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Professor Yongmin Zhang, Ph.D.
Department Finance Phone (0574)88180397
University University of Nottingham (Ningbo) Email [email protected]
Date October, 2012 Web www.nottingham.edu.cn
BIOGRAPHY SUMMERY
Yongmin Zhang was born in Ningbo, China. He attended Ningbo High School, afamous high school in China. During his high school years, he won many prizes inChinese national mathematics and science competitions. In 1985 he graduated withthe highest GPA in his class and was admitted to Fudan University exempting thenational entrance exams due to his outstanding academic performance. In 1989, heobtained his B.S. degree and won French U. A. P. Prize which was awarded to thestudent who has the best academic record in his graduating class in mathematicsin Fudan University. At the same year, he was admitted to Fudan graduate schoolexempting the entrance exams.
In 1989, Yongmin Zhang was one of only five students nationwide who was selected byProfessor David Benney (MIT) and Professor Robert Bryant (UC Berkeley) throughoral exams on behalf of American Mathematical Society and Society of Industrial andApplied Mathematics to study Ph.D. degree in United States under Wang FoundationProgram. He was admitted by five top universities with full scholarship supportincluding University of Chicago, and California Institute of Technology.
In 1990, he came to University of Chicago to study applied mathematics under di-rection of Prof. Todd Dupont who is a pioneer in numerical analysis. He earnedhis MS degree in 1991 and his Ph.D. degree in 1997. His thesis concerned aboutfast numerical solutions for variational inequalities which have many applications inengineering such as hydropower station management and oil pipeline management,and in finance such as American option pricing modeling and optimal portfolio man-agement. One major result of his thesis is the development of a multilevel projectionalgorithm, a fast computational method to solve free boundary problems. This workwon Outstanding Paper Award in 11th Annual Conference in Applied Mathematics.Another major contribution of his thesis is the establishment of discrete maximumprinciple for variational inequality. This result improved a classical theorem for ob-stacle problems which was proved by a famous German mathematician J. Nitschethirty yeas ago.
While he studied for his Ph.D. at the University of Chicago, he worked as a lecturer inmathematics and a consultant for various projects both in and outside the university.He developed population genetic models and bone joint models in collaboration withprofessors in biology and medicine. He also developed CT imaging models for GEand a statistical software package for IBM.
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From 1997 to 2007, Prof. Zhang joined the State University of New York at StonyBrook where he led several large scale research projects with grants of millions of dol-lars from US Department of Energy with collaboration of several major institutionsincluding University of Michigan, University of Chicago, Los Alamos National Lab,Lawrence Livermore National Lab and Brookhaven National Lab, etc. His major re-search work involved computational methods for physics and finance. In the physicsarea, Prof. Zhang was the first person who successfully conducted front trackingsimulations for the first spherically diverging, hydro-dynamically unstable laboratoryexperiments of relevance to supernova. This work was a milestone breakthrough inthe area of high energy density physics and has been cited extensively in articlesin best physics journals such as Astrophysical Journal, Physics of Plasma, PhysicalReview Letters, Physical Review, and etc. Prof. Zhang was also the first personwho successfully conducted the front tracking simulations of inertial confinement fu-sion reactors in curved geometries on a super computer with more than 300 parallelprocessors. This work has been adopted by U.S. Department of Energy to simulateshock waves, nuclear energy generation, and nuclear weapon tests. He invented theradiation coupled interface tracking method. This is the only method which canaccurately evaluate the impact of the laser preheat on the interface structure andinstability in the laser induced laboratory experiment for supernova explosion. Hediscovered the “North Pole” effect in axisymmetric multiphase fluid mixing and thusestablished the nonconservation law of cross sectional symmetry of axisymmetricflow. This law has played a key role to understand the turbulent fluid mixing. Infinance area, he has developed robust numerical methods to determine the optimalexercise boundary in the American options. He also obtained a non-arbitrage con-dition regarding the price sensitivity to the perturbation of payoff function. As afaculty member and a Ph.D. advisor, Prof. Zhang directed two Ph.D. students whoare now faculty members in U.S. universities.
In 2007, Prof. Zhang started to work as a lead research analyst in Capital MarketResearch Group in J. P. Morgan. His research was on valuation and hedging formortgage backed securities. He developed several mortgage rate and prepaymentprediction models. In 2008, Prof. Zhang joined Wells Fargo as risk managementconsultant in Capital Market Finance division. He built mathematical models formanaging mortgage pipelines with balance of more than US$100 billion. He devel-oped formulas to calculate the rate lock option prices which are the cost of hedgingmortgage pipelines. He also provided recommendations and strategies for mortgagebond traders.
In 2009, Prof. Zhang joined Xian Jiaotong-Liverpool University where he taughtportfolio management, risk management, and insurance mathematics courses andsupervised students in financial mathematics. He was the principle investigator fora Qinglan project with grant from Jiangsu Province. He was a 90 minutes keynotespeaker at First China Forum on Financial Product Investment and Risk Manage-ment in 2010.
In 2011, Prof. Zhang was appointed as the Chair Professor in Finance and Director
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of Centres for Global Finance and International Finance at University of Notting-ham (Ningbo). He was also the Head of Department of Finance and Accouting from2011 to 2013. He has supervised about 20 M.S. and Ph.D. dissertations. His recentprojects include numerical methods for American options, optimal investment deci-sions in energy industry, finance and investment strategies in development of marineeconomy, optimal retirement age decision problems in stochastic control modelingfor investment consumption and labor supply, and finance for science and technol-ogy innovation with grant support from various agencies including National NaturalScience Foundation, Ningbo-Chinese Academy of Social Science Cooperation Fund,British Foreign & Commonwealth Office, Education Department of Jiangsu Province,and Ningbo Science and Technology Bureau. His recent joint work with U.S. collab-orators on real estate asset allocation was listed in top 10 most downloaded papers inSocial Science Research Network. This work was published in Journal of Real EstatePortfolio Management, a publication of American Real Estate Society.
