Refereed journal papers:
- A. Davey, M. Monoyios, H. Zheng (2021), Duality for
Optimal Consumption with Randomly Terminating Income, Mathematical
Finance 31, 1275-1314. (arXiv)
- T. Wang, H. Zheng (2021), Closed-loop Equilibrium
Strategies for General Time-inconsistent Optimal Control Problems, SIAM
J Control Optimization 59, 3152-3178. (pdf)
- S.E. Choi, H.J. Jang, K. Lee, H. Zheng (2021), Optimal
Market Making Strategies Under Synchronised Order Arrivals with Deep
Neural Network, J Economic Dynamics Control 125, 104098, 1-25. (pdf)
- J.L. Luo, H. Zheng (2021), Dynamic Equilibrium of
Market Making with Price Competition, Dynamic Games Applications
11, 556-579. (pdf)
- W.K. Ching, J.W. Gu, H. Zheng (2021), On Correlated
Defaults and Incomplete Information, J Industrial Management
Optimization 17, 889-908. (ssrn)
- J.W. Gu, M. Steffensen, H. Zheng (2021), A Note on P-
vs. Q-Expected Shortfall Portfolio Constraints, Quantitative Finance
21, 263-270. (pdf)
- H.J. Jang, L. Jia, H. Zheng (2020), Why Should We Invest in CoCos than Stocks? An Optimal Growth Portfolio Approach,
European J Finance 26, 1606-1622. (ssrn)
- J.W. Gu, S.J. Si, H. Zheng (2020), Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation, SIAM J Control Optimization 58, 866-894.
(pdf)
- 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, European J Operational Research 281, 341-356.
(pdf)
- 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, European J Operational Research 280, 428-440.
(pdf)
- J.T. Ma, J. Xing, H. Zheng (2019), Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems, SIAM J Control Optimization 57, 2092-2121.
(pdf)
- B. Bian, H. Zheng (2019), Turnpike Property and Convergence Rate for an Investment and Consumption
Model, Mathematics and Financial Economics 13, 227-251. (arXiv)
- Y.H. Dong, H. Zheng (2019), Optimal Investment of DC Pension Plan under Short-selling Constraints and Portfolio Insurance, Insurance, Mathematics and Economics 85, 47-59. (pdf)
- L. Jia, M. Pistorius, H. Zheng (2019), Dynamic Portfolio Optimization with Looping Contagion Risk, SIAM J Financial Mathematics 10, 1-36. (arXiv)
- Y. Li, H. Zheng (2018), Dynamic Convex Duality in Constrained Utility Maximization, Stochastics 90, 1145-1169.
(pdf)
- H.J. Jang, Y.H. Na, H. Zheng (2018), Contingent Convertible Bonds with the Default Risk Premium, International Review of Financial Analysis 59, 77-93. (ssrn)
- J.W. Gu, M. Steffensen, H. Zheng (2018), Optimal Dividend Strategies of Two Collaborating Businesses
in the Diffusion Approximation Model, Mathematics of Operations Research 43, 377-398.
(ssrn)
- Y. Li, H. Zheng (2018), Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations, SIAM J Control Optimization 56, 1130-1153.
(pdf)
- W.K. Ching, J.W. Gu, X.Y. Li, T.K. Siu, H. Zheng (2017), On Infectious Model for Dependent Defaults, Risk and Decision Analysis 6, 249-261. (pdf)
- K.C. Wong, S.C.P. Yam, H. Zheng (2017), Utility-Deviation-Risk Portfolio Selection, SIAM J Control Optimization 55, 1819-1861. (pdf)
- 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, European J Operational Research 262, 851-862. (pdf)
- Y.T. Huang, Q.S. Song, H. Zheng (2017), Weak Convergence of Path-dependent SDEs in Basket CDS Pricing with Contagion Risk, SIAM J Financial Mathematics 8, 1-27. (pdf)
- J.W. Gu, B. Jiang, W.K. Ching, H. Zheng (2016), On Modeling Economic Default Time: A Reduced-Form Model Approach, Computational Economics 47, 157-177. (pdf)
- B. Bian, N. Wu, H. Zheng (2016), Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact, Discrete and Continuous Dynamical Systems (Series B) 21, 1401-1420. (pdf)
- J.T. Ma, D.Y. Deng and H. Zheng (2016), Convergence Analysis and Optimal Strike Choice for Static Hedges of General Path-independent Payoffs, Quantitative Finance 16, 593-603.
(pdf)
- C. Liu and H. Zheng (2016), Asymptotic Analysis for Target Asset Portfolio Allocation with Small Transaction Costs, Insurance: Mathematics and Economics 66, 59-68.
(pdf)
- N. Westray and H. Zheng (2015), Constrained Nonsmooth Utility Maximization on the Positive Real Line, Mathematical Control and Related Fields 5, 679-695.
(pdf)
- B. Bian, S. Hu, Q. Yuan, H. Zheng (2015), Constrained Viscosity Solution to the HJB Equation Arising in
Perpetual American Employee Stock Options Pricing, Discrete and Continuous Dynamical Systems (Series A) 35, 5413-5433. (pdf)
- X. Dong and H. Zheng (2015), Intensity Process for a Pure Jump Levy Structural Model with Incomplete Information, Stochastic Processes and Their Applications 125,
1307-1322.
