职 称：副教授
研究方向：金融工程、风险管理
教授课程：金融工程、风险管理
E - mail：hongbiao.z@gmail.com；电话：
| 序号 | 项目名称 | 项目编号 | 项目来源 | 起止时间 | 项目经费 |
| 1 | 传染性风险: 模型拓展，模拟算法及其在金融与保险中的应用 | 71401147 | 国家自然科学基金管理科学部项目 | 2015-2017 | 21万 |
金融工程、风险管理、资产定价、保险精算、随机过程、计算金融 等数量金融交叉领域
2023-现在 韦德官方网站, 韦德官方网站，金融统计与风险管理系 副教授（常任）
2017-2023 韦德官方网站, 韦德官方网站，金融统计与风险管理系 副教授
2016-2017 厦门大学 经济学院金融系、王亚南经济研究院 金融学副教授
2013-2016 厦门大学 经济学院金融系、王亚南经济研究院 金融学助理教授
2012-2013 新加坡国立大学 风险管理研究所 研究员
2007-2008 Paternoster (高盛全资子公司) 伦敦 投资策略部 分析师
详见个人主页:http://hongbiaozhao.weebly.com/
22.Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market, with Chao Ma, Hao Zhang [.PDF]
- Journal of Futures Markets, 43(4), 480-515, 2023
- presented at AEA Annual Meeting, 2021
21.Shot-noise Cojumps: Exact Simulation and Option Pricing, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 74(3), 647-665, 2023
20.A Cox Model for Gradually Disappearing Events, with Angelos Dassios, Jiwook Jang, Yan Qu [.PDF]
- Probability in the Engineering and Informational Sciences, 37(1), 214-231, 2023
19.A Skellam Market Model for Loan Prime Rate Options, with Zhanyu Chen, Kai Zhang [.PDF]
- Journal of Futures Markets, 42(3), 525-551, 2022
18.Exact Simulation of Extrinsic Stress-Release Processes, with Young Lee, Patrick Laub, Thomas Taimre, Jiancang Zhuang [.PDF]
- Journal of Applied Probability, 59(1), 105-117, 2022
17.Random Variate Generation for Exponential and Gamma Tilted Stable Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 31(4), 1-21, 2021
16.Exact Simulation of Ornstein-Uhlenbeck Tempered Stable Processes, with Angelos Dassios, Yan Qu [.PDF]
- Journal of Applied Probability, 58(2), 347-371, 2021
15.A Two-Phase Dynamic Contagion Model for COVID-19, with Zezhun Chen, Angelos Dassios, Valerie Kuan, Jia Wei Lim, Yan Qu, Budhi Surya [.PDF] [.HTML]
- Results in Physics, 26, 104264, July, 2021
14.Exact Simulation of Gamma-driven Ornstein-Uhlenbeck Processes with Finite and Infinite Activity Jumps, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 72(2), 471-484, 2021
13.Efficient Simulation of Lévy-driven Point Processes, with Angelos Dassios, Yan Qu [.PDF]
- Advances in Applied Probability, 51(4), 927-966, 2019
- presented at 10th World Congress of the Bachelier Finance Society, 2018
- Excellent Paper Award of FSERM 2017
12.A Generalised CIR Process with Externally-exciting and Self-exciting Jumps and its Applications in Insurance and Finance, with Angelos Dassios, Jiwook Jang [.PDF]
- Risks, 7(4), 103, 2019
11.Moments of Renewal Shot-noise Processes and their Applications, with Angelos Dassios, Jiwook Jang [.PDF]
- Scandinavian Actuarial Journal, 2018(8), 727-752, 2018
10.Exact Simulation for a Class of Tempered Stable and Related Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 28(3), 20:1-20:21, 2018
9.Efficient Simulation of Clustering Jumps with CIR Intensity, with Angelos Dassios [.PDF]
- Operations Research, Financial Engineering Area, 65(6), 1494-1515, 2017
8.A Generalised Contagion Process with an Application to Credit Risk, with Angelos Dassios [.PDF]
- International Journal of Theoretical and Applied Finance, 20(1), 1-33, 2017
7.Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays,
with Kar Wai Lim, Young Lee, Leif Hanlen [.PDF]
- Journal of Machine Learning Research, W&CP, 63, 238-253, 2016
- Best Paper Award, The 8th Asian Conference on Machine Learning (ACML), 2016
6.A Risk Model with Renewal Shot-noise Cox Process, with Angelos Dassios, Jiwook Jang [.PDF]
- Insurance: Mathematics and Economics, 65, 55-65, 2015
5.A Markov Chain Model for Contagion, with Angelos Dassios [.PDF]
- Risks, 2(4), 434-455, 2014 (invited publication)
4.Exact Simulation of Hawkes Process with Exponentially Decaying Intensity, with Angelos Dassios [.PDF]
- Electronic Communications in Probability, 18(62), 1-13, 2013
- featured by Wolfram MathWorld
3.A Risk Model with Delayed Claims, with Angelos Dassios [.PDF]
- Journal of Applied Probability, 50(3), 686-702, 2013
2.Ruin by Dynamic Contagion Claims, with Angelos Dassios [.PDF]
- Insurance: Mathematics and Economics, 51(1), 93-106, 2012
1.A Dynamic Contagion Process, with Angelos Dassios [.PDF]
- Advances in Applied Probability, 43(3), 814-846, 2011
- presented at LSE PhD Student Poster Exhibition, 2011 [.PDF]
- presented at 6th World Congress of the Bachelier Finance Society, 2010
• 高等教育上海市优秀教学成果, 2021
• 经理提名奖, 韦德官方网站, 2018, 2020
• 第十五届金融系统工程与风险管理国际年会优秀论文奖, 2017
• “最佳教师”, 王亚南经济研究院, 厦门大学, 2013-2014; 2014-2015; 2016-2017
• “本科课程优秀教学奖”, 经济学院, 厦门大学, 2016
• 第八届亚洲机器学习年会“最佳论文奖“, 2016
• “中国电信天翼奖”教金, 厦门大学, 2015
• 青年教师教学技能比赛暨英语教学比赛, 经济学院, 厦门大学, 三等奖, 2014; 二等奖, 2015
• 厦门市高层次引进人才, 2013
• “德意志银行金融风险管理与监管”一等奖, 伦敦, 2012
• 研究奖学金, 伦敦政治经济学院, 2008-2012
• 国际会议奖学金, 伦敦政治经济学院, 2009; 2010
• 英国国家 EPSRC 博士培训奖学金, 2008-2009