Prof. Zhangs research areas span multiple disciplines including mathematics, financeand physics. He has authored more than 60 papers including more than 30 referredpublications, 15 confidential research papers at Wells Fargo and J. P. Morgan, andother conference proceeding papers or technical reports. Prof. Zhang has publishedhis work in Astrophysical Journal which ranks within top 15 highest cited scien-tific journals along with Nature journal according to Thomas Reuters ranking. Hehas published 11 papers in A*/A journals according to Australian Research Coun-cil journal ranking (Astrophysical Journal, Nonlinearity, Numerische Mathematik,and Physics of Plasma, Journal of Statistical Physics, SIAM Journal of ScientificComputing, Nonlinear Analysis, Computers & Mathematics with Applications). Hewas invited to give lectures in more than forty times in professional conferencesand major research institutes. He was 45 minutes keynote speaker at Fourth WorldCongress of Nonlinear Analysis held in Florida in 2004. He was invited to act asa referee for many top journals, Cambridge University Press and U. S. Departmentof Energy. He has served as a member of scientific committees for several majorinternational conferences in quantitative finance. He has also served many expertpanel review committees and advisory committees for various government agencies.He is a member of International Association of Financial Engineers and ProfessionalRisk Managers International Association.
Prof. Zhang has been recognized by many honours. He won the U. S. NationalScience Foundation Award in Astrophysics Program in 2005. He was the recipient ofthe Individual Development Award from State Uiversity of New York (2005, 2006).He was listed in Whos Who in Engineering Education (2002) and Whos Who inAmerica (2010). He has been a science and technology advisor for Haishu Govern-ment of Ningbo City since 2000. In 2010, he was honoured with the “Highly TalentedExpert” title by Chinese Ministry of Education. He won the “1000 Talents Plan”prize which is one of most prestigious honors awarded to overseas talents working inChina by Zhejiang government (2012). He was elected as one of the expert advisorsfor Zhejiang Government in 2012.
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EDUCATION
Institution Attended From To Degree Date Field
University of Chicago 10/91 6/97 Ph.D. 6/97 Applied MathematicsUniversity of Chicago 10/90 6/91 M.S. 6/91 Applied MathematicsFudan University 9/85 7/89 B.S. 7/89 Mathematics
PROFESSIONAL EXPERIENCE
Employer Title and Field From To
University of Nottingham (Ningbo) Chair Professor 1/2011 PresentFinance
Xi’an Jiaotong-Liverpool University Associate Professor 9/2009 12/2010Financial Mathematics
Wells Fargo Risk Management Consultant 9/2008 3/2010Capital Market Finance
J. P. Morgan Chase Lead Research Analyst 6/2007 8/2008Capital Market Research
State University of New York Assistant Professor 9/2001 5/2007at Stony Brook Mathematics, Physics and Statistics
Research Foundation Research Scientist 9/1997 8/2001of SUNY Mathematics, Physics and Statistics
University of Chicago Lecturer (part time) 9/1992 8/1997Mathematics
General Electric Research Associate (part time) 6/1996 9/1996Medical System
Harper College Adjunct Professor (part time) 1/1996 12/1996Computer Science
Oakton College Adjunct Professor (part time) 1/1996 6/1996Computer Science
IBM Statistician (part time) 2/1995 12/1995Statistical Analysis
Campbell Software Software Engineer (part time) 6/1993 1/1995Optimization Design
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ADMINISTRATION SERVICE INSIDE UNIVERSITY
Offices held, Committees, Special Programs, etc. Give dates of service.
University of Nottingham (Ningbo):
Director, Center for Global Finance, 2011-present
Director, International Finance Research Center, 2011-present
Head, Department of Finance, 2011-2013
Xi’an Jiaotong-Liverpool University:
Acting Head, Department of Mathematical Science, 2010-2011
Exam Officer, 2009-2010
State University of New York, Stony Brook:
Member, CAM Postdoc Search Committee, 2001-2007.
Chair/Member, Ph.D Defense Committee for William Garber, Yan Yu, YoungeunKim, Tianshi Lu, Srabasti Dutta, Bin Xu, Jingjie Liu, 2001-2007
Chair/Member, Ph.D Preliminary Exam Committee for Srabasti Dutta, Yan Yu,Xinfeng Liu, Tianshi Lu, Taewon Lee, Ming Zhao, Bin Xu, Dongyung Kim, PaulLevergne, 2001-2007
OTHER SERVICES OUTSIDE UNIVERSITY
Offices held, committees, programs, special studies, etc. Give details and dates of service.
Editorial Boards:
Ningbo Finance, Editoral Expert Group, 2012 to present
GFC and IFRC Review, Editor, 2012 to present
Ningbo-Nottingham International Finance Paper Series, Editor, 2012 to present
Media Appearances:
Interview in Zhejiang Daily, May, 2012
Interview in People’s Net, May, 2012
Interview in People’s Daily, April, 2012
Interview in Netease Finance, Novemeber, 2011
Interview in Shanghai Security News, November, 2011
Interview in Southeastern Business, July, 2011
Interview in Ningbo Daily, July, 2011
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Expert Panel Review Committees:
Ningbo Beilun Oversea Talent Program, 2012
International Energy Expert Forum, 2012
Ningbo Institute of Scientific and Technical Information, 2012
Ningbo Venture Capital Investment Fund, March, 2012 to present
Ningbo Best Natural Science Paper Award, November, 2011
Appraisal of Research Projects of Chinese Academy of Social Science, November,2011
Ningbo 12th Five Year Finance Plan, July, 2011
Government Consulting:
Zhejiang Oversea Talent Union, member, 2012 to present
The Committee for Energy, Resource, and Environment of Zhejiang Oversea TalentUnion, member, 2012 to present
Science and Technology Advisor for Haishu Government of Ningbo City, 2000 topresent
Conference Scientific and Organizing Committees:
Member of Scientific Committee, The 9th Conference on Stability of DifferentialEquations and Financial Mathematics, Jilin, July 20-25, 2013
Member of Scientific Committee and session organizer, International Conference onQuantitative Finance and Risk Management, Changchun, July 2-4, 2012
Chairman of Organizing Committee, The Second Conference of Ningbo-NottinghamInternational Finance Forum, Ningbo, July 11-12, 2011
Member of Advisory Committee, Zhejiang Accounting Development Forum, 2011 topresent
Organizer, Minisymposium, Third MIT Conference on Computational Fluid andSolid Mechanics, June 14-17, 2005
Grant Proposal Review Commitees:
Chinese Ministry of Education Grants
U. S. Department of Energy Grants
Grants of Joint Program of Ningbo Government and Chinese Academy of SocialScience
Grants of Nottingham University Business School China
Book Referee:
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Cambridge University Press
Houghton Mifflin Publishing Company
Journal Referee:
International Journal of Strategic Property Management, Nonlinearity, Journal ofNonlinear Analysis, Applied Numerical Mathematics, Applied Mathematics Letter,Computer and Mathematics with applications, INFORMATION Journal, ASMEJournal of Fluids Engineering, International Journal for Numerical Methods in Flu-ids, Journal of Zhejiang University, Journal of Computational and Applied Mathe-matics, Surface and Coatings Technology, Applied Mathematics and Computation
HONORS
Grants, awards, fellowships, honorary societies or degrees, etc.
