PhD (The Chinese University of Hong Kong)

BSc (Peking University)

Prof. ZHANG Gongqiu receives his Bachelor degree in physics from Peking University in 2013 and PhD degree in 2017 from the Department of Systems Engineering and Engineering Management at The Chinese University of Hong Kong. After that, he served as an assistant professor at Wuhan University. Prof. Zhang joined The Chinese University of Hong Kong, Shenzhen in October 2018. His research focuses on developing realistic models that capture key features of financial data, and computationally efficient algorithms with solid theoretical foundation for a range of problems, including option pricing and hedging, financial risk management, model calibration, prediction and Monte Carlo simulation. He is also interested in utilizing deep learning methods for solving financial engineering problems.

Below are some representative published papers. Please refer to my Google scholar page for the full list of works.

1. Gongqiu Zhang. "Analysis of Markov Chain Approximation for Regime-Switching Jump Diffusions with Nonsmooth Coefficients: Deformed Contour Integration Approach." Accepted by Finance and Stochastics.

2. Shu, Qi, Heng Xiong, and Gongqiu Zhang. "The autoencoder asset pricing model in the Chinese stock market." Applied Economics (2025): 1-18.

3. Zhang, Weinan, 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 98, no. 2 (2024): 47.

4. Zhang, Gongqiu, and Lingfei Li. "A general method for analysis and valuation of drawdown risk." Journal of Economic Dynamics and Control 152 (2023): 104669.

5. Zhang, Gongqiu, and Lingfei Li. "A general approach for Parisian stopping times under Markov processes." Finance and Stochastics 27, no. 3 (2023): 769-829.

6. Meier, Christian, Lingfei Li, and Gongqiu Zhang. "Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation." European Journal of Operational Research 305, no. 3 (2023): 1292-1308.

7. Zhang, Xinxin, Elie Bouri, Yahua Xu, and Gongqiu Zhang. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market." Energy Economics 109 (2022): 105950.

8. Zhang, Gongqiu, and Lingfei Li. "Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients." SIAM Journal on Financial Mathematics 13, no. 3 (2022): 1144-1190.

9. Zhang, Xiang, Lingfei Li, and Gongqiu Zhang. "Pricing American drawdown options under Markov models." European Journal of Operational Research 293, no. 3 (2021): 1188-1205.

10. Meier, Christian, Lingfei Li, and Gongqiu Zhang. "Markov chain approximation of one-dimensional sticky diffusions." Advances in Applied Probability 53, no. 2 (2021): 335-369.

11. Zhang, Gongqiu, and Lingfei Li. "Analysis of Markov chain approximation for option pricing and hedging: Grid design and convergence behavior." Operations Research 67, no. 2 (2019): 407-427.

12. Li, Lingfei, and Gongqiu Zhang. "Error analysis of finite difference and Markov chain approximations for option pricing." Mathematical Finance 28, no. 3 (2018): 877-919.

13. Li, Jing, Lingfei Li, and Gongqiu Zhang. "Pure jump models for pricing and hedging VIX derivatives." Journal of Economic Dynamics and Control 74 (2017): 28-55.

14. Li, Lingfei, and Gongqiu Zhang. "Option pricing in some non-Lévy jump models." SIAM Journal on Scientific Computing 38, no. 4 (2016): B539-B569.