Name: Zhao Hongbiao
Title: Associate Professor
Research Interests: Financial Engineering, Risk Management
Courses Taught: Financial Engineering, Risk Management
E - mail: hongbiao.z@gmail.com; Phone:
Research Project
Serial number | Project Name | Project Number | Project Source | Start and End Time | Project Funding |
1 | Infectious Risk: Model Expansion, Simulation Algorithms, and Their Applications in Finance and Insurance | 71401147 | National Natural Science Foundation Management Science Department Project | 2015-2017 | 210,000 |
Research Fields
Financial engineering, risk management, asset pricing, actuarial science, stochastic processes, computational finance, and other areas of quantitative finance.
Education Background
2008-2012 London School of Economics and Political Science, UK PhD
2006-2007 Warwick Business School, UK Master's
Work Experience
2023-Present Shanghai University of Finance and Economics, School of Statistics and Management, Department of Financial Statistics and Risk Management Associate Professor (Tenured)
2017-2023 Shanghai University of Finance and Economics, School of Statistics and Management, Department of Financial Statistics and Risk Management Associate Professor
2016-2017 Xiamen University, School of Economics, Department of Finance, Wang Yanan Institute for Economic Studies, Associate Professor of Finance
2013-2016 Xiamen University, School of Economics, Department of Finance, Wang Yanan Institute for Economic Studies, Assistant Professor of Finance
2012-2013 National University of Singapore Institute of Risk Management Researcher
2007-2008 Paternoster (Goldman Sachs wholly owned subsidiary) London Investment Strategy Department Analyst
Research Achievements
For details, see the personal homepage: http://hongbiaozhao.weebly.com/
Exact Simulation of Quadratic Intensity Models, with Angelos Dassios, Anxin Liu, Yan Qu
- forthcoming at INFORMS Journal on Computing (featured article)Market Probability of Interest Rate Tick Movements, with Zhanyu Chen, Anxin Liu, Kai Zhang
- Journal of Derivatives, 32(3), 140-187, 2025
- Best Paper Award of 6th China's Youth Forum on Derivatives, 2023Shot-noise Cojumps: Exact Simulation and Option Pricing, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 74(3), 647-665, 2023Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market, with Chao Ma, Hao Zhang [.PDF]
- Journal of Futures Markets, 43(4), 480-515, 2023
- presented at AEA Annual Meeting, 2021A Cox Model for Gradually Disappearing Events, with Angelos Dassios, Jiwook Jang, Yan Qu [.PDF]
- Probability in the Engineering and Informational Sciences, 37(1), 214-231, 2023A Skellam Market Model for Loan Prime Rate Options, with Zhanyu Chen, Kai Zhang [.PDF]
- Journal of Futures Markets, 42(3), 525-551, 2022Exact Simulation of Extrinsic Stress-Release Processes, with Young Lee, Patrick Laub, Thomas Taimre, Jiancang Zhuang [.PDF]
- Journal of Applied Probability, 59(1), 105-117, 2022Random Variate Generation for Exponential and Gamma Tilted Stable Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 31(4), 1-21, 2021Exact Simulation of Ornstein-Uhlenbeck Tempered Stable Processes, with Angelos Dassios, Yan Qu [.PDF]
- Journal of Applied Probability, 58(2), 347-371, 2021A Two-phase Dynamic Contagion Model for COVID-19, with Zezhun Chen, Angelos Dassios, Valerie Kuan, Jia Wei Lim, Yan Qu, Budhi Surya [.PDF] [.HTML]
- Results in Physics, 26, 104264, July, 2021Exact Simulation of Gamma-driven Ornstein-Uhlenbeck Processes with Finite and Infinite Activity Jumps, with Angelos Dassios, Yan Qu [.PDF]
- Journal of the Operational Research Society, 72(2), 471-484, 2021Efficient Simulation of Lévy-driven Point Processes, with Angelos Dassios, Yan Qu [.PDF]
- Advances in Applied Probability, 51(4), 927-966, 2019
- presented at 10th World Congress of the Bachelier Finance Society, 2018
- Excellent Paper Award of FSERM 2017A Generalised CIR Process with Externally-exciting and Self-exciting Jumps and its Applications in Insurance and Finance, with Angelos Dassios, Jiwook Jang [.PDF]
- Risks, 7(4), 103, 2019Moments of Renewal Shot-noise Processes and their Applications, with Angelos Dassios, Jiwook Jang [.PDF]
- Scandinavian Actuarial Journal, 2018(8), 727-752, 2018Exact Simulation for a Class of Tempered Stable and Related Distributions, with Angelos Dassios, Yan Qu [.PDF]
- ACM Transactions on Modeling and Computer Simulation, 28(3), 20:1-20:21, 2018Efficient Simulation of Clustering Jumps with CIR Intensity,with Angelos Dassios [.PDF]
- Operations Research, Financial Engineering Area, 65(6), 1494-1515, 2017A Generalised Contagion Process with an Application to Credit Risk, with Angelos Dassios [.PDF]
- International Journal of Theoretical and Applied Finance, 20(1), 1-33, 2017Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays,
with Kar Wai Lim, Young Lee, Leif Hanlen [.PDF]
- Journal of Machine Learning Research, W&CP, 63, 238-253, 2016
- Best Paper Award, The 8th Asian Conference on Machine Learning (ACML), 2016A Risk Model with Renewal Shot-noise Cox Process, with Angelos Dassios, Jiwook Jang [.PDF]
- Insurance: Mathematics and Economics, 65, 55-65, 2015A Markov Chain Model for Contagion, with Angelos Dassios [.PDF]
- Risks, 2(4), 434-455, 2014 (invited publication)Exact Simulation of Hawkes Process with Exponentially Decaying Intensity, with Angelos Dassios [.PDF]
- Electronic Communications in Probability, 18(62), 1-13, 2013
- featured by Wolfram MathWorldA Risk Model with Delayed Claims, with Angelos Dassios [.PDF]
- Journal of Applied Probability, 50(3), 686-702, 2013Ruin by Dynamic Contagion Claims, with Angelos Dassios [.PDF]
- Insurance: Mathematics and Economics, 51(1), 93-106, 2012A Dynamic Contagion Process, with Angelos Dassios [.PDF]
- Advances in Applied Probability, 43(3), 814-846, 2011
- presented at LSE PhD Student Poster Exhibition, 2011 [.PDF]
- presented at 6th World Congress of the Bachelier Finance Society, 2010
Rewards, Honors
• Excellent Teaching Achievement of Higher Education in Shanghai, 2021
• Dean's Nomination Award, Shanghai University of Finance and Economics, 2018, 2020
• Excellent Paper Award at the 15th International Annual Conference on Financial System Engineering and Risk Management, 2017
• "Best Teacher," Wang Yanan Institute for Economic Research, Xiamen University, 2013-2014; 2014-2015; 2016-2017
• "Outstanding Teaching Award for Undergraduate Courses," School of Economics, Xiamen University, 2016
• "Best Paper Award" at the 8th Asian Conference on Machine Learning, 2016
• "China Telecom Tianyi Award" Teaching Fund, Xiamen University, 2015
• Young Teacher Teaching Skills Competition and English Teaching Competition, School of Economics, Xiamen University, Third Prize, 2014; Second Prize, 2015
• High-level Talent Introduction in Xiamen City, 2013
• First Prize for "Deutsche Bank Financial Risk Management and Regulation," London, 2012
• Research Scholarship, London School of Economics, 2008-2012
• International Conference Scholarship, London School of Economics, 2009; 2010
• UK National EPSRC PhD Training Scholarship, 2008-2009