Grants
1. National Natural Science Foundation, “Optimal retirement age decision problems instochastic control modeling for investment consumption and labor supply”, 2012-2015, RMB 260,000. (Collaborators: Aihua Zhang, Daniel Borgia)
2. British Foreign & Commonwealth Office, “China’s International Future in Finance,Trade and Business Innovation”, 2012-2015, GBP 177,072. (Collaborators: XiupingHua, Brian Hilton, Lei Feng, and etc.)
3. Chinese Academy of Social Science and Ningbo Cooperation Fund, “Finance and In-vestment Strategies in Development of Marine Economy”, 2011-2013, RMB 200,000.
4. Education Department of Zhejiang Province, “Key Disciplinary Building in HigherEducation in Zhejiang”, 2012-2017, RMB 625,000. (Collaborators: Carl Fey, Lei Li,and etc.)
5. Ningbo Education Bureau, “Ningbo Municipal Distinguished Program Scheme”,2012-2016, RMB 500,000. (Collaborators: Carl Fey, and etc.)
6. Ningbo Science and Technology Bureau, “Finance for Science and Technology Inno-vation”, 2011-2013, RMB 30,000.
7. Jiangsu Province, Qinglan Project, 2010-2013, RMB 60,000.
8. U.S. Department of Energy, (DEFGS206NA26208) “Modeling and Simulation ofFluid Mixing for Laser Experiments and Supernova”, 2006-2009, US$375,000. (Col-laborators: James Glimm, Paul Drake)
9. U.S. Department of Energy, (DEFG02-90ER25084) “Multiscale Stochastic Simula-tion and Modeling”, 2002-2006, US$1,200,000. (Collaborators: James Glimm, JohnGrove)
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10. U.S. Department of Energy, “Turbulent and Interfacial Mixing”, 2002-2003, US$215,000.
11. SUNY Advanced Energy Research and Technology, “Laser Fusion and TurbulentMixing”, 2001-2007. (Collaborator: James Glimm)
12. U.S. National Nuclear Security Administration, (DEFG0303SF22689) “ExperimentalAstrophysics on Omega Laser (Part I)”, 2002-2004, US$265,000. (Collaborator: R.Paul Drake)
13. U. S. National Nuclear Security Administration, (DEFG5203SF22689) “Experimen-tal Astrophysics on Omega Laser (Part II)”, 2006-2008, US$360,000. (Collaborator:R. Paul Drake)
Fellowships
14. College Fellow in Mathematics, University of Chicago (1991-1992).
15. University Fellow in Mathematics, University of Chicago (1990-1991).
16. Hong Kong Wong Foundation Fellowship, 1990.
Honors and Awards
17. The “Expert Advisor” title from Zhejiang Government, 2012
18. Zhejiang “1000 Talents Plan” Prize, 2012
19. The “Highly Talented Expert” title from Chinese Ministry of Education, 2010
20. Included Who’s Who in America, 2010.
21. Individual Development Award, State University of New York, 2005, 2006
22. National Science Foundation Award for Astrophysics Program, Institute for Pureand Applied Mathematics, 2005
23. Invited speaker (45 minutes) at Fourth World Congress of Nonlinear Analysis, Or-lando, Florida, June 30 - July 7, 2004.
24. Included Who’s Who in Engineering Education, 2002.
25. Science and Technology Advisor for Haishu Government of Ningbo City, 2000-now
26. Outstanding Paper Award at the Eleventh Annual Conference on Applied Mathe-matics, 1995.
27. French U. A. P. Prize in Mathematics, 1989.
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KEY RESEARCH CONTRIBUTIONS
1. Developed risk management models for US$100 billions of Wells Fargo mortgageportfolio. Wells Fargo holds the large share of U.S. mortgage loans. It is consideredas the safest bank in U.S. with Warren Buffet as its largest share holder.
2. Developed risk management models for MBS portfolio at J. P. Morgan Chase.
3. Invented a multilevel projection algorithm, a fast computational method to solve freeboundary problems, such as American option pricing problems. The algorithm haswon the best paper award in U.S. annual conference in applied mathematics in 1995.
4. Developed holding period dependent investement models for mixed asset allocationproblems.
5. Designed a accurate numerical method to determine optimal exercise boundary inAmerican options, which is the most difficult problem in this area.
6. Conducted the first successful computer simulation of supernova explosion in agree-ment with laser experiment. This is considered as a milestone breakthrough in highenergy density physics area.
7. Carried out the first successful computer simulation of inertial confinement nuclearfusion reactor in a curved geometry. The result was printed as the cover picturein the Proceeding of 2000 International Conference on Advance in Fuild Dynamicspubished by WIT Press.
8. Invented mutiphase fluid interface tracking methods in curved geometry and devel-oped shock wave simulation algorithms in a super parallel computer. The work hasbeen adoped by U.S. Department of Energy for nuclear energy generation, nuclearweapon tests.
9. Invented radiation coupled interface tracking algorithms. This is the only methodwhich can accurately evaluate the impact of the laser preheat on the interface struc-ture and instability in the laser induced laboratory experiment for supernova explo-sion.
10. Developed numerical methods for tracking combusion front in nuclear reaction ofType Ia supernova. To understand the mechanism of Type Ia supernova exlosion isthe key to understand the expansion of the universe.
11. Discovered the “North Pole” effect in axisymmetric mutiphase fluid mixing and thusestablished the nonconservation law of cross sectional symmetry of axisymmetricflow. This law has played a key role to understand the tubulent fluid mixing.
12. Establish discrete maximum principle for variational inequality. This result improveda classical theorem for obstacle problems which was proved by a famous Germanmathematician J. Nitsche thirty yeras ago.
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MAJOR RESEARCH ACCOMPLISHMENTS
Capital Market Research
1. Created option valuation models and hedging strategies for Wells Fargo’s mortgagepiplines with balance of US$100 billions.
2. Developed cash flow models for Wells Fargo’s reverse mortgage products.
3. Built cost of variability models for hedging Wells Fargo’s mortgage piplines.
4. Developed look back option models with hurdle adjustments in mortgage lending.
5. Built transition probability models for rate locks in mortgage piplines.
6. Developed holding period dependent portfolio mangement models for real estateassets.
7. Created various mortgage rate forcast models for J. P. Morgan research
8. Developed loan level prepayment models for J. P. Morgan research.
9. Streamlined hedging strategies and option-adjusted valuations for mortgage backedsecurities and mortgage servicing rights for J. P. Morgan research.
