Peng Hu 胡鹏

 

    I am currently a research fellow at Oxford-Man Institue - University of Oxford, reporting to Prof. Terry Lyons. Before joining Oxford University, I previously worked as postdoc at Brown University in 2012.


   I obtained my Master's degree in DEA El Karoui 08-09' at University of Paris 6 - Ecole Polytechnique, and my PhD in June 2012 under supervision of Prof. Pierre Del Moral in team ALEA at research center INRIA Bordeaux Sud-Ouest and University of Bordeaux 1, with a thesis: Particle methods with applications in Finance.

Publications


Ph.D Dissertation


•P. Hu, Particle methods with applications in finance (Méthodes particulaires et applications en finance). STAR : dépot national des thèses électroniques francaises. Identiant : 2012BOR14530, 2012.

Books


•R. Carmona, P. Del Moral, P. Hu and N. Oudjane (eds.), Numerical Methods in Finance , Springer Proceedings in Mathematics. vol. 12, Springer-Verlag, 2012.

•P. Del Moral, P. Hu and L. Wu. "On the concentration properties of Interacting particle processes", Foundations and Trends in Machine Learning, vol. 3, nos. 3–4, pp. 225–389, 2012. 

Articles


•R. Carmona, P. Del Moral, P. Hu and N. Oudjane, "An introduction to particle methods in finance",Numerical Methods in Finance,Springer Proceedings in Mathematics. vol. 12, pp. 3-50 Springer-Verlag, 2012.

•P. Del Moral, P. HU and N. Oudjane, "Snell envelope with small probability criteria", Applied Mathematics & Optimization, Vol. 66, Issue 3, pp. 309-330, 2012

•P. Del Moral, P. HU, N. Oudjane and B. Rémillard, "On the Robustness of the Snell Envelope",SIAM J. Finan. Math., Vol. 2, pp. 587-626 , 2011.


Industrial Technical Reports


•P. Hu and N. Oudjane. "Variance reduction techniques for thermal asset pricing", consulting report EDF R&D - OSIRIS, H-R36-2012-01220-EN, 2012.

•P. Del Moral, P. Hu and D. Weng. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 1. Comparaisons d'algorithmes. Contrat EDF OSIRIS-INRIA, 2010.

•P. Del Moral and P. Hu. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 2. Confection et analyse de nouveaux algorithmes de Monte Carlo avancés. Contrat EDF OSIRIS-INRIA, 2010.

•P. Del Moral and P. Hu. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 3. Confection et analyse de nouveaux algorithmes de Monte Carlo avancés. Contrat EDF OSIRIS-INRIA, 2010.



Contact Info

Oxford-Man Institute of Quantitative Finance

Eagle House, Walton Well Road

Oxford, OX2 6ED, United Kingdom


EMail:

peng.hu@oxford-man.ox.ac.uk


Other Activities


  1. Organizer - Workshop on Sequential Monte Carlo Methods and Efficient Simulation in Finance, Paris, France,October 10-12, 2012

  2. Organizer - Workshop on Numerical Methods in Finance, Bordeaux, France, June 1-2 2010.

Chinese Government Award for Outstanding Ph.D. Students Abroad, 2012.

• Consulting at EDF R&D on variance reduction methods for Swing Option Pricing, 2011-2012.

• Collaboration with EDF R&D on Pricing of American options, 2010-2012.

• Responsible of working group of research team ALEA, 2010-2012.

• Teaching Statistics and Linear dynamical system at University Bordeaux 1, 2010-2011.

• Vice-president of 波尔多学联 UCECF Bordeaux (a chinese student & researcher association in France), 2010-2012.