工作经历
2023.6-至今 南方科技大学 数学系 副教授
2016.6 - 2023.5 南方科技大学 数学系 助理教授
2014.9-2015.10 维也纳大学 数学系 博士后
2014.9-2015.10 维也纳大学 数学系 博士后
2014.7-2014.8 滑铁卢大学 统计与精算系 访问学者
教育背景
2010.9-2014.6 香港科技大学 金融数学专业博士学位
2006.9-2010.6 电子科技大大学 数学与应用数学学士学位
获奖情况
2014.05 荣获香港科技大学数学系颁发的9th Epsilon Fund Award
2019 南方科技大学第三届教学竞赛二等奖
2019.07 南方科技大学优秀党员
发表论文(*通讯作者)
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 Scientific Computing, 2024, 98:47.
4. Yong, Y., Zeng, P., and Zhang, Y.*, Credibility theory for variance premium principle. North American Actuarial Journal, 2024.
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.
科研项目
1. 基于蒙特卡罗的新融合方法及其在衍生品定价、保险和风险管理领域中的应用 2022 - 2025
国家自然科学基金委员会，面上项目，50万元
2. 希尔伯特变换方法定价金融衍生品 2018 - 2020
国家自然科学基金委员会，青年科学基金项目，24万元
招聘公告
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硕士/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[email protected], 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.