10. Developed software tools for testing i.i.d. property for financial times series.
American Option Research
11. Variational inequalities formulation for American options.
12. Developed fast algorithms for pricing solutions.
13. Conducted error analysis for the numerical solutions
14. Investigated sensitivity of the option price to the final payoff change.
15. Designed accurate methods to determine the optimal exercise boundary.
Numerical Models for Free Boundary Problems
16. Developed fast algorithms (Multilevel Projection Algorithm) for solving a class offree boundary problems called obstacle problems which arise from the filtration damproblem, the Stefan problem, and the American option pricing models.
17. Multilevel Projection Algorithm has won Outstanding Paper Award at EleventhAnnual Conference on Applied Mathematics.
18. Derived a general condition for the convergence of free boundaries of discrete solutionsto the free boundary of the continuous solution. The interface between wetted andunwetted regions in dam problem and early exercise boundary of American optionsare typical free boundaries.
19. Established a monotonicity principle for a finite element approximation of obstacleproblem. Obtained an optimal error estimate under maximum norm which improvedtwo well-known results established by Nitsche and Baiocchi thirty years ago.
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20. Developed a numerical model for a Bingham fluid flow in a cylindrical pipe using aregularization method.
Stochastic Models for Turbulent Mixing in Inertial Confinement Fusion
21. Developed and implemented numerical algorithms for a stochastic multiphase fluidmixing model.
22. Discovered an asymmetry effect (”North Pole Effect”) on axisymmetric flow analyzedthis effect on various statistics of the chaotic fluid mixing by carrying out Monte Carlosimulations.
23. These algorithms have been adopted by U.S. Department of Energy for simulatingintertial confinement fusion reactors.
Numerical Methods for Multiphase Supersonic Flow and Shock Waves
24. Developed the first robust front tracking algorithms in curved geometries.
25. Implemented these algorithms into a flow simulation package ”FronTier” in C/C++.The code has been applied to various fluid instability problems: Gravity and shockdriven instabilities, turbulent mixing and combustion, and diesel jet flow.
26. Conducted a quantitative error and efficiency analysis for the FronTier code.
27. Analyzed a scaling law for the shock strength in spherical shock driven mixing.
Simulations for Radiation and Turbulent Processes in Star Explosions
28. Conducted front tracking simulations for the first spherically diverging, hydrodynam-ically unstable laboratory experiments of relevance to supernova. Front tracking gavea better agreement with laser experiments than other codes. This work has gainedinternational recognition including several leading groups on laser experiments suchas, Lawrence Livermore National Laboratory and University of Michigan, etc.
29. Developed radiation-coupled front tracking algorithms in collaboration with laserresearchers in University of Michigan.
30. Conducted numerical measurement of impact of laser preheat on interface structureand instability.
Flame Tracking Simulations for Turbulent Combustion in Supernova
31. Developed the first flame tracking model in cylindrical geometry.
32. Conducted direct numerical simulations for Type Ia Supernova using these algo-rithms.
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MAJOR RESEARCH COLLABORATORS
David Newton (Professor of Finance, Nottingham University Business School)
Yue Kuen Kwok (Profesor of Financial Mathematics, Hong Kong University of Sci-ence and Technology)
Zhenguo Lin (Professor of Finance, California State University)
Christian Ewald (Professor of Financial Economic, Director of Center for Economicsand Financial Studies, Glasgow University Business School)
Todd Dupont (Professor and Chairman, Department of Computer Science, Universityof Chicago)
James Glimm (Winner of National Medal of Science, Member of US National Academyof Science, Distinguished Professor at State University of New York at Stony Brook)
R. Paul Drake (Founder of High Energy Density Laboratory Astrophysics, Henry S.Carhart Collegiate Professor of Space Science, University of Michigan)
John W. Grove (Senior Scientist, Los Alamos National Laboratory)
David H. Sharp (Director of Theoretical Physics Division, Los Alamos National Lab-oratory)
David E. Key (Vice President, Wells Fargo)
Tim Covington (Senior Vice President, Mortgage Market Research Manager, WellsFargo)
Xiaohai Liao (Vice President, J. P. Morgan)
Thomas Nagylaki (Professor in Evolution and Ecology, University of Chicago)
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RESEARCH AREAS
Mathematical Finance and Corporate Finance:
Mortgage Pipeline and Mortgage Backed Securities
Numerical Methods for American Options
Real Options in Energy Industry
Energy Portfolio Management for Power Companies
Investment Models in Marine Tourism
Investment Strategies for Marine Shipping Companies
Portfolio Management and Risk Management
Valuation of Private Equity
Real Estate Finance
Computational Methods for Physics and Finance:
Numerical Modeling for Free Boundary Problems
Large Scale Computer Simulations for Physical and Financial Systems
Fluid Dynamics and Gas Dynamics:
Multiphase Flows and Turbulent Mixing
Supersonics Flow and Shock Wave
Conservation Laws in Hydrodynamics
Newtonian Flow and Bingham Fluid Flow
Laser-Plasma Physics, Nuclear Physics, High Energy Density Astrophysics:
Turbulent Fluid Mixing in Inertial Confinement Fusion Reactors
Radiation Process in Supernova Laser Experiments
Turbulent Combustion and Mixing in Type Ia Supernova
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CURRENT RESEARCH PROJECTS
1. Finance and Investment Strategies in Development of Marine Economy (Funded byNingbo-Chinese Academy of Social Science Cooperation Foundation, RMB 200,000)
Marine economy has become Chinas key development area and will be the growthengine for Chinese economy for next several decades. Marine economy covers boardsectors of the industry including offshore oil gas, sustainable clean energy from off-shore wind and ocean/tidal wave, marine shipping, and marine tourism. We willstudy finance and investment strategies in these areas of marine economy.
Valuation of offshore oil gas reserve is complicated due to various options in differentstages a project can involve. Real option models can be developed to value both un-developed and developed oil field. Value of undeveloped oil/gas field can be regardedas a compound option on the developed field whose value is option on the oil/gasprice. This model will determine the optimal time of development and optimal rateof production.
In marine transportation industry, an ocean shipping companys profit is subjectto uncertainty of the shipping volume and shipping price due to fluctuation of im-port/export activities (on the revenue side), uncertainty of oil price, ship purchase orrental expenses and marine insurance fee (on the cost side). We will develop modelsto help ocean shipping companies to hedge these risks.
Another area of our study is the investment in marine tourism. An optimal controlmodel can be established to calculate the time sequence of investments which willmaximize the present value of the flow of profits over time for both mass and elitetourism development strategies.
