Hongzhong's Homepage

1255 Amsterdam Avenue, Room 928

New York, NY 10027, USA

Phone: (212) 851- 2143

Education

I am interested in problems which arise in the broad areas of applied probablility, mathematical statistics and financial engineering.

Summer 2013: S4107D, Statistical Inference, M/T/W/R 6:15-7:50.
Spring 2013: G6501.001, Stochastic Processes with Applications, M/W 7:40-8:55pm. G6505.002, Stochastic Methods in Finance, M/W 6:10-7:25pm.
Fall 2012: W4437.001, Time Series Analysis, T/R 7:40-8:55pm.
Spring 2012: W4437.002, Time Series Analysis, M/W 6:10-7:25pm. W4635.001, Stochastic Processes for Finance, M/W 7:40-8:55pm.
Fall 2011: W6501.001, Stochastic Processes with Applications, M/W 6:10-7:25pm.
Spring 2011: W1211.001, Introduction to Statistics, T/R 2:40-3:55pm. W4330, Data Analysis with Multilevel Regression, T/R 6:10-7:25pm.
Fall 2010: G6505.001, Stochastic Methods in Finance, M/W 6:10-7:25pm.
Risk seminar, W 4:10-5:25pm.
Columbia Mathematical Finance Seminar, R 4:10-5:25pm.

Hitting times, occupation times, tri-variate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory, Martin Forde, Andrey Pogudin, Hongzhong Zhang, forthcoming Advances in Applied Probability, vol. 45, no. 3, (2013). [PDF]
Drawdowns and the speed of market crash, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability, (DOI) 10.11007/s11009-011-9262-7, vol. 14, no. 3, pp. 739-752, (2012). [PDF]
Maximum drawdown insurance, Peter Carr, Hongzhong Zhang and Olympia Hadjiliadis, International Jounral of Theoretical and Applied Finance, vol. 14, no. 8, pp. 1195-1230, (2011). [PDF]
Drawdowns and rallies in a finite time horizon, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability, vol. 12, no. 2, pp. 293-308, (2010). [PDF]
One-shot schemes for decentralized quickest detection, Olympia Hadjiliadis, Hongzhong Zhang, H.Vincent Poor, IEEE Transactions on Information Theory, vol. 55, no. 7, pp. 3346-3359, (2009). [PDF]

Quickest detection in a system with correlated noise, Hongzhong Zhang and Olympia Hadjiliadis, to appear in Proceedings of the 51st IEEE Conference on Decision and Control, Maui, Hawaii, December 10-13, 2012.
Sequential classifications in 3-D Point clouds of urban scenes, Ioannis Stamos, Olympia Hadjiliadis, Hongzhong Zhang and Thomas Flynn, to appear in Proceedings of 3DIMPVT 2012, ETH Zurich, Switzerland, October 13-15, 2012.
One-shot schemes in discrete and continuous time models, Olympia Hadjiliadis, Hongzhong Zhang, H.Vincent Poor, Proceedings of The 2nd International Workshop on Sequential Methodologies, Troyes, France, June 15th-June 17th, 2009. <Invited Session>
One-shot schemes for decentralied quickest detection, Olympia Hadjiliadis, Hongzhong Zhang, H.Vincent Poor, Proceedings of The 11th International Conference on Infomation Fusion, Cologne, Germany, June 30th-July 3rd, 2008. <Invited Session>

Occupation time, drawdowns, and drawups for one-dimensional regular diffusion, Hongzhong Zhang.
Competitive control of market share and strategic exit, H. Dharma Kwon and Hongzhong Zhang.
Stochastic modeling and fair valuation of drawdown insurance, Hongzhong Zhang, Tim Leung, and Olympia Hadjiliadis.
Quickest detection in coupled system, Olympia Hadjiliadis, Tobias Schafer, Hongzhong Zhang, and H. Vicent Poor.
Formulas for the Laplace transform of stopping times based on drawdowns and drawups, Hongzhong Zhang and Olympia Hadjiliadis, preprint.

Robustness of the N-CUSUM stopping rule in change-point detection, Hongzhong Zhang, Neofytos Rodosthenous and Olympia Hadjiliadis.

HZ 2009