Research output per year
Research output per year
Personal profile
Research interests
retirement income product design and pricing, portfolio optimisation, derivatives pricing and risk management.
Education/Academic qualification
Financial Mathematics, PhD, MONASH UNIVERSITY
Mar 2010 → Sept 2013
Award Date: 1 May 2014
Computational Finance, Master of Science with Distinction, Technische Universiteit Delft (Delft University of Technology)
Sept 2007 → Jun 2009
Award Date: 1 Jul 2009
Mathematics, Bachelor of Science, Shandong University
Sept 2003 → Jun 2007
Award Date: 1 Jul 2007
Finance, Bachelor of Economics, Shandong University
Sept 2003 → Jun 2007
Award Date: 1 Jul 2007
Research area keywords
- volatility modelling
- option pricing
- risk management
- retirement income products
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Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2019, In: Quantitative Finance. 19, 3, p. 519-532 14 p.Research output: Contribution to journal › Article › Research › peer-review
13 Citations (Scopus) -
Dynamic volatility management: From conditional volatility to realized volatility
Zhang, R., Langrené, N., Tian, Y. & Zhu, Z., 20 Aug 2019, In: Journal of Investment Strategies. 8, 2, p. 37-67 31 p.Research output: Contribution to journal › Article › Research › peer-review
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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Zhang, H., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 1 Jun 2019, In: Journal of Computational Finance. 23, 1, p. 97-127 31 p.Research output: Contribution to journal › Article › Research › peer-review
4 Citations (Scopus) -
The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs
Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. C. & Hamza, K., 2016, Proceedings of 4th Annual International Conference on Operations Research and Statistics. Ganikhodjaev, N. (ed.). Singapore: Global Science and Technology Forum, p. 75-83 9 p.Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review
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Calibrating and pricing with a stochastic-local volatility model
Tian, Y., Zhu, Z., Lee, G. M., Klebaner, F. C. & Hamza, K., 2015, In: The Journal of Derivatives. 22, 3, p. 21-39 19 p.Research output: Contribution to journal › Article › Research › peer-review
19 Citations (Scopus)