Researches are lacking in the area of finance and investment in marine economy,especially in China. We will make important advances in this area. Our projectwill have significant impact to academic research, government policy, and businesspractice. It will have impact not only to local economy but also to global economy.
We have developed fast algorithms for option pricing models. The algorithms canbe applied to solve multi risk factors option models for energy industry which weare developing. Quantitative models in marine transportation and marine tourismare particularly lacking in academic literature. Our models for investment in marineshipping and marine tourism are expected to fill the gap in these areas. We will alsoprovide government policy recommendations on designing best financing models tosupport marine economy and how to lead private capital to this area. Our researchwill also provide suggestions to companies in various sectors in marine industry onhow to make optimal investment decisions under various market or economic condi-tions.
Our project will help to develop marine economy in Ningbo because of its uniqueadvantage of having a deep water port and thousands of islands and its closeness toShanghai. Our project will also help to improve global economy in the following ways.Our research in marine energy will help companies to manage global energy resource
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in an optimal way by taking consideration of both economic and environmentalissues. Investment in port and marine shipping industry will have significant impactto international trading business. Development of marine tourism will not only attractinternational capital but also to bring international tourists.
Collaborators for this project include Chinese Academy of Social Science, ZhejiangUniversity, Zhejiang Wanli University, Finance Office of Ningbo City, Ningbo Educa-tion Bureau, and Ningbo Science and Technology Bureau. Our models will be moreflexible, more accurate and more robust than existing models by taking into accountof more complete sets of risk factors, model parameters, and control variables. Weare writing a book on finance and investment in marine economy. Research papersand practical policy papers are also planned.
The project team consists of six senior researchers, three research assistants, and tengraduate students from six research partners. The project involves dozens of casestudies and field visitations to various government agencies, financial institutions,and industrial companies.
2. Finance for Science and Technology Innovation (Funded by Ningbo Science and Tech-nology Bureau, RMB 30,000)
We study the financing mechanisms for speed up the high tech development in Ningboand its nearby cites. We will compare various finance innovations in this area inChina and major developed countries including U.S. and European countries. Wewill help government to design finance policies for promoting science and technologyin Zhejiang province and nationwide.
3. Optimal retirement age decision problems in stochastic control modeling for invest-ment consumption and labor supply (Funded by Chinese National Natural ScienceFoundation, RMB 260,000)
We will build continuous time mathematical models for investment consumptionand labor supply. We will study the strategies for consumption, labor, investmentportfolio, optimal retirement age at any moment in order to maximize the expectedvalue of the life time utility function of consumption and entertainment.
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MENTORSHIP EXPERIENCE
Ph.D. Advising
State University of New York, Stony Brook (2001-2007):
1. Paul Lavergne (Ph.D. Awarded 2007),
Dissertation: Thermonuclear Flame Studies in Rectangular Geometry
2. Srabasti Dutta (Ph.D. Awarded 2005)
Dissertation: Supernova and Hydrodynamic Instabilities
University of Nottingham (2011-present):
1. Shusheng Ding (current student)
2. Yuanqian Wang (current student)
Master Dissertation Advising
University of Nottingham (2011-present):
2012 graduates:
1. Dandan Zheng,
Dissertation: Finance and Investment Strategies for Traditional Energy
2. Haifeng Liu,
Dissertation: The Optimization of Energy Portfolio Management in China
3. Haiyuan Zhang,
Dissertation: An Analysis of Financing for Marine Tourism
4. Haojun Yin,
Dissertation: Financial Instruments in Marine Shipping Industry
5. Jiani Yang,
Dissertation: Supervision and Management in Captital Market
6. Liang Zhao,
Dissertation: Risk Management in Shipping Industry
7. Wenwen Wen,
Dissertation: Finance and Investement Strategies of Renewable Energy
8. Yi Chen,
Dissertation: Private Equity Valuation Methods for High-Tech Companies
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9. Yun Li,
Dissertation: Demand Models in Marine Tourism
10. Yunshan Xu,
Dissertation: Determination of Main Factors on Valuation of Oil and Gas Projects
2011 graduates:
1. Kun Ning,
Dissertation: A Case Study of Mean-covariance Methods in Computing VaR
2. Sixing Xu,
Dissertation: The Optimal Issues for Constant Proportion Portfolio Insurance (CPPI):the rebalancing frequency and the multiple
3. Ling Yu,
Dissertation: The Research of Real Estate Financial Model in Chinese Market
4. Xiaoping Yu,
Dissertation: Stock Portfolio Management and Risk Management
5. Yilong Zhang,
Dissertation: Pricing Methods of Private Equity in China
Undergraduate Final Year Project Supervision
Xi’an Jiaotong-Liverpool University (2009 - 2010):
2010 graduates:
1. Xiaohong Gong,
Thesis: Black Model and its Applications in Option Price Tracking
2. Jue Li,
Thesis: Fixed Income Risk Management (Hedging MBS)
3. Jiajun Cai,
Thesis: Forward Measure and its Applications in Fixed Income Derivative Pricing
4. Wentao Lu,
Thesis: Finite Difference Methods for American Options
5. Yang Zhang,
Thesis: Comparative Study of Forward and Future Pricing
6. Hengyi Zhuang,
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Thesis: Interest Rate Model Calibrations
7. Lei Zhu,
Thesis: Binomial Methods for Option Pricing
8. Zheng Kuang
Thesis: Modeling Mortgage Backed Securities
2011 graduates:
1. Moyu Zhang,
Thesis: Real Option Application in Real Estate
2. Mengying Cao,
Thesis: Comparison of Numerical Methods for Option Pricing
3. Xinyu Niu,
Thesis: Prepayment Modeling and Risk Management for Mortgage-Backed Securities
4. Qi You,
Thesis: Private Equity Valuation of a Biotechnology Company
5. Shiliang Liu,
Thesis: Evaluation a Mine Project Using Binomial Lattice Approach
6. Dingding Cao,
Thesis: Numerical Methods for Real Options
7. Jiao Geng,
Thesis: Research on Hedging in Chinese Future Markets
8. Ruochen Liu,
Thesis: Mixed Portfolio Allocation with Real Estate Asset in Chinese Market
9. Xue Li,
Thesis: Mixed Portfolio Allocation with Real Estate Asset: constant investment op-portunity
10. Jiaorong Ning,
Thesis: Home Price Analysis
11. Jin Xie,
Thesis: Fourier Methods for European Options
12. Li Xu
Thesis: Review of Chinese Housing Markets
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TEACHING ACTIVITY
Dr. Zhang has 20 years of teaching experience in five universities. He has taughtnumerous courses in mathematics, statistics, computer science, physics, and financein both undergraduate and graduate level.
