Harry Zheng

Imperial College London - Mathematical Finance

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 30,236

SSRN RANKINGS

Top 30,236

in Total Papers Downloads

3,168

SSRN CITATIONS

12

CROSSREF CITATIONS

4

Scholarly Papers (15)

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney
Downloads 1,575 (21,870)
Citation 2

Abstract:

Loading...

Portfolio choice, asset pricing, computational techniques, duration analysis

The Duration Derby: A Comparison of Duration-Based Strategies in Asset Liability Management

Journal of Bond Trading & Management, Vol. 1, No. 4, pp. 371-80, April 2003
Posted: 17 Sep 2003
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney

Abstract:

Loading...

approximate duration, asset liability management, linear programming

2.

Portfolio Selection, Periodic Evaluations and Risk Taking

Number of pages: 59 Posted: 04 Feb 2022 Last Revised: 21 Jun 2023
Alex S. L. Tse and Harry Zheng
University College London and Imperial College London - Mathematical Finance
Downloads 196 (286,317)
Citation 1

Abstract:

Loading...

Portfolio selection, S-shaped utility, periodic evaluation, agency, incentive

3.

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model

Mathematics of Operations Research
Number of pages: 32 Posted: 28 Jan 2016 Last Revised: 26 Feb 2017
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 179 (310,518)

Abstract:

Loading...

Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.

4.

Why Should We Invest in CoCos Than Stocks? An Optimal Growth Portfolio Approach

The European Journal of Finance
Number of pages: 27 Posted: 05 Feb 2019 Last Revised: 06 May 2020
Hyun Jin Jang, Longjie Jia and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), affiliation not provided to SSRN and Imperial College London - Mathematical Finance
Downloads 171 (323,223)

Abstract:

Loading...

Growth Portfolio Optimisation; Contingent Convertible Bond; Statistical Comparisons; Sensitivity Analysis

5.

Approximate Basket Options Valuation for a Jump-Diffusion Model

Insurance: Mathematics and Economics, Vol. 45, No. 2, pp. 188-194, 2009
Number of pages: 20 Posted: 26 Jan 2010
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 161 (340,383)

Abstract:

Loading...

Basket option pricing, Jump-diffusion model, Analytic approximation, Conditional moment matching

6.

Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method

Number of pages: 16 Posted: 30 Mar 2010
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 155 (351,446)
Citation 1

Abstract:

Loading...

Basket options pricing, local volatility jump-diffusion model, forward PIDE, asymptotic expansion

7.

Optimal Investment, Heterogeneous Consumption and Best Time for Retirement

Number of pages: 49 Posted: 14 Jun 2022
Hyun Jin Jang, Zuo Quan Xu and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), Hong Kong Polytechnic University and Imperial College London - Mathematical Finance
Downloads 125 (416,361)

Abstract:

Loading...

Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary

8.

Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural Networks

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 46 Posted: 22 Mar 2021
Ulsan National Institute of Science and Technology, Imperial College London - Mathematical Finance, Samsung Electronics Co., Ltd. and Yeungnam University
Downloads 117 (440,260)

Abstract:

Loading...

Optimal strategy; Order arrival models; Synchrony; High-dimensional Hamilton–Jacobi–Bellman; Deep neural network

9.

Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models

Number of pages: 11 Posted: 29 Aug 2012
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 95 (506,731)
Citation 1

Abstract:

Loading...

basket options valuation, local volatility jump-diffusion model, lower bound approximation, second order asymptotic expansion

10.

Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation

SIAM Journal on Control and Optimization, 2020, Vol. 58, No. 2 : pp. 866-894
Number of pages: 30 Posted: 30 May 2019 Last Revised: 01 Apr 2020
Jiawen Gu, Shijing Si and Harry Zheng
Southern University of Science and Technology, Duke University and Imperial College London - Mathematical Finance
Downloads 88 (531,772)

Abstract:

Loading...

utility deviation-risk optimization; stochastic risk aversion; incomplete market; control constraint; time-consistent dynamic programming equation

11.

Contingent Convertible Bonds with the Default Risk Premium

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 25 Jul 2018
Hyun Jin Jang, Young Hoon Na and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), Korea Advanced Institute of Science and Technology (KAIST) and Imperial College London - Mathematical Finance
Downloads 86 (539,315)
Citation 1

Abstract:

Loading...

Contingent Convertible Bond, Capital-ratio Trigger, Conversion Time, Equity-conversion CoCo, Post-conversion Risk Premium

12.

Speculative Trading, Prospect Theory and Transaction Costs

Number of pages: 29 Posted: 10 Dec 2019 Last Revised: 13 Oct 2021
Alex S. L. Tse and Harry Zheng
University College London and Imperial College London - Mathematical Finance
Downloads 69 (611,897)

Abstract:

Loading...

S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies

13.

On Correlated Defaults and Incomplete Information

Number of pages: 21 Posted: 01 Oct 2019
Wai-Ki Ching, Jiawen Gu and Harry Zheng
The University of Hong Kong - Department of Mathematics, Southern University of Science and Technology and Imperial College London - Mathematical Finance
Downloads 57 (673,491)

Abstract:

Loading...

Defaults, Brownian Motions, Incomplete Information, Intensity Models

14.

Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance

Number of pages: 21 Posted: 23 Sep 2018
Yinghui Dong and Harry Zheng
Imperial College London and Imperial College London - Mathematical Finance
Downloads 54 (690,582)
Citation 1

Abstract:

Loading...

15.

A Note on P- vs. Q-Expected Loss Portfolio Constraints

Number of pages: 15 Posted: 19 Mar 2019
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 40 (782,547)
Citation 3

Abstract:

Loading...

Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfi lling P-Risk Constraint