Research Assistant Professor
Department of Applied Mathematics
The Hong Kong Polytechnic University
Office: TU814
Email: JunyZhang@polyu.edu.hk
Research interests:
Bayesian analysis: Bayesian machine learning, Bayesian nonparametric statistics, Bayesian factor analysis, Bayesian hierarchical model, completely random measures;
Financial mathematics: computational finance, Option pricing, Asian options, barrier options, Parisian options, path dependent options, Lévy models, excursion theory, stochastic simulation;
Interdisciplinary: biostatistics, bioinformatics
Education
PhD London School of Economics, supervised by Prof Angelos Dassios and Prof Beatrice Acciaio
MSc The University of Edinburgh, supervised by Prof Sotirios Sabanis
BSc Shandong University
Publications
Junyi Zhang, Angelos Dassios, Chong Zhong and Qiufei Yao. (2025). Truncated inverse-Lévy representation of beta process. Artificial Intelligence and Statistics (AISTATS 2025).Junyi Zhang and Angelos Dassios. (2024). Posterior Sampling From Truncated Ferguson-Klass Representation of Normalised Completely Random Measure Mixtures. Bayesian Analysis, 1(1), 1-31. Link
Junyi Zhang and Angelos Dassios. (2023). Truncated two‐parameter Poisson–Dirichlet approximation for Pitman–Yor process hierarchical models. Scandinavian Journal of Statistics, 51(2), 590–611. Link
Junyi Zhang and Angelos Dassios. (2023). Truncated Poisson–Dirichlet approximation for Dirichlet process hierarchical models. Statistics and Computing, 33(1), 30. Link
Angelos Dassios and Junyi Zhang. (2023). Exact simulation of Poisson-Dirichlet distribution and generalised gamma process. Methodology and Computing in Applied Probability, 25(2), 64. Link
Angelos Dassios and Junyi Zhang. (2022). First hitting time of Brownian motion on simple graph with skew semiaxes. Methodology and Computing in Applied Probability, 24(3), 1805–1831. Link
Angelos Dassios and Junyi Zhang. (2021). Exact simulation of two-parameter Poisson-Dirichlet random variables. Electronic Journal of Probability, 26. Link
Angelos Dassios and Junyi Zhang. (2020). Parisian time of reflected Brownian motion with drift on rays and its application in banking. Risks , 8(4), 127. Link
Grant
General Research Fund, The Research Grants Council of Hong Kong, 2024-2027
• PI, Truncated Inverse-Lévy Measure Representation of Completely Random Measures: Theory, Algorithms and Applications (Project Number: 15303524, Project Fund: HKD 752,081)Conference Presentations
The 8th International Conference on Econometrics and Statistics, Japan 2025
• Hierarchical beta process in Bayesian Factor AnalysisThe 14th International Conference on Bayesian Nonparametrics, USA 2025
• Dependent beta process in Bayesian Factor AnalysisBayesian Nonparametrics Networking Workshop 2024, Singapore 2024
• Posterior inference for truncated inverse-Lévy representation of CRMs with application in binary latent feature modelIMS-NUS Interpretable Inference via Principled BNP Approaches in Biomedical Research and Beyond, Singapore 2024
• Posterior sampling from truncated inverse-Lévy measure representation of NRMI mixturesThe 7th International Conference on Econometrics and Statistics, China 2024
• Posterior sampling from truncated inverse-Lévy measure representation of NRMI mixturesInternational Society for Bayesian Analysis World Meeting, Italy 2024
• Posterior sampling from truncated inverse-Lévy representation of completely random measuresThe 4th Italian Meeting on Probability and Mathematical Statistics, Italy 2024
• Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixturesThe 10th International Congress on Industrial and Applied Mathematics, Japan 2023
• Network models with truncated Poisson-Dirichlet process priorsApproximation Methods in Bayesian Analysis, Australia 2023
• Truncated Poisson-Dirichlet approximation for Dirichlet processSDEs/SPDEs: Theory, Numerics and their interplay with Data Science, Greece 2019
• Weak representation of the maximum of SDEs by Brownian bridgeTeaching
The Hong Kong Polytechnic University:
• AMA1120 Calculus and Linear Algebra
• AMA4951 Capstone Project
• AMA541 Simulation and Risk Analysis
• AMA Summer Research Internship
• Gifted Education Fund: Off-school Advanced Learning Programmes (Education Bureau)
London School of Economics:
• ST102 Elementary Statistical Theory
• ME117 Further Statistics for Economics and Econometrics
• ME302 Introduction to Financial Mathematics