INVITED LECTURES
1. 30 minutes talk, International Conference on Quantitative Finance and Risk Man-agement, Changchun, July 2-4, 2012
2. 30 minutes talk, International Marine Technologies Workshop,UNNC, Ningbo, June11, 2012
3. 60 minutes talk, Wanli Finance Forum, June 7, 2012
4. 50 minutes talk, AMS Computational Finance Conference, Las Vegas, May, 2011
5. 30 minutes talk, SIAM Conference on Financial Mathematics and Financial Engi-neering, San Francisco, November 19-20, 2010
6. 60 minutes talk, Research Seminar, Xi’an Jiaotong University, October 29, 2010
7. 90 minutes talk, First China Forum on Financial Product Investment and Risk Man-agement, Beijing, September 10-12, 2010
8. 30 minutes talk, First China Forum on Financial Product Investment and Risk Man-agement, Beijing, September 10-12, 2010
9. 45 minutes talk, The Inaugural Conference of Ningbo-Nottingham International Fi-nance Forum, Ningbo, September 6-7, 2010
10. 60 minutes talk, Financial Mathematics Seminar, XJTLU, Suzhou, December 17,2009
11. 90 minutes talk, College Study Methods and Planning, Soochow University, Suzhou,December 11, 2009
12. 60 minutes talk, Financial Mathematics Seminar, University of Minnesota, TwinCity, February 27, 2009
13. 60 minutes talk, IMA/MCIM, Industrial Problems Seminar, University of Minnesota,Twin City, February 27, 2009
14. 60 minutes talk, Department of Mathematics, University of Leicester, United King-dom, October 20, 2008
15. 60 minutes talk, Division of Mathematical Science, Nanyang Technological University,Singapore, September 17, 2008
16. 60 minutes talk, School of Systems & Enterprises, Stevens Institute of Technology,New Jersey, July 28, 2008
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17. 60 minutes talk, Capital Market Research, Fannie Mae, Washington DC, July 24,2008
18. 60 minutes talk, Department of Finance, School of Business, Quinnipiac University,Connecticut, March 2, 2008
19. 60 minutes talk, Maseeh Mathematics & Statistics Colloquium Series, Portland StateUniversity, December 2, 2005.
20. Invited session organizer and speaker, Third MIT Conference on ComputationalFluid and Solid Mechanics, June 14-17, 2005, Cambridge, MA
21. 60 minutes talk, Applied Mathematics Seminar, New Jersey Institute of Technology,April 8, 2005.
22. 30 miniutes talk, SIAM Annual Meeting, July 12-16,2004.
23. 45 minutes invited speaker, at Fourth World Congress of Nonlinear Analysis, Or-lando, Florida, June 30 - July 7, 2004.
24. 30 minutes invited speaker, Fourth International Conference on High Energy DensityLaboratory Astrophysics, Ann Arbor, Michigan, February 23-25, 2002.
25. 30 minutes talk, SIAM Annual Meeting, July 9-13, 2001.
26. 60 minutes talk, departmental seminar, Northwestern University, 1997.
27. 60 minutes talk, departmental seminar, University of Illinois at Chicago, 1997.
28. 60 minutes talk, departmental seminar, Penn State University, 1997.
29. 60 minutes talk, departmental seminar, University of Alberta, 1997.
30. 60 minutes talk, departmental seminar, North Carolina State University, 1997.
31. 60 minutes talk, departmental seminar, State University of New York at Stony Brook,1997.
32. 60 minutes talk, departmental seminar, Argonne National Laboratory, 1997.
33. 60 minutes talk, departmental seminar, Oak Ridge National Laboratory, 1997.
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OTHER PRESENTATIONS
34. SIAM Conference on Financial Mathematics and Financial Engineering, November19-20, 2010, San Francisco, “Some Non-arbitrage Properties in Numerical Solutionsfor American Options”.
35. SIAM Conference on Analysis of Partial Differential Equations, July 10-12, 2006,Boston, “Monotonicity and Stability of Numerical Solutions for Obstacle Problems”.
36. SIAM Annual Meeting, July 10-14, 2006, Boston, “Numerical Modeling of FluidMixing for Laser Experiments and Supernova”.
37. APS DFD 58th Annual Meeting, November 20-22, 2005, Chicago, “Modeling andSimulation of Fluid Mixing for Laser Experiments and Supernova”.
38. Frontier in Applied and Computational Mathematics, NJIT, May 13-15, 2005, “Mod-eling and Simulation of Fluid Mixing for Laser Experiments and Supernova”, (posterpresentation)
39. SIAM Annual Meeting, July 12-16, 2004, Portland, OR, “Supernova Simulations byFront Tracking Methods”.
40. Conference on Analysis, Modeling and Computation of PDE and Multiphase Flow,Aug. 3-5, 2004, Stony Brook, NY. “Supernova and ICF Simulations by Front TrackingMethods”.
41. Frontiers in Applied and Computational Mathematics, May 21-22, 2004, New JerseyInstitute of Technology. “Supernova and ICF Simulations by Front Tracking Meth-ods”.
42. 56th Annual Meeting of the Division of Fluid Dynamics, East Rutherford, New Jer-sey, November 23-25, 2003. “Front Tracking for Multiphase Fluid Mixing”.
43. Multiphase Flow 2003, Computational Methods in Multiphase Flow Santa Fe, NewMexico, November 3-5, 2003. “Front Tracking for Multiphase Fluid Mixing”.
44. The 2003 International Conference on Computational Science and Its Applications,Montreal, Canada, May 18-21, 2003. “A Fast Algorithm for Moving Interface Prob-lems”.
45. SIAM Annual Meeting, July 9-13, 2001. “Numerical Study of Axisymmetric Richtmyer-Meshkov Instability and Azimuthal Effect on Spherical Mixing”.
46. SIAM Annual Meeting, July 10-14, 2000. “Three dimensional axisymmetric simula-tions of fluid instabilities in curved geometry”.
47. Third International Conference on Advances in Fluid Mechanics, May 2000, Mon-treal, Canada. “Three dimensional axisymmetric simulations of fluid instabilities incurved geometry”.
