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曾萍萍
副教授
数学系
曾萍萍现任南方科技大学副教授，主要研究领域为金融数学和计算金融。主持国家自然科学基金青年项目和面上项目；在Mathematical Finance、SIAM Journal on Scientific Computing、SIAM Journal on Financial Mathematics、Quantitative Finance等国际权威期刊上发表论文十余篇。担任Mathematical Finance, Operations Research, INFORMS Journal on Computing, Journal of Economic Dynamics and Control, Insurance Mathematics and Economics等期刊审稿人。
个人简介
曾萍萍副教授，2010年毕业于电子科技大学，获学士学位；2014年毕业于香港科技大学，获博士学位；2014年至2016年，先后在维也纳大学和香港科技大学做博士后研究。主要研究领域有金融数学和计算金融。
个人简介
研究领域
金融数学，计算金融
教学
主讲课程：衍生证券模型与定价、金融风险管理
学术成果 查看更多
发表论文(*通讯作者)
1. Lingfei Li, Pingping Zeng, and Gongqiu Zhang*, Speed and duration of drawdown under general Markov models. Quantitative Finance, 2024.
2. Weinan Zhang, Pingping Zeng*, Gongqiu Zhang*, and Yue-Kuen Kwok, Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. Journal of Scientific Computing, 2024, 98:47.
3. Yaodi Yong, Pingping Zeng, and Yiying Zhang*, Credibility theory for variance premium principle. North American Actuarial Journal, 2024.
4. Weinan Zhang, Pingping Zeng*, and Yue-Kuen Kwok, Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Operations Research Letters, 2023.
5. Weinan Zhang and Pingping Zeng*, A transform-based method for pricing Asian options under general two-dimensional models. Quantitative Finance, 2023, 23(11), 1677–1697. (SSRN Top Ten List)
6. Pingping Zeng, Ziqing Xu, Pingping Jiang*, and Yue-Kuen Kwok, 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)
7. Xiaolin Wang, Zhaojun Yang*, and Pingping Zeng, Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023, 19: 660-693.
8. Pingping Zeng and Chao Shi*, Computable error bounds of multidimensional Euler inversion and their financial applications. Operations Research Letters, 2022, 50(6): 726-731.
9. Weihua Chen, Rogemar Mamon, Heng Xiong*, and Pingping Zeng, 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.
10. Yao Tung Huang, Pingping Zeng*, and Yue-Kuen Kwok, Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.
11. Wendong Zheng and Pingping Zeng*, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance, 2017, 23(5): 344-373.
12. Pingping Zeng and Yue-Kuen Kwok*, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance, 2016, 16(9): 1375-1391.
13. Pingping Zeng, Yue-Kuen Kwok*, and Wendong Zheng, Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(7): 1550046.
14. Pingping Zeng and Yue-Kuen Kwok*, 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.
15. Yong Duan*, Yuanming Zheng, and Pingping Zeng, 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.
新闻动态 更多新闻
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2019-11-10
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南方科技大学曾萍萍课题组招收博士后/博士生/科研助理，要求勤奋踏实、善于沟通、热爱科研，立志从事前沿科学研究。欢迎对金融数学或计算金融等相关研究方向感兴趣的即将毕业的优秀博士加入课题组以及优秀学生进行推免直博或报考申请考核。同时也欢迎优秀在读博士到课题组访问交流。有意者请将相关材料发送至zengpp@sustech.edu.cn, 更多相关信息请见南方科技大学研究生院官网：http://gs.sustech.edu.cn.
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zengpp@sustech.edu.cn |
