副教授 数学系
曾萍萍现任南方科技大学副教授,主要研究领域为金融数学和计算金融。主持国家自然科学基金青年项目和面上项目;在Mathematical Finance、SIAM Journal on Scientific Computing、SIAM Journal on Financial Mathematics、Quantitative Finance等国际权威期刊上发表论文十余篇。担任Mathematical Finance, Operations Research, INFORMS Journal on Computing, Journal of Economic Dynamics and Control, Insurance Mathematics and Economics等期刊审稿人。
个人简介
曾萍萍副教授,2010年毕业于电子科技大学,获学士学位;2014年毕业于香港科技大学,获博士学位;2014年至2016年,先后在维也纳大学和香港科技大学做博士后研究。主要研究领域有金融数学和计算金融。
研究领域
金融数学,计算金融
教学
主讲课程:衍生证券模型与定价、金融风险管理
学术成果 查看更多
发表论文(*通讯作者)
1. Chen, W.H., Mamon, R., Xiong, H.*, and Zeng, P., Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. To appear in North American Journal of Economics and Finance, 2024.
2. Li, L., Zeng, P., and Zhang, G.*, Speed and duration of drawdown under general Markov models. Quantitative Finance, 2024, 24(3-4): 367-386.
3. Zhang, W.N., Zeng, P.*, Zhang, G.*, and Kwok, Y.K., Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. Journal of Scientific Computing, 2024, 98:47.
4. Yong, Y., Zeng, P., and Zhang, Y.*, Credibility theory for variance premium principle. North American Actuarial Journal, 2024.
5. Zhang, W.N., Zeng, P.*, and Kwok, Y.K., Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Operations Research Letters, 2023, 51(6): 687-694.
6. Zhang, W.N. and Zeng, P.*, A transform-based method for pricing Asian options under general two-dimensional models. Quantitative Finance, 2023, 23(11): 1677–1697. (SSRN Top Ten List)
7. Zeng, P., Xu, Z.Q., Jiang, P.*, and Kwok, Y.K., Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. Mathematical Finance, 2023, 33(3): 842-890. (SSRN Top Ten List)
8. Wang, X., Yang, Z.*, and Zeng, P., Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023, 19: 660-693.
9. Zeng, P. and Shi, C.*, Computable error bounds of multidimensional Euler inversion and their financial applications. Operations Research Letters, 2022, 50(6): 726-731.
10. Chen, W.H., Mamon, R., Xiong, H.*, and Zeng, P., How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 2022, 1-24.
11. Huang, Y.T., Zeng, P.*, and Kwok, Y.K., Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.
12. Zheng, W. and Zeng, P.*, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance, 2017, 23(5): 344-373.
13. Zeng, P. and Kwok, Y.K.*, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance, 2016, 16(9): 1375-1391.
14. Zeng, P., Kwok, Y.K.*, and Zheng, W., Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(7): 1550046.
15. Zeng, P. and Kwok, Y.K.*, Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach. SIAM Journal on Scientific Computing, 2014, 36(3): B450-B485.
16. Duan, Y.*, Zheng Y.M., and Zeng, P., Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations. Engineering Analysis with Boundary Elements, 2012, 36(3): 303-309.