Hongzhong Zhang

Available identifiers

zbMath Open zhang.hongzhongWikidataQ95990368 ScholiaQ95990368MaRDI QIDQ502879

List of research outcomes

Publication	Date of Publication	Type
Optimal trading with a trailing stop	2021-04-23	Paper
When to sell an asset amid anxiety about drawdowns	2021-03-23	Paper
On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models	2019-09-19	Paper
Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models	2018-11-07	Paper
A unified approach for drawdown (drawup) of time-homogeneous Markov processes	2018-09-26	Paper
One Shot Schemes for Decentralized Quickest Change Detection	2017-08-08	Paper
Asymptotics for Rough Stochastic Volatility Models	2017-02-16	Paper
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion	2017-02-16	Paper
On magnitude, asymptotics and duration of drawdowns for Lévy models	2017-01-11	Paper
Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$	2016-08-17	Paper
Game of Singular Stochastic Control and Strategic Exit	2016-01-29	Paper
Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem	2015-11-24	Paper
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING	2015-09-22	Paper
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models	2015-08-20	Paper
On the Frequency of Drawdowns for Brownian Motion Processes	2015-05-29	Paper
Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions	2015-04-17	Paper
Large deviations for the boundary local time of doubly reflected Brownian motion	2015-04-01	Paper
Quickest Detection in Coupled Systems	2014-09-26	Paper
Stochastic modeling and fair valuation of drawdown insurance	2014-06-23	Paper
Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory	2013-10-23	Paper
Drawdowns and the speed of market crash	2013-01-11	Paper
MAXIMUM DRAWDOWN INSURANCE	2012-03-13	Paper
Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies	2010-05-28	Paper
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups	2009-11-08	Paper

Research outcomes over time

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