(arxiv)
- Y. Li and H. Zheng (2015), Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models, Applied Mathematics and Optimization 71, 39-77. (arxiv)
- B. Bian and H. Zheng (2015), Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions, J Economic Dynamics and Control 51, 28-49.
(arxiv)
- G. Xu and H. Zheng (2014), Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models, International J Theoretical and Applied Finance 17, 1-15.
- J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2014), On Reduced Form Intensity-based Model with Trigger Events,
J Operations Research Society 65, 331-339.
- J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2013),
On Pricing Basket Credit Default Swaps,
Quantitative Finance 13, 1845-1854.
- J.W. Gu, W.K. Ching, T.K. Siu, H. Zheng (2013), On Modeling Credit Defaults: A Probabilistic Boolean Network Approach, Risk and Decision Analysis 4, 119-129.
- H. Zheng (2013), Contagion Models a la carte: Which One to Choose?, Quantitative Finance 13, 399-405.
- B. Bian, S. Miao, H. Zheng (2011), Smooth Value Functions for a Class of Nonsmooth
Utility Maximization Problems,
SIAM J Financial Mathematics 2, 727-747.
- N. Westray and H. Zheng (2011), Minimal Sufficient Conditions for a Primal Optimizer in Nonsmooth
Utility Maximization, Finance and Stochastics 15, 501-512.
- C. Czichowsky, N. Westray, H. Zheng (2011), Convergence in the Semimartingale Topology and Constrained Portfolios,
Seminaire de Probabilites XLIII, 395-412.
- G. Xu and H. Zheng (2010), Basket Options Valuation for a Local Volatility Jump-Diffusion Model
with the Asymptotic Expansion Method,
Insurance: Mathematics and Economics 47, 415-422.
- G. Xu and H. Zheng (2009), Approximate Basket Options Valuation for a Jump-Diffusion Model,
Insurance: Mathematics and Economics 45, 188-194.
- H. Zheng (2009), Efficient Frontier of Utility and Conditional VaR, Mathematical
Methods of Operations Research 70, 129-148.
- L. Jiang and H. Zheng (2009), Basket CDS Pricing with Interacting Intensities,
Finance and Stochastics 13, 445-469.
- N. Westray and H. Zheng (2009), Constrained Nonsmooth Utility Maximization without Quadratic Inf-Convoluiton, Stochastic Processes
and Their Applications 119, 1561-1579.
- Y.K. Shen and H. Zheng (2008), Jump Liquidity Risk and its Impact on CVaR, J Risk Finance 9, 477-491.
- H. Zheng (2007), Macaulay Duration for Nonparallel Shifts, Annals of Operations Research 151, 179-191.
- H. Zheng (2006), Interaction of Credit and
Liquidity Risks, J Banking Finance 30, 391-407.
- H. Zheng (2006), Efficient Hybrid Methods for Portfolio Credit Derivatives,
Quantitative Finance 6, 349-357.
- R.B. Vinter and H. Zheng (2003),
Some Finance Problems Solved with Nonsmooth Optimization
Techniques, J Optimization, Theory and
Application 119, 1-18.
- D.E. Allen, L.C. Thomas, H. Zheng (2003),
The Duration Derby: A Comparison of Duration Strategies
in Asset Liability Management,
J Bond Trading Management 1, 371-380.
- M. R. Pinho, R. B. Vinter, H. Zheng (2001), A Maximum Principle for Optimal Control
Problems with Mixed Constraints,
IMA J Mathematical Control and Information 18, 189-205.
- D.E. Allen, L.C. Thomas, H. Zheng (2000),
Stripping Coupons with Linear Programming,
J Fixed Income 10, 80-87.
- R. B. Vinter and H. Zheng (2000), Necessary Conditions for Free End-Time, Measurably Time
Dependent Optimal Control
Problems with State Constraints, J Set-Valued
Analysis 8, 11-29.
- R. B. Vinter and H. Zheng (1998), Necessary Conditions for Optimal Control Problems with State Constraints,
Trans. American Mathematical Society 350, 1181-1204.
- A. Gautier, F. Granot, H. Zheng (1998), Qualitative Sensitivity Analysis
in Monotropic Programming, Mathematics
of Operations Research 23, 695-707.
- R. B. Vinter and H. Zheng (1997), The Extended Euler Lagrange Condition
for Nonconvex Variational Problems,
SIAM J Control Optimization 35, 56-77.
- P. D. Loewen and H. Zheng (1995), Epi-Differentiability of Integral
Functionals with Applications,
Trans. American Mathematical Society
347, 443-459.
- P. D. Loewen and H. Zheng (1994), Generalized Conjugate Points for
Optimal Control Problems, J Nonlinear Analysis,
Theory, Method and Applications 22, 771-791.
- H. Zheng (1994), Second Order Necessary Conditions for Differential
Inclusion Problems, Applied Mathematics and Optimization
30, 1-14.