48. Eleventh Annual Conference on Applied Mathematics, 1995, “Multilevel ProjectionAlgorithm for Obstacle Problems”.
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PUBLICATIONS
Working Papers
1. Y. Zhang “Monotonicity Properties of Perpetual American Options,” 2012
2. Y. Zhang “Sensitivity of American Option Prices to Payoff Functions,” 2012
3. Y. Zhang “Bisection Method for Perpetual American Options Pricing,” 2012
4. P. Cheng, Z. Lin, Y. Liu, and Y. Zhang “Real Estate in the Mixed-asset Portfolio:the role of illiquidity and investment horizon,” submitted to Real Estate Economics,2011
5. Y. Zhang “Rate Lock Option Valuation Models under Stochastic Closing Ratio inMortgage Pipelines,” 2012
6. Y. Zhang, “Extension and Application of Discrete Maximum Principle to ObstacleProblems,” 2012
Books
7. Y. Zhang (Editor), 〈〈Steady Economic Growth and Financial Innovation〉〉, ChinaFinance Publishing House, 2013.
8. Y. Zhang (Editor), 〈〈Finance and Investment in Marine Economy〉〉, in preparation,2013.
Refereed Publications in Journals
9. P. Chen, Z. Lin, Y. Liu, and Y. Zhang, “Has Real Estate Come of Age?”, Journal ofReal Estate Portfolio Management, Vol. 17, 3, 243-254, 2011.
10. Y. Zhang, “Mortgage Backed Securities Valuation and Risk Hedging”, Journal ofRisk Management, 10, pp. 94-103, 2010.
11. Y. Zhang, “A two-dimensional flame tracking algorithm with application to type Iasupernova,” Nonlinearity, 22, 1909-1925, 2009.
12. Y. Zhang, R. P. Drake, and J. Glimm, “Numerical Evaluation of Impact of LaserPreheat on Interface Structure and Instability,” Physics of Plasma, 14, 062703, 2007.
13. Z. Xu, J. Glimm, Y. Zhang, and X. Liu, “A Multiscale Front Tracking method forCompressible Free Surface Flows,” Chemical Engineering Science Journal, 62 (13):3538-3548, 2007.
14. Y. Zhang, “Convergence of Free Boundaries in Discrete Obstacle Problems,” Nu-merische Mathematik,106:157-164, 2007.
15. Y. Zhang, “Monotone Convergence of Finite Element Approximation of ObstacleProblems,” Applied Mathematics Letters, 20, 445-449, 2007.
16. Y. Zhang, J. Glimm, and S. Dutta, “Tracked Flame Simulation for Type Ia Super-nova,” Computational Fluid and Solid Mechanics, 950-953, 2005.
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17. Y. Zhang, R. P. Drake, J. Glimm, J. W. Grove, and D. H. Sharp, “Radiation Cou-pled Front Tracking Simulations for Laser Driven Shock Experiments,” NonlinearAnalysis, 63/5-7, pp. e1635-e1644, 2005.
18. S. Dutta, E. George, J. Glimm, J. Grove, H. Jin, T. Lee, X. Li, D. H. Sharp, K. Ye,Y. Yu, Y. Zhang, and M. Zhao, “Shock Wave Interactions in Spherical and PerturbedSpherical Geometries,” Nonlinear Analysis, 63/5-7, pp. 644-652, 2005.
19. Y. Zhang, J. Glimm, and R. P. Drake, “Modeling and Simulation of Fluid Mixingfor Laser Experiments and Supernova,” Bulletin of American Physical Society, Vol.50, No. 9, pp. 178, 2005.
20. S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, “Spherical Richtmyer-Meshkov instability for axisymmetric flow,” Mathematics and Computers in Simula-tion, 65 (2004) 417-430.
21. S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, “Error Comparisonin Tracked and Untracked Spherical Simulations,” Computers & Mathematics withApplications, 48, 1733-1747, 2004.
22. J. Glimm, H. Jin, and Y. Zhang, “Front Tracking for Multiphase Fluid Mixing,”Computational Methods in Multiphase Flow, 2, pp. 13-22, 2004.
23. Y. Zhang, “Error Estimates for the Numerical Approximation of Time-dependentFlow of Bingham Fluid in Cylindrical Pipes by the Regularization Method,” Nu-merische Mathematik, Vol 96, No. 1, 153-184, 2003.
24. S. Dutta, J. Glimm, J. W. Grove, D. H. Sharp, and Y. Zhang, “A Fast Algorithm forMoving Interface Problems,” Lecture Notes in Computational Science 2668: 782–790,2003.
25. J. Glimm, H. Jin, M. Laforest, F. Tangerman, and Y. Zhang, “A Two Pressure Nu-merical Model of Two Fluid Mixtures,” SIAM J. Multiscale Modeling and Simulation,1:458-484, 2003.
26. R. P. Drake, H. F. Robey, O. A. Hurricane, Y. Zhang, B. A. Remington, J. Knauer,J. Glimm, D. Arnett, J. O. Kane, K. S. Budil, J. W. Grove “Experiments to producea hydrodynamically unstable spherically diverging system of relevance to instabilitiesin supernovae,” Astrophysical Journal, Vol. 564, 2, 896-908, 2002.
27. J. Glimm, J. W. Grove, Y. Zhang, and S. Dutta, “Numerical Study of AxisymmetricRichtmyer-Meshkov Instability and Azimuthal Effect on Spherical Mixing,” J. Stat.Physics, Vol. 107, nos 112, 241-260, 2002.
28. J. Glimm, J. W. Grove, and Y. Zhang, “Interface Tracking for Axisymmetric Flows,”SIAM J. Sci. Comp., Vol 24, No. 1, 208-236, 2002.
29. Y. Zhang, “Multilevel Projection Algorithm for Obstacle Problems,” Computers andMathematics with Applications 41 (2001) 1505-1513.
30. J. Glimm, J. W. Grove, and Y. Zhang, “Three Dimensional Axisymmetric Simula-tions of Fluid Instabilities in Curved Geometry,” Advances in Fluid Mechanics, 3,643-652, 2000.
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31. Y. Zhang, “A Posterior Error Analysis of a Two-level Scheme for Solving the ObstacleProblem,” INFORMATION, Vol. 3, No. 4, 469-477, October 2000.
Refereed Publications in Conference Proceeding
32. R. Liu, X. Li, and Y. Zhang, “Mixed Portfolio Allocation with Real Estate Assetin Chinese Market”, The Second Conference of Ningbo-Nottingham International Fi-nance Forum Paper Series, forthcoming, China Finance Pubishing House, 2013.
33. Y. Zhang, “Risk Management for Mortgage Pipeline”, The Inaugural Conference ofNingbo-Nottingham International Finance Forum Paper Series, pp. 350-357, Eco-nomics Science Press, 2011.
