Hongzhong Zhang
Hongzhong Zhang
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Title
Cited by
Cited by
Year
One shot schemes for decentralized quickest change detection
O Hadjiliadis, H Zhang, HV Poor
IEEE Transactions on Information Theory 55 (7), 3346-3359, 2009
862009
Asymptotics for rough stochastic volatility models
M Forde, H Zhang
SIAM Journal on Financial Mathematics 8 (1), 114-145, 2017
78*2017
On magnitude, asymptotics and duration of drawdowns for LÚvy models
D Landriault, B Li, H Zhang
Bernoulli 23 (1), 432-458, 2017
462017
Maximum Drawdown Insurance
P Carr, H Zhang, O Hadjiliadis
International Journal of Theoretical and Applied Finance 14 (8), 1195-1230, 2011
422011
Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
H Zhang
Advances in Applied Probability 47 (1), 210-230, 2015
412015
Drawdowns and the speed of market crash
H Zhang, O Hadjiliadis
Methodology and Computing in Applied Probability 14 (3), 739-752, 2012
392012
Stochastic Modeling and Fair Valuation of Drawdown Insurance
H Zhang, T Leung, O Hadjiliadis
Insurance: Mathematics and Economics 53 (3), 840-850, 2013
342013
Drawdowns and rallies in a finite time-horizon
H Zhang, O Hadjiliadis
Methodology and Computing in Applied Probability 12 (2), 293-308, 2010
302010
On the frequency of drawdowns for brownian motion processes
D Landriault, B Li, H Zhang
Journal of Applied Probability 52 (1), 191-208, 2015
292015
Online algorithms for classification of urban objects in 3D point clouds
I Stamos, O Hadjiliadis, H Zhang, T Flynn
Proceedings of the 2012 Second International Conference on 3D Imagingá…, 2012
242012
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
T Leung, K Yamazaki, H Zhang
International Journal of Theoretical and Applied Finance 18 (5), 1550032, 2015
192015
A unified approach for drawdown (drawup) of time-homogeneous Markov processes
D Landriault, B Li, H Zhang
Journal of Applied Probability 54 (2), 603-626, 2017
162017
Beating the Omega clock: an optimal stopping problem with random time-horizon under spectrally negative LÚvy models
N Rodosthenous, H Zhang
The Annals of Applied Probability 28 (4), 2105-2140, 2018
152018
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
J Armstrong, M Forde, M Lorig, H Zhang
SIAM Journal on Financial Mathematics 8 (1), 82–113, 2017
152017
Large deviations for the boundary local time of doubly reflected Brownian motion
M Forde, R Kumar, H Zhang
Statistics & Probability Letters 96, 262-268, 2015
142015
Game of Singular Stochastic Control and Strategic Exit
HD Kwon, H Zhang
Mathematics of Operations Research 40 (4), 869–887, 2015
132015
Central Clearing and the Sizing of Default Funds
A Capponi, J Wang, J Jiaxu, H Zhang
12*2018
Quickest detection in coupled systems
H Zhang, O Hadjiliadis, T Schäfer, HV Poor
SIAM Journal on Control and Optimization 52 (3), 1567-1596, 2014
122014
Robust plant cell tracking in noisy image sequences using optimal crf graph matching
M Liu, Y Wei, W Qian, H Zhang
IEEE Signal Processing Letters 24 (8), 1168-1172, 2017
112017
Intraday market making with overnight inventory costs
T Adrian, A Capponi, M Fleming, E Vogt, H Zhang
Journal of Financial Markets 50, 100564, 2020
102020
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