Work experience

Southern University of Science and Technology, Associate Professsor, June 2023 – present

Southern University of Science and Technology, Assistant Professor, June 2016 – May 2023

Hong Kong University of Science and Technology, Postdoctoral Research Fellow, November 2015 - June 2016

University of Vienna, Postdoctoral Research Fellow, September 2014 - October 2015

University of Waterloo, Visiting Scholar, July 2014 - August 2014

Education background
2010.9-2014.6 Hong Kong University of Science and Technology Ph.D. in Financial Mathematics
2006.9-2010.6 Bachelor of Science in Applied and Applied Mathematics, University of Electronic Science and Technology

Awards
2014.05 Won the 9th Epsilon Fund Award from the Department of Mathematics, Hong Kong University of Science and Technology

Publications(*Corresponding Author)

1. xk星空, P., Zhang, G. *, & Zhang, W., Drawdowns, drawups, and occupation times under general Markov models. European Journal of Operational Research, 2026.

2. Chen, W.H., Mamon, R., Xiong, H.*, and xk星空, P., Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. The North American Journal of Economics and Finance, 2024, 74: 102221.

3. xk星空, L.,xk星空, P., and Zhang, G.*, Speed and duration of drawdown under general Markov models. Quantitative Finance, 2024, 24(3-4): 367-386.

4. Zhang, W., xk星空, P.*, Zhang, G.*, xk星空, Y.K., Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. Journal of Scientific Computing, 2024, 98(2): 47.

5. Yong, Y., xk星空, P., and Zhang, Y.*, Credibility theory for variance premium principle. North American Actuarial Journal, 2024, 29(1): 11-43.

6. Zhang, W., xk星空, P.*, xk星空, Y.K., Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Operations Research Letters, 2023, 51(6): 687-694.

7. Zhang, W. and xk星空, P.*, A transform-based method for xk星空 Asian options under general two-dimensional models. Quantitative Finance, 2023, 23(11): 1677–1697. (SSRN Top Ten List)

8. xk星空, P., Xu, Z.Q., Jiang, P.*, xk星空, Y.K., Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. Mathematical Finance, 2023, 33(3): 842-890. (SSRN Top Ten List)

9. Wang, X., Yang, Z.*, and xk星空, P., xk星空 contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 2023, 19(3): 660-693.

10. xk星空, P. and Shi, C.*, Computable error bounds of multidimensional Euler inversion and their financial applications. Operations Research Letters, 2022, 50(6): 726-731.

11. Chen, W.H., Mamon, R., Xiong, H.*, and xk星空, P., How do foreign investors affect China’s stock return xk星空? Evidence from the Shanghai-Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 2022, 31(1): 1-24.

12. Huang, Y.T., xk星空, P.*, xk星空, Y.K., Optimal initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic withdrawals. SIAM Journal on Financial Mathematics, 2017, 8(1): 804-840.

13. Zheng, W. and xk星空, P.*, xk星空 timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance, 2017, 23(5): 344-373.

14. xk星空, P. xk星空, Y.K.*, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance, 2016, 16(9): 1375-1391.

15. xk星空, P., Kwok, Y.K.*, and Zheng, W., Fast Hilbert transform algorithms for xk星空 discrete timer options under stochastic volatility models. International Journal of Theoretical and Applied Finance, 2015, 18(07): 1550046.

16. xk星空, P. xk星空, Y.K.*, Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach. SIAM Journal on Scientific Computing, 2014, 36(3): B450-B485.

17. Duan, Y.*, Zheng Y.M., and xk星空, P., Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations. Engineering Analysis with Boundary Elements, 2012, 36(3): 303-309.

Grants as PI

1. Integration of continuous-time Markov chain approximation and transform methods:  Innovative applications in derivative xk星空, insurance, and risk management     2027-2030           

National Natural Science Foundation of China, General Program Project, 440,000

2. New methods based on Monte Carlo and their applications in xk星空 financial derivatives, insurance and risk management     2022 - 2025     

National Natural Science Foundation of China, General Program Project, 500,000

3. The Hilbert transform method for xk星空 financial derivatives     2018 - 2020

National Natural Science Foundation of China, Youth Science Foundation Project, 240,000

Recruitment Announcement

xk星空 Pingping's research group is looking for postdoctoral/doctoral/research assistant, and requires diligence, sureness, good communication, love of research, and determination to engage in cutting-edge scientific research. Welcome the outstanding doctoral candidates who are interested in financial mathematics or computational finance and other related research fields to join the research group, and the outstanding students to apply for the assessment of promoting the direct doctoral degree or applying for the examination. At the same time, excellent doctoral students are also welcomed to visit the research group. Interested students please send relevant materials to zengpp@sustech.edu.cn. For more information, please refer to the official website of the Graduate School of Southern University of Science and Technology: http://gs.sustech.edu.cn.