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Hongzhong Zhang

Identifiers

  • name variant Hongzhong Zhang 0.60 · backfill

Papers (17)

  1. On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models q-fin.MF · 2017 · author #2
  2. Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models q-fin.MF · 2017 · author #2
  3. A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes q-fin.MF · 2017 · author #3
  4. Optimal Trading with a Trailing Stop q-fin.MF · 2017 · author #2
  5. Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ q-fin.PR · 2016 · author #2
  6. On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models q-fin.MF · 2015 · author #3
  7. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting q-fin.MF · 2015 · author #3
  8. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models q-fin.MF · 2015 · author #3
  9. Robustness of the ${N}$-CUSUM stopping rule in a Wiener disorder problem math.ST · 2014 · author #1
  10. Large deviations for the boundary local time of doubly reflected Brownian Motion math.PR · 2014 · author #3
  11. Quickest detection in coupled systems math.OC · 2014 · author #1
  12. On the Frequency of Drawdowns for Brownian Motion Processes q-fin.PR · 2014 · author #3
  13. Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion q-fin.PR · 2013 · author #4
  14. Stochastic Modeling and Fair Valuation of Drawdown Insurance q-fin.PR · 2013 · author #1
  15. Occupation times, drawdowns, and drawups for one-dimensional regular diffusions math.PR · 2013 · author #1
  16. Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups math.PR · 2009 · author #1
  17. One shot schemes for decentralized quickest change detection cs.IT · 2008 · author #2

Mentions

  • 1506.08408 #3 · backfill · confidence 0.70 Hongzhong Zhang
  • 1505.07705 #3 · backfill · confidence 0.70 Hongzhong Zhang
  • 1505.07313 #3 · backfill · confidence 0.70 Hongzhong Zhang
  • 1410.8765 #1 · backfill · confidence 0.70 Hongzhong Zhang
  • 1409.1972 #3 · backfill · confidence 0.70 Hongzhong Zhang
  • 1403.3931 #1 · backfill · confidence 0.70 Hongzhong Zhang
  • 1403.1183 #3 · backfill · confidence 0.70 Hongzhong Zhang
  • 1312.2281 #4 · backfill · confidence 0.70 Hongzhong Zhang
  • 1310.3860 #1 · backfill · confidence 0.70 Hongzhong Zhang
  • 1304.8093 #1 · backfill · confidence 0.70 Hongzhong Zhang
  • 0911.1575 #1 · backfill · confidence 0.70 Hongzhong Zhang
  • 0808.0291 #2 · backfill · confidence 0.70 Hongzhong Zhang

Frequent Coauthors