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Wendong Zheng, Ph.D.

Affiliations: 
2012 HKUST Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong 
Area:
Mathematics, Applied Mathematics
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"Wendong Zheng"
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Y.K Kwok grad student 2012 HKUST
 (Analytic methods and numerical algorithms for pricing and hedging discretely sampled variance products and volatility derivatives.)

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Publications

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Zheng W, Zeng P. (2016) Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance. 23: 344-373
Zheng W, Yuen CH, Kwok YK. (2016) Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes International Journal of Theoretical and Applied Finance. 19: 1-29
Zeng P, Kwok YK, Zheng W. (2015) Fast Hilbert Transform Algorithms for Pricing Discrete Timer Options Under Stochastic Volatility Models International Journal of Theoretical and Applied Finance. 18: 1550046
Zheng W, Kwok YK. (2015) Pricing options on discrete realized variance with partially exact and bounded approximations Quantitative Finance. 15: 2011-2019
Zheng W, Kwok YK. (2014) Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance Applied Mathematical Finance. 21: 1-31
Zheng W, Kwok YK. (2014) Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives under Additive Processes Journal of Computational Finance. 18: 3-30
Zheng W, Kwok YK. (2011) Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps Mathematical Finance. 24: 855-881
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