Harry Zheng

Imperial College London - Mathematical Finance

United Kingdom

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

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 1,431 (11,955)

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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

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approximate duration, asset liability management, linear programming

2.

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 135 (209,052)

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

3.

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 117 (233,271)

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

4.

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 100 (260,469)

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

5.

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 66 (333,760)

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

6.

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 32 (449,392)

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

7.

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

Number of pages: 32 Posted: 05 Feb 2019 Last Revised: 27 Mar 2019
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 30 (458,652)

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

8.

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 15 (540,648)

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9.

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

Number of pages: 24 Posted: 30 May 2019
Jiawen Gu, Shijing Si and Harry Zheng
Southern University of Science and Technology, Duke University and Imperial College London - Mathematical Finance
Downloads 7 (588,682)

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

10.

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 6 (594,983)

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