申請考核。同時也歡迎優秀在讀博士到課題組訪問交流。有意者請將相關材料發送至[email protected], 更多相關信息請見南方科技大學研究生院官網：http://gs.sustech.edu.cn.
