Kai ZHANG
Professor
- Finance Department
Research Domains
Computational Finance and Financial Engineering
Innovation Economics and Finance
Financial Optimization and Portfolio
Curriculum vitae
PhD in Applied Mathematics
Hong Kong Polytechnic University (HKPU), China (PRC) (2006)
Master of Science in Computational Mathematics
Chongqing University, China (PRC) (2003)
Bachelor of Science, in Computational Mathematics
Chongqing University, China (PRC) (2000)
Academic Experience
Professor in Finance
Shenzhen University, China (PRC),
Since 2009
Research Fellow
Monash University, Australia,
2008 - 2009
Lecturer
Shenzhen University, China (PRC),
2007 - 2008
Postdoctoral Research Associate
The University of Western Australia, Australia,
2006 - 2007
Publications
Forthcoming
ZHANG, K., YANG, X. (2018) . Power Penalty Approach to American Options Pricing Under Regime Switching, Journal of Optimization Theory and Applications, 179 (1), 311-331
ZHANG, K., YANG, X. (2017) . Numerical Valuation of Options on Zero-Coupon Bonds with a Fitted Finite Volume Method, International Journal of Numerical Analysis and Modeling
2020
ZHANG, K., Yang, X., Hu, Y. (2020) . Power penalty method for solving HJB equations arising from finance, Automatica, 111 (January 2020), 108668
ZHANG, K., Yang, X. (2020) . A power penalty method for discrete HJB equations, Optimization Letters, 14 (6), 1419-1433
2016
WANG, S., ZHANG, K. (2016) . An interior penalty method for a nite-dimensional linear complementarity problem in financial engineering, Optimization Letters, 12 (6), 1161–1178
2015
ZHANG, K., TEO, K. (2015) . A penalty-based method from reconstructing smooth local volatility surface from american options, Journal of Industrial and Management Optimization, 11 (2), 631-644
2014
ZHANG, K., TEO, K., STEWART, M. (2014) . A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method, Computational Economics, 43 (4), 463–483
2013
ZHANG, K., TEO, K. (2013) . Convergence analysis of power penalty method for American bond option pricing, Journal Of Global Optimization, 56 (4), 1313-1323
2012
ZHANG, K., WANG, S. (2012) . Pricing American bond options using a penalty method, Automatica, 48 (3), 472-479
ZHANG, K. (2012) . Applying power penalty method to numerically pricing American bond options, Journal of Optimization Theory and Applications, 154 (1), 278-291
2011
ZHANG, K., WANG, S. (2011) . Convergence property of an interior penalty approach to pricing American option, Journal of Industrial and Management Optimization, 7 (2), 435-447