Refereed journal papers: 

<UL>


<li>A. Davey, M. Monoyios, H. Zheng (2021), Duality for
     Optimal Consumption with Randomly Terminating Income, <i>Mathematical
     Finance</i> 31, 1275-1314. (<a href="https://arxiv.org/pdf/2011.00732.pdf">arXiv</a>)
    
<br/> <br/>

 <li>T. Wang, H. Zheng (2021), Closed-loop Equilibrium
     Strategies for General Time-inconsistent Optimal Control Problems, <i>SIAM
     J Control Optimization</i> 59, 3152-3178. (<a href="sicon2021.pdf">pdf</a>)
     
<br/> <br/>

 <li>S.E. Choi, H.J. Jang, K. Lee, H. Zheng (2021), Optimal
     Market Making Strategies Under Synchronised Order Arrivals with Deep
     Neural Network, <i>J Economic Dynamics Control</i> 125, 104098, 1-25. (<a
     href="JEDC2021.pdf">pdf</a>) 
<br/> <br/>

 <li>J.L. Luo, H. Zheng (2021), Dynamic Equilibrium of
     Market Making with Price Competition, <i>Dynamic Games Applications</i>
     11, 556-579. (<a href="dga2020.pdf">pdf</a>) 
<br/> <br/>

 <li>W.K. Ching, J.W. Gu, H. Zheng (2021), On Correlated
     Defaults and Incomplete Information, <i>J Industrial Management
     Optimization</i> 17, 889-908. (<a
     href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3457210">ssrn</a>)
     
<br/> <br/>


 <li>J.W. Gu, M. Steffensen, H. Zheng (2021), A Note on P-
     vs. Q-Expected Shortfall Portfolio Constraints, <i>Quantitative Finance</i>
     21, 263-270. (<a href="qf2020.pdf">pdf</a>)
 
<br/> <br/>



<li> H.J. Jang, L. Jia, H. Zheng (2020), Why Should We Invest in CoCos than Stocks? An Optimal Growth Portfolio Approach, 
<I>European J  Finance</I> 26, 1606-1622. (<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3320264">ssrn</a>)


<br/> <br/>



<li> J.W. Gu, S.J. Si, H. Zheng (2020), Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation, <I> SIAM J Control Optimization</I> 58, 866-894. 
(<a href="sicon2020.pdf">pdf</a>)

<br/> <br/>




<li> Y.H. Dong, H. Zheng (2020),  Optimal Investment  with  S-shaped Utility  and Trading and Value at Risk Constraints:  an Application to Defined Contribution Pension Plan, <I> European J Operational Research</I> 281, 341-356.
(<a href="ejor Dong Zheng revision2 20190809.pdf">pdf</a>)


<br/> <br/>


<li> J.T. Ma, W.Y. Li, H. Zheng (2020), Dual Control Monte Carlo Method for Tight Bounds of Value Function under Heston Stochastic Volatility Model, <I> European J Operational Research</I> 280, 428-440.
(<a href="Heston-Optimal-Control-revision2.pdf">pdf</a>)
 
<br/> <br/>



<li> J.T. Ma, J. Xing, H. Zheng (2019), Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems, <I> SIAM J Control Optimization</I> 57,  2092-2121.
(<a href="sicon M118485 revision2 190316.pdf">pdf</a>)


<br/> <br/>


<li>  B. Bian, H. Zheng (2019), Turnpike Property and Convergence Rate for an Investment and Consumption
Model, <I> Mathematics and Financial Economics</I> 13, 227-251. (<a href="https://arxiv.org/abs/1808.04265">arXiv</a>)


<br/> <br/>


<li>  Y.H. Dong, H. Zheng (2019), Optimal Investment of DC Pension Plan under Short-selling Constraints and Portfolio Insurance, <I> Insurance, Mathematics and Economics</I> 85, 47-59. (<a href="ime18.pdf">pdf</a>)


<br/> <br/>


<li>  L. Jia, M. Pistorius, H. Zheng (2019), Dynamic Portfolio Optimization with Looping Contagion Risk, <I> SIAM J Financial Mathematics</I> 10, 1-36. (<a href="https://arxiv.org/pdf/1710.05168.pdf">arXiv</a>)


<br/> <br/>


<li> Y. Li, H. Zheng (2018), Dynamic Convex Duality in Constrained Utility Maximization, <I> Stochastics</I> 90, 1145-1169.
(<a href="stochastic18.pdf">pdf</a>)



<br/> <br/>

<li> H.J. Jang, Y.H. Na, H. Zheng (2018), Contingent Convertible Bonds with the Default Risk Premium, <I> International Review of Financial Analysis</I> 59,  77-93. (<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3208073">ssrn</a>)



<br/> <br/>

<li> J.W. Gu, M. Steffensen, H. Zheng (2018), Optimal Dividend Strategies of Two Collaborating Businesses
in the Diffusion Approximation Model, <I> Mathematics of Operations Research</I> 43, 377-398.
(<a href="https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2723404">ssrn</a>)

