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— Faculty —

ZHANG, Gongqiu

Title:

Assistant Professor

Education Background

PhD (The Chinese University of Hong Kong)

BSc (Peking University)

Research Field
Financial Engineering, Monte Carlo Simulation, Applied Probability, Credit Risk, Machine Learning
Personal Website

https://gqzhang.weebly.com/

Email

zhanggongqiu@cuhk.edu.cn

Biography:


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.


Academic Publications:


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.