34. Y. Zhang, “Pricing and Risk Management for Mortgage Backed Securities”, Proceed-ing of First China Forum on Financial Product Investment and Risk Management,pp. 60-79, 2010.
35. Y. Zhang, “Hedging Mortgage Pipeline Risk using Capital Market Instruments”,Proceeding of First China Forum on Financial Product Investment and Risk Man-agement, pp. 344-358, 2010.
36. Y.Zhang, “Some Non-arbitrage Properties in Numerical Solutions for American Op-tions”, Proceeding of SIAM Conference on Financial Mathematics and FinancialEngineering, 26, 2010.
37. Y. Zhang, “American Option Pricing Model as an Obstacle Problem,” Proceeding ofSIAM Annual Meeting, 2010.
38. Y. Zhang “Numerical Measurement of Impact of Laser Preheat in Laboratory As-trophysics Experiments,” Proceeding of SIAM Annual Meeting, 2006.
39. J. Glimm, H. Jin, and Y. Zhang, “Front Tracking for Multiphase Fluid Mixing,”Proceeding of Division of Fluid Dynamics 56th Annual Meeting, KB.008, AmericanPhysical Society, 2003.
Non-Refereed Papers, Report and Other Articles:
40. Y. Zhang, Z. Yang, W. Tu, and A. Shen, “Construction of Ningbo Sci-Tech FinanceSystem,” Ningbo Government Policy Paper, 2011.
41. P. Cheng, Z. Lin, Y. Liu, and Y. Zhang, “The Real Estate Allocation Puzzle: Factoror Fiction,” J. of Portfolio Management, under review, also available in Social ScienceResearch Network (http://ssrn.com/abstract=1583952) 2010.
42. Y. Zhang, “A Non-arbitrage Condition on Payoff Functions for American Option,”preprint, 2010.
43. P. Cheng, Z. Lin, Y. Liu, and Y. Zhang, “Serial Persistence and Holding PeriodDependence of Real Estate Risk,” preprint ,2010.
44. J. Glimm, X. Li, and Y. Zhang, “Modeling and Simulation of Fluid Mixing LaserExperiments and Supernova,” National Nuclear Security Administration ProgressReport, Award Number: DEFGS206NA 26208, 2007.
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45. J. Glimm and Y. Zhang, “Laser Fusion and Turbulent Mixing”, Advanced EnergyResearch and Technology, Page 5, 2006.
46. Y. Zhang, “Monotonicity and Stability of Numerical Solutions for Obstacle Prob-lems,” Preprint, 2006.
47. Y. Zhang, J. Glimm, S. Dutta, and P. Lavergne, “Interface Tracking for ReactiveFlows with Application to Type Ia Supernova,” Preprint, 2006.
48. R. P. Drake, Y. Zhang, and etc., “Experimental Astrophysics on Omega Laser,” Na-tional Nuclear Security Administration Final Report, Award Number: DEFG5203SF22689,2005.
49. S. Dutta, J. Glimm, and Y. Zhang, “LES Simulations of Turbulent Combustion in aType Ia Supernova,” University at Stony Brook preprint number AMS-05-05, 2005.
50. Y. Zhang, R. P. Drake, J. Glimm, and P. Lavergne, “Numerical Measurement ofImpact of Laser Preheat on Interface Structure and Instability,” University at StonyBrook Report, AMS-03-13, 2004.
51. J. Glimm, J. Grove, and Y. Zhang, “Numerical Calculation of Rayleigh-Taylor andRichtmyer-Meshkov Instabilities for Three Dimensional Axisymmetric flows in Cylin-drical and Spherical Geometries,” Los Alamos Laboratory, Report# LA-UR99-6796,1999.
52. Y. Zhang, “Numerical Solution of Variational Inequalities,” Ph.D thesis, Universityof Chicago, 1997.
53. Y. Zhang, “Implementation of MA Prediction Algorithm,” Applied Science Labora-tory, GE Medical Systems, 1997.
54. Y. Zhang, “File Structure and Operation Manual for CT/i Implementation of MAPrediction Algorithm,” Applied Science Laboratory, GE Medical Systems, 1997.
55. Y. Zhang, “A Monotonicity Principle and L∞-Error Bound for a Discrete Obstacle
Problem,” Technical Report (TR-96-21), University of Chicago, 1996.
Papers in Wells Fargo Internal Research
56. Y. Zhang, D. Key, D. Sweeney, and J. Ahlart “A New Fallout Model for MortgagePipeline Valuation,” Capital Market Finance Document, Wells Fargo, 2010.
57. Y. Zhang and D. Key “An Alternative Method for Valuing Hedge Cost Variability,”Capital Market Finance Document, Wells Fargo, 2010.
58. Y. Zhang “Transition Probabilities between Statuses for Rate Locks,” Capital MarketFinance Document, Wells Fargo, 2010.
59. Y. Zhang “Reverse Mortgage Cash Flow Modeling,” Capital Market Finance Docu-ment, Wells Fargo, 2009.
60. Y. Zhang “Look back options with hurdle adjustment,” Capital Market FinanceDocument, Wells Fargo, 2009.
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61. Y. Zhang “ADCO Prepayment Model Tuning for Quantitative Risk Management(QRM) System,” Capital Market Finance Document, Wells Fargo, 2009.
62. Y. Zhang “Comparative Study for Black-Karasinski model and Hull-White modelwithin QRM framework,” Capital Market Finance Document, Wells Fargo, 2009.
Papers in J. P. Morgan Internal Research
63. Y. Zhang “Valuation and Hedging for Mortgage Backed Securities,” Capital MarketResearch Report, J. P. Morgan, 2008.
64. Y. Zhang “Prediction Models for Daily MSR Portfolio Values,” Capital Market Re-search Report, J. P. Morgan, 2008.
65. Y. Zhang “Hedging Strategies for Mortgage Servicing Rights,” Capital Market Re-search Report, J. P. Morgan, 2008.
66. Y. Zhang “Multifactor Libor Market Interest Rate Models Calibration,” CapitalMarket Research Report, J. P. Morgan, 2008.
67. Y. Zhang “WaMu Loan Level Mortgage Prepayment Models,” Capital Market Re-search Report, J. P. Morgan, 2007.
68. Y. Zhang “WaMu Pool Level Mortgage Prepayment Models,” Capital Market Re-search Report, J. P. Morgan, 2007.
69. Y. Zhang “Swap based Mortgage Index Models,” Capital Market Research Report,J. P. Morgan, 2007.
70. Y. Zhang “Mean-reversion Mortgage Spread Models,” Capital Market Research Re-port, J. P. Morgan, 2007.
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