'Men of genius are meteors intended to burn to light their century.' - Napoleon Bonaparte

INTRODUCTION

I am a third year PhD student at the University of Warwick working with Professor David Hobson. I belong to two research groups: Stochastic Finance at Warwick and Probability at Warwick. Prior to my PhD, I received my Bachelor degree in mathematics and applied mathematics from Zhejiang University.

 

RESEARCH INTEREST

My research is about topics in mathematical finance, which consists of hedging, pricing and investment in a general sense. See here for an excellent survey by Professor David Hobson. My last topic considers the optimal consumption of a non-traded asset over an infinite horizon. Currently, I work on the optimal portfolio and pricing with a non-traded asset and a partially correlated hedging asset. In addition, I am interested in the following topics in the incomplete market (no unique equivalent martingale measure):

• Option pricing/optimal investment with transaction costs (modelled by local times);
• Utility theory and indifference pricing (the highest/lowest price of the option buyer/writer in the incomplete market depending on the choice of utility function);
• The cost of illiquidity and price impact;
• Option pricing under different models, e.g. stochastic volatility;
• Numerical methods solving partial/ordinary differential equations;

CONFERENCES/COURSES

• Sep, 2012 - Frontiers of Finance 2012 Conference, Warwick
• Jul, 2012 - Optimal stopping, optimal control and finance, EPSRC Symposium on Probability, Warwick
• Jun, 2012 - Numerical Solution of Stochastic PDEs, EPSRC Symposium on Probability, Warwick
• Sep, 2011 - 4th European Summer School in Financial Mathematics, Zurich
• Apr, 2011 - Short Course in Probability, University of Oxford
• Apr, 2011 - Random Structures and Dynamics, University of Oxford
• Apr, 2011 - 47th Gregynog Statistical Conference, Wales

 

EMPLOYMENT

Prior to my PhD, I worked as a Quantitative Analyst in the department of measurement science in the Nielsen Company (previously AC Nielsen) from Aug 2009 - Aug 2010, who invented the idea of 'Market Share'. My key responsibility is to invent/improve models and analyze market data in the region of Asia Pacific to understand consumer behaviour and provide clients with an insight for more robust decision-making.

TUTORIAL

• ST333/ST406 Applied Stochastic Process, Term 2, 2012 - 2013
• ST202 Stochastic Processes, Term 1, 2011 - 2012
• ST111/112 Probability A/B, Term 2, 2011 - 2012
• ST111/112 Probability A/B, Term 2, 2010 - 2011

CONTACT DETAILS

EMAIL

yeqi dot zhu at warwick dot ac dot uk

CV upon request