Dr Junyi Zhang


Research Assistant Professor, The Hong Kong Polytechnic University

Contact details: TU814, Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong

Email: JunyZhang (polyu.edu.hk)


Visiting Fellow, London School of Economics

Email: J.Zhang100 (lse.ac.uk)


Education

BSc Shandong University 2015

MSc The University of Edinburgh 2016 dissertation supervised by Dr Sotirios Sabanis

PhD London School of Economics 2021 supervised by Prof Angelos Dassios and Prof Beatrice Acciaio


Research interests: Lévy process, subordinator, prior process,nonparametric Bayesian statistics, financial mathematics, Parisian options, excursion theory, exact simulation.

 

Publications 

1. Exact simulation of two-parameter Poisson-Dirichlet random variables, Electron. J. Probab. 26 (2021), paper no. 5, 20 pp. (with A. Dassios) Link

2. First hitting time of Brownian motion on simple graph with skew semiaxes, 2021, Methodology and Computing in Applied Probability (with A. Dassios) Link

3. Parisian time of reflected Brownian motion with drift on rays and its application in banking, 2020, Risks, 8(4), 127 (with A. Dassios) Link

 

Recent research 

1. Parisian time of a squared Bessel process with a linear excursion boundary and the pricing of moving Parisian options

2. Exact simulation of the jump sizes of a Lévy subordinator

3. Exact simulation of the two-parameter Poisson-Dirichlet process and its application in nonparametric Bayesian statistics


Conference

1. SDEs/SPDEs: Theory, Numerics and their interplay with Data Science, Crete, Greece 2019

2. 11th European Summer School in Financial Mathematics, Paris, France 2018

3. 17th Winter School on Mathematical Finance, Lunteren, Netherlands 2018


Teaching

1. ST102 Elementary Statistical Theory. Lecturer: Dr. James Abdey

2. ME117 Further Statistics for Economics and Econometrics. Lecturer: Dr. James Abdey

3. ME302 Introduction to Financial Mathematics. Lecturer: Prof. Johannes Ruf and Prof. Mihail Zervos 


[Last modified: July 2022 by Junyi Zhang]