Amsterdam Avenue, Room 928
York, NY 10027, USA
(212) 851- 2143
Here are my Curriculum Vitae and PhD Thesis.
of Electronics Engineering and Computer Science, Peking University,
Research InterestsI am interested in problems which arise in the broad areas of applied probablility, mathematical statistics and financial engineering.
- Fall 2013: W4437.001, Time Series Analysis, T/R 7:40-8:55pm.
- Summer 2013: S4107D, Statistical Inference, M/T/W/R 6:15-7:50pm.
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
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.
- Stochastic modeling and fair valuation of drawdown insurance, Hongzhong Zhang, Tim Leung,
and Olympia Hadjiliadis, forthcoming Insurance, Mathematics and Economics, (DOI) 10.1016/j.insmatheco.2013.10.006, vol. 53, no.3, pp. 840-850, (2013). [SSRN][arXiv]
times, occupation times, tri-variate laws and the forward Kolmogorov
equation for a one-dimensional diffusion with memory, Martin Forde,
Andrey Pogudin, Hongzhong Zhang, Advances
in Applied Probability, vol. 45, no. 3, pp. 860-875, (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 Journal 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
Olympia Hadjiliadis, Proceedings of the 51st IEEE
Conference on Decision and Control, Maui, Hawaii, December 10-13, 2012. [PDF]
- Online agorithms for classification of urban objects in 3D point clouds, Ioannis Stamos, Olympia Hadjiliadis, Hongzhong Zhang and Thomas Flynn, Proceedings of 3DIMPVT 2012, ETH Zurich, Switzerland,
October 13-15, 2012. [PDF]
- 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,
Poor, Proceedings of The 11th
International Conference on Infomation
Fusion, Cologne, Germany, June 30th-July 3rd, 2008. <Invited
asymptotics for a general local-stochastic volatility model: curvature
and the heat kernel expansion, John Amstrong, Martin Forde, Hongzhong Zhang. [PDF]
- Robustness of the N-CUSUM stopping rule in a Wiener disorder problem, Hongzhong Zhang, Neofytos Rodosthenous and Olympia Hadjiliadis.
- The frequency of drawdowns, David Landriault, Bin Li, Hongzhong Zhang.
- Large deviations for boundary local time and trading volume under proportional transaction costs, Martin Forde, Rohini Kumar, Hongzhong Zhang. [PDF]
- 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.
- Quickest detection in coupled system, Olympia Hadjiliadis, Tobias Schafer, Hongzhong Zhang, and H. Vicent Poor.
Work in Progress
- Optimal multiple stopping under Levy processes with financial applications, Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang.
- Fall 2010 - Spring 2014: Assistant Professor, Department of
- Fall 2009 - Spring 2010: GAA Adjunct Lecturer, Department of Mathematics and Statistics, Hunter College of CUNY.
- Fall 2006 - Spring 2009: GTF Adjunct Lecturer, Department of Mathematics, City College of CUNY.
- Spring 2007: Teaching Assistant, Masters in Financial Engineering, Baruch College of CUNY.