Gongqiu Zhang
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Research Interests
I am working in the areas of financial engineering, financial mathematics and financial technology. I am particularly interested in applying probabilistic and machine learning methods to solve challenging financial problems.
Competitive Grants
3. PI, General Program of NSFC, 2022-2025, RMB 500,000. Drawdown Risk Valuation, Hedging and Related Portfolio Selection Problems.
2. PI, Shenzhen Basic Research Program, 2020-2023, RMB 400,000. Deep Learning Methods for Financial Modeling, Computation and Risk Management.
1. PI, Young Scientists Fund of NSFC, 2019-2021, RMB 260,000. Applications and Theoretical Analysis of Markov Chain Approximation for Option Pricing.
2. PI, Shenzhen Basic Research Program, 2020-2023, RMB 400,000. Deep Learning Methods for Financial Modeling, Computation and Risk Management.
1. PI, Young Scientists Fund of NSFC, 2019-2021, RMB 260,000. Applications and Theoretical Analysis of Markov Chain Approximation for Option Pricing.
Selected Publications (For other papers, see my Google Scholar page)
7. Pricing American drawdown options under Markov models.
Xiang Zhang, Lingfei Li, Gongqiu Zhang.
European Journal of Operational Research, 2021.
6. Markov Chain Approximation of One-Dimensional Sticky Diffusions.
Christian Meier, Lingfei Li, Gongqiu Zhang.
Advances in Applied Probability, 2021.
5. Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior.
Gongqiu Zhang, Lingfei Li.
Operations Research, 2019.
4. Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing with Non-Smooth Payoffs.
Lingfei Li, Gongqiu Zhang.
Mathematical Finance, 2018.
3. Pure Jump Models for Pricing and Hedging VIX Derivatives.
Jing Li, Lingfei Li, Gongqiu Zhang.
Journal of Economic Dynamics and Control, 2017.
2. Option Pricing in Some Non-Levy Jump Models.
Lingfei Li, Gongqiu Zhang.
SIAM Journal on Scientific Computing, 2016.
1. An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance.
Lingfei Li, Xianjun Qu, Gongqiu Zhang.
Journal of Computational and Applied Mathematics, 2016.
Xiang Zhang, Lingfei Li, Gongqiu Zhang.
European Journal of Operational Research, 2021.
6. Markov Chain Approximation of One-Dimensional Sticky Diffusions.
Christian Meier, Lingfei Li, Gongqiu Zhang.
Advances in Applied Probability, 2021.
5. Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior.
Gongqiu Zhang, Lingfei Li.
Operations Research, 2019.
4. Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing with Non-Smooth Payoffs.
Lingfei Li, Gongqiu Zhang.
Mathematical Finance, 2018.
3. Pure Jump Models for Pricing and Hedging VIX Derivatives.
Jing Li, Lingfei Li, Gongqiu Zhang.
Journal of Economic Dynamics and Control, 2017.
2. Option Pricing in Some Non-Levy Jump Models.
Lingfei Li, Gongqiu Zhang.
SIAM Journal on Scientific Computing, 2016.
1. An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance.
Lingfei Li, Xianjun Qu, Gongqiu Zhang.
Journal of Computational and Applied Mathematics, 2016.
Last edited on August 2021.