<br/> <br/>

<li> Y. Li, H. Zheng (2018), Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations, <I> SIAM J Control Optimization</I> 56, 1130-1153. 
(<a href="sicon18.pdf">pdf</a>)

<br/> <br/>



<li> W.K. Ching, J.W. Gu, X.Y. Li, T.K. Siu, H. Zheng (2017), On Infectious Model for Dependent Defaults, <I> Risk and Decision Analysis</I> 6, 249-261. (<a href="rda131.pdf">pdf</a>)

 <br/> <br/>



<li> K.C. Wong, S.C.P. Yam, H. Zheng (2017), Utility-Deviation-Risk Portfolio Selection,  <I> SIAM J Control Optimization</I> 55, 1819-1861. (<a href="UR34.pdf">pdf</a>)
 

<br/> <br/>

<li> J.T. Ma, W.Y. Li, H. Zheng (2017), Dual Control Monte-Carlo Method for Tight Bounds of Value Function in Regime Switching Utility Maximization, <I> European J Operational Research </I> 262, 851-862. (<a href="ejor2017.pdf">pdf</a>)

<br/> <br/>


<li> Y.T. Huang, Q.S. Song, H. Zheng (2017), Weak Convergence of Path-dependent SDEs in Basket CDS Pricing with Contagion Risk,  <I> SIAM J Financial Mathematics</I> 8, 1-27. (<a href="HSZ160506.pdf">pdf</a>)


<br/> <br/>



<li> J.W. Gu, B. Jiang, W.K. Ching, H. Zheng (2016), On Modeling Economic Default Time: A Reduced-Form Model Approach,  <I>Computational Economics</I> 47, 157-177. (<a href="ce14.pdf">pdf</a>)




<br/> <br/>



<li> B. Bian,  N. Wu, H. Zheng (2016),  Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact, <I> Discrete and Continuous Dynamical Systems (Series B)</I> 21, 1401-1420. (<a href="dcdsb2014.pdf">pdf</a>)


<br/> <br/>


<li> J.T. Ma, D.Y. Deng and H. Zheng (2016), Convergence Analysis and Optimal Strike Choice for Static Hedges of General Path-independent Payoffs, <I> Quantitative Finance</I> 16, 593-603.
(<a href="QF-MDZ-2nd-revision.pdf">pdf</a>)


<br/> <br/>


<li> C. Liu and H. Zheng (2016), Asymptotic Analysis for Target Asset Portfolio Allocation with Small Transaction Costs, <I> Insurance: Mathematics and Economics</I> 66, 59-68.
(<a href="ime2015.pdf">pdf</a>)

<br/> <br/>


<li> N. Westray and H. Zheng (2015), Constrained Nonsmooth Utility Maximization on the Positive Real Line, <I> Mathematical Control and Related Fields</I> 5, 679-695. 
(<a href="mcrf_nwhz_revision.pdf">pdf</a>)

<br/> <br/>


<li> B. Bian,  S. Hu, Q. Yuan, H. Zheng (2015),  Constrained Viscosity Solution to the HJB Equation Arising in
Perpetual American Employee Stock Options Pricing, <I> Discrete  and Continuous Dynamical Systems (Series A)</I> 35, 5413-5433. (<a href="dcdsa2014.pdf">pdf</a>)


<br/> <br/>



<li> X. Dong and H. Zheng (2015), Intensity Process for a Pure Jump Levy Structural Model with Incomplete Information, <I> Stochastic Processes and Their Applications</I> 125, 
1307-1322.
(<a href="http://arxiv.org/pdf/1405.3767.pdf">arxiv</a>)

<br/> <br/>


<li> Y. Li and H. Zheng (2015), Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models, <I> Applied Mathematics and Optimization</I> 71, 39-77.  (<a href="http://arxiv.org/pdf/1210.0371.pdf">arxiv</a>)

<br/> <br/>



<li> B. Bian and H. Zheng (2015), Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions, <I> J Economic Dynamics and Control</I> 51, 28-49.
(<a href="http://arxiv.org/pdf/1409.7802v1.pdf">arxiv</a>)

<br/> <br/>
 
<li>  G. Xu and H. Zheng (2014), Lower Bound Approximation  to Basket Option Values for Local Volatility Jump-Diffusion Models, <I> International J Theoretical and Applied Finance</I> 17, 1-15. 


<br/> <br/>


<li> J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2014), On Reduced Form Intensity-based Model with Trigger Events, 
<I> J Operations Research Society </I> 65, 331-339. 

<br/> <br/>


<li> J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2013), 
On Pricing Basket Credit Default Swaps, 
<I> Quantitative Finance </I> 13, 1845-1854. 


<br/> <br/>

<li> J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2013), On Modeling Credit Defaults: A Probabilistic Boolean Network Approach, <I> Risk and Decision Analysis</I> 4, 119-129. 

<br/> <br/>


<li> H. Zheng (2013), Contagion Models a la carte: Which One to Choose?, <I> Quantitative Finance</I> 13, 399-405. 

