Jin Zhang

University of Basel
Research Interests / Background: 

Jin Zhang holds a Bachelor degree in Engineering from Beijing University of Posts and Telecommunications, China; and M.Sc.- Research degree in Mathematics and Applied Statistics from University of Wollongong, Australia. Under the EC 'Marie Curie Actions' grant, Jin Zhang studied in University of  Essex UK, and received the Doctor of Philosophy in Computational Finance. Currently he works in Quantitative Methods department, Business and Economics Faculty, University of Basel. His research interests covers trading strategy design, asset portfolio optimization and derivative pricing with numerical approaches and computational techniques.

Working Papers: 

Journal Articles:  

  • Songping Zhu. and Jin Zhang, Using Laplace transform to price American
    puts, Dynamics of Continuous, Discrete and Impulsive
    Systems-B:Applications & Algorithms, Vol.19, pp. 447-469, 2012.
  • Jin Zhang and Dietmar Maringer, Distributing Weights under Hierarchical
    Clustering: A Way in Reducing Performance Breakdown, Expert Systems With
    Applications, Vol. 38, pp. 14952–14959, 2011.
  • Jin Zhang and Dietmar Maringer, Selecting Pair-Copulas with Downside Risk
    Minimization, International Journal of Financial Markets and Derivatives, Vol.
    2, pp. 121-148, 2011.
  • Songping Zhu and Jin Zhang,  A New Predictor–Corrector Scheme for Valuing
    American Puts, Applied Mathematics and Computation, Vol. 217, pp. 4439-4452,

Book Chapters:

  • Jin Zhang and Dietmar Maringer, Index Mutual Fund Replication, in Brabazon,
    A. et al. (eds.), Natural Computing in Computational Finance, Studies in
    Computational Intelligence series, Volume 293, 109-130, 2010, Springer.
  • Jin Zhang and Dietmar Maringer, A Clustering Application in Portfolio
    Management, in Ao, S.I. and Gelman, L. (eds.), Electronic Engineering and
    Computing Technology, Lecture Notes in Electrical Engineering, Volume 60,
    309-321, 2010, Springer.

Conference Papers:

  • Jin Zhang and Wing Lon Ng, EML-Estimation of Multivariate t Copulas with
    Heuristic Optimization, Proceedings of International Conference on Computer
    Science and Information Technology 2010, pp. 469-473.
  • Jin Zhang and Dietmar Maringer, An Application of Differential Evolution in
    Index Mutual Fund Replication, Proceedings of the 15th International Conference
    on Soft Computing Mendel 2009, pp. 303-308.
  • Jin Zhang and Dietmar Maringer, Improving Sharpe Ratios and Stability of
    Portfolios by Using a Clustering Technique, Proceedings of the 2009
    International Conference of Computational Intelligence and Intelligent Systems,
    Lecture Notes in Engineering and Computer Science, pp. 1-6.
  • Jin Zhang and Songping Zhu, A Hybrid Finite Difference Method for Valuing
    American Options, Proceedings of the 2009 International Conference of Financial
    Engineering, Lecture Notes in Engineering and Computer Science, pp. 1331-1336.
  • Jin Zhang, Songping Zhu and Y.C. Hon, Numerical Valuation of American Puts on
    Dividend Paying Assets: The Laplace Transform, Proceedings of the 2006
    International Conference of Financial Engineering and Risk Management, Financial
    System Engineering IV, pp. 211-220.