Southern University of Science and Technology (SUSTech) is a public university founded in the Shenzhen Special Economic Zone of China.
SUSTech offers an unparalleled learning and research experience at the scientific and technological frontiers.
SUSTech offers unprecedented opportunities for undergraduate and graduate students to work alongside the faculty to explore and tackle both fundamental and practical problems.
The Global Engagement Office (GEO) is responsible for forming and implementing a coherent strategy to promote the University’s international development and global profile.
The undergraduate admission of SUSTech adopts comprehensive evaluation enrollment mode based on national college entrance examination.The graduate admission of SUSTech currently adopts joint training mode.
The main duties of SUSTCEF is to accept the donations from the domestic and foreign associations, enterprises, trading companies and individuals, and establish the funding projects depending on the demands of the university and the wishes of the donors.
Tenure-Track Assistant Professor
Department of Mathematics
Service Center of Scientific Research and Teaching 801
2016- 南方科技大学 Tenure-Track助理教授
2015.11-2016.06 香港科技大学 工业工程与物流管理系 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
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
2014.05 荣获香港科技大学数学系颁发的9th Epsilon Fund Award
Duan, Y., Zheng Y.M., and Zeng, P. (2012). Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations. Engineering Analysis with Boundary Elements,36(3), 303-309.
Zeng, P., and Kwok, Y.K. (2014). “Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach". SIAM Journal on Scientific Computing, 36(3), p.B450-B485.
Zeng, P., Kwok, Y.K. and Zheng, W. (2015). “Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models". International Journal of Theoretical and Applied Finance,18(7).
Zeng, P., and Kwok, Y.K. (2016). “Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes". To appear in Quantitative Finance.
Submitted for Publication
Zheng, W. and Zeng, P. (2016). “Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model”. (Under revision for Applied Mathematics Finance.)
Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. (To be submitted SIAM Journal on Scientific Computing, 2016.)