菜单总览
— 优秀师资 —

张功球

职位:

助理教授

教育背景:

博士(香港中文大学)

学士(北京大学)

研究领域
金融工程,蒙特卡罗模拟,应用概率,信贷风险,机器学习。
个人网站

https://gqzhang.weebly.com/

Email

zhanggongqiu@cuhk.edu.cn

个人简介:


张功球教授于2013年毕业于北京大学(物理学学士);于2017年毕业于香港中文大学系统工程与工程管理学系(博士学位)。随后,他在武汉大学担任助理教授。张教授从2018年10月起加入香港中文大学(深圳)。他的研究兴趣包括开发金融模型、发展高效且具有坚实理论基础的算法来解决金融工程领域的一些重要问题,包括期权定价与对冲,金融风险管理,模型矫正,预测,以及蒙特卡洛模拟。他也对将机器学习方法应用于金融工程问题具有浓厚的兴趣。 


学术著作:


1. “Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior.” with Lingfei Li. Forthcoming at Operations Research.

2. “Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing with Non-Smooth Payoffs.” with Lingfei Li. Mathematical Finance. 2018, Vol. 28, Iss. 3, pp. 877-919.

3. “Pure Jump Models for Pricing and Hedging VIX Derivatives.” with Jing Li and Lingfei Li. Journal of Economic Dynamics and Control. Spring 2017, Vol. 74, pp. 28-55 .

4. “Option Pricing in Some Non-Levy Jump Models.” with Lingfei Li. SIAM Journal on Scientific Computing. July 2016, Vol. 38, Iss. 4, pp. B539-B569.

5. “An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance.” with Lingfei Li and Xianjun Qu. Journal of Computational and Applied Mathematics. March 2016, Vol. 294, pp. 225-250.

6. “Probe of the Electron Correlation in Sequential Double Ionization of Helium by Two-Color Attosecond Pulses.”  with Liangyou Peng, Zheng Zhang, Weichao Jiang and Qihuang Gong. Physical Review A. December 2012, Vol. 86, Iss. 6.

7. “Dissociative Double Ionization of CO2 Induced by Intense Femtosecond Laser Pulses.” with Cong Wu, Chengyin Wu, Yudong Yang, Xianlong Liu, Yongkai Deng, Hong Liu, Yunquan Liu and Qihuang Gong. Physical Review A. June 2012, Vol. 85, Iss. 6.