<br/> <br/>



<li> B. Bian, S. Miao, H. Zheng (2011), Smooth Value Functions for a Class of Nonsmooth
Utility Maximization Problems, 
<I> SIAM J Financial Mathematics</I> 2, 727-747.

<br/> <br/>

<li> N. Westray and H. Zheng (2011),  Minimal Sufficient Conditions for a Primal Optimizer in Nonsmooth
Utility Maximization, <I> Finance and Stochastics</I> 15,  501-512. 

<br/> <br/>

<li> C. Czichowsky, N. Westray, H. Zheng (2011), Convergence in the Semimartingale Topology and Constrained Portfolios, 
<I>  Seminaire de Probabilites</I> XLIII, 395-412.

<br/> <br/>

<li> G. Xu and H. Zheng (2010), Basket Options Valuation for a Local Volatility  Jump-Diffusion Model 
with the Asymptotic Expansion Method,
<I> Insurance: Mathematics and Economics</I> 47, 415-422.

<br/> <br/>

<li> G. Xu and H. Zheng (2009), Approximate Basket Options Valuation for a Jump-Diffusion Model,
<I> Insurance: Mathematics and Economics</I> 45, 188-194.

<br/> <br/>

<li> H. Zheng (2009), Efficient Frontier of Utility and Conditional VaR, <I> Mathematical 
Methods of Operations Research</I> 70, 129-148.

<br/> <br/>

<li> L. Jiang and H. Zheng (2009), Basket CDS Pricing with Interacting Intensities,
<I> Finance and Stochastics</I> 13, 445-469. 

<br/> <br/>

<li> N. Westray and H. Zheng (2009), Constrained Nonsmooth Utility Maximization without Quadratic Inf-Convoluiton, <I> Stochastic Processes 
and Their Applications</I> 119, 1561-1579.

<br/> <br/>

<li> Y.K. Shen and H. Zheng (2008), Jump Liquidity Risk and its Impact on CVaR, <I> J Risk Finance</I> 9, 477-491.

<br/> <br/>

<li> H. Zheng (2007), Macaulay Duration for Nonparallel Shifts, <I> Annals of Operations Research</I> 151, 179-191.

<br/> <br/>

<li> H. Zheng (2006), Interaction of Credit and
Liquidity Risks, <I> J Banking Finance</I> 30, 391-407.

<br/> <br/>

<li> H. Zheng (2006), Efficient Hybrid Methods for Portfolio Credit Derivatives,
<I> Quantitative Finance</I> 6, 349-357.

<br/> <br/>

<li> R.B. Vinter and H. Zheng (2003), 
Some Finance Problems Solved with Nonsmooth Optimization
Techniques, <I> J Optimization, Theory and
Application</I> 119, 1-18.

<br/> <br/>

<li> D.E. Allen, L.C. Thomas, H. Zheng (2003), 
The Duration Derby: A Comparison of Duration Strategies
in Asset Liability Management,
<I> J Bond Trading Management</I> 1, 371-380.

<br/> <br/>


<li> M. R. Pinho, R. B. Vinter, H. Zheng (2001), A Maximum Principle for Optimal Control
Problems with Mixed Constraints, 
<I>IMA J Mathematical Control and Information</I> 18, 189-205.

<br/> <br/>

<li> D.E. Allen, L.C. Thomas, H. Zheng (2000), 
Stripping Coupons with Linear Programming,
<I> J Fixed Income</I> 10, 80-87.

<br/> <br/>

<li> R. B. Vinter and H. Zheng (2000), Necessary Conditions for Free End-Time, Measurably Time
Dependent  Optimal Control
Problems with State Constraints, <I>J Set-Valued
Analysis</I> 8, 11-29.

<br/> <br/>

<li> R. B. Vinter and H. Zheng (1998), Necessary Conditions for Optimal Control Problems with State Constraints, 
<I>Trans. American Mathematical Society</I> 350, 1181-1204.

<br/> <br/>

<li> A. Gautier, F. Granot, H. Zheng (1998), Qualitative Sensitivity Analysis
        in Monotropic Programming, <I>Mathematics
of Operations Research</I> 23, 695-707.

<br/> <br/>

<li> R. B. Vinter and H. Zheng (1997), The Extended Euler Lagrange Condition
        for Nonconvex Variational Problems,
        <I>SIAM J Control Optimization</I>  35, 56-77.

<br/> <br/>

<li> P. D. Loewen and H. Zheng (1995), Epi-Differentiability of Integral
        Functionals with Applications,
        <I>Trans. American Mathematical Society</I>
        347, 443-459.


<br/> <br/>

<li> P. D. Loewen and H. Zheng (1994), Generalized Conjugate Points for
        Optimal Control Problems, <I>J Nonlinear Analysis, 
	Theory, Method and Applications</I> 22, 771-791.

<br/> <br/>

<li> H. Zheng (1994), Second Order Necessary Conditions for Differential
        Inclusion Problems, <I>Applied Mathematics and Optimization</I>
        30, 1-14.


</UL>

<br/> <br/>