Harry Zheng

Email: h.zheng@imperial.ac.uk
Mail: Department of Mathematics, Imperial College, London SW7 2BZ, UK
Tel: +44(0) 20 7594 8539
Fax: +44(0) 20 7594 1191

Optimization and control theory, financial risk modelling and computation. Here is a list of papers.

Credit Risk (MSc in Mathematics and Finance). This course introduces credit risk modelling, valuation, and management. Topics include basic continuous and jump processes, structural and intensity models, Markov chains, marginal default time distributions, migration model, CreditMetrics, copula, defaultable bonds and CDS, etc.
Correlation Modelling and Structured Finance (MSc in Mathematics and Finance). This course covers both portfolio equity derivatives and credit derivatives. Topics include the conditional moment matching method for the valuation of basket options and its error bounds, the factor model and the contagion model, Monte Carlo and analytic method for structured products, and issues and lessons on housing bubble, subprime mortgage, credit crunch, and market meltdown.