師資
工作經(jīng)歷
2023.6-至今 南方科技大學(xué) 數(shù)學(xué)系 副教授
2016.6 - 2023.5 南方科技大學(xué) 數(shù)學(xué)系 助理教授
2015.11-2016.06 香港科技大學(xué) 工業(yè)工程與物流管理系 博士后
2014.9-2015.10 維也納大學(xué) 數(shù)學(xué)系 博士后
2014.7-2014.8 滑鐵盧大學(xué) 統(tǒng)計(jì)與精算系 訪問
教育背景
2010.9-2014.6 香港科技大學(xué) 金融數(shù)學(xué)專業(yè)博士學(xué)位
2006.9-2010.6 電子科技大學(xué) 數(shù)學(xué)與應(yīng)用數(shù)學(xué)學(xué)士學(xué)位
獲獎(jiǎng)情況
2014.05 榮獲香港科技大學(xué)數(shù)學(xué)系頒發(fā)的9th Epsilon Fund Award
2019 南方科技大學(xué)第三屆教學(xué)競賽二等獎(jiǎng)
2019 南方科技大學(xué)優(yōu)秀黨員
發(fā)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(xiàng)目
1. 基于蒙特卡羅的新融合方法及其在衍生品定價(jià)、保險(xiǎn)和風(fēng)險(xiǎn)管理領(lǐng)域中的應(yīng)用 2022 - 2025
國家自然科學(xué)基金委員會(huì)，面上項(xiàng)目，50萬元
2. 希爾伯特變換方法定價(jià)金融衍生品 2018 - 2020
國家自然科學(xué)基金委員會(huì)，青年科學(xué)基金項(xiàng)目，24萬元
招聘公告
南方科技大學(xué)曾萍萍課題組招收博士后/博士生/科研助理，要求勤奮踏實(shí)、善于溝通、熱愛科研，立志從事前沿科學(xué)研究。歡迎對金融數(shù)學(xué)或計(jì)算金融等相關(guān)研究方向感興趣的即將畢業(yè)的優(yōu)秀博士加入課題組以及優(yōu)秀學(xué)生進(jìn)行推免碩士/直博或報(bào)考申請考核。同時(shí)也歡迎優(yōu)秀在讀博士到課題組訪問交流。有意者請將相關(guān)材料發(fā)送至[email protected], 更多相關(guān)信息請見南方科技大學(xué)研究生院官網(wǎng)：http://gs.sustech.edu.cn.