+44 1865 280613
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am a fourth-year DPhil student in Mathematical and Computational Finance Group, supervised by Prof. Christoph Reisinger. My research interests are numerical analysis and efficient implementation of stochastic partial differential equations (SPDEs) of Zakai type, combining with various Monte Carlo methods.
I was also a senior research associate in the value of information analysis for the trial design of health-economic cost-effectiveness models. The project involves using Monte Carlo and Quasi-Monte Carlo method to evaluate expected value of partial perfect information.
2016 - 2018: Tutor for Finite Difference, Calibration (MSc in MCF)
2017 MT: TA for Numerical Linear Algebra (MSc in MMSC)
2016 MT: TA for Financial Computing with C++ (MSc in MCF), TA for Applied PDE (MSc in MMSC)
Major / recent publications:
C. Reisinger and Z. Wang, 2018. Analysis of Multi-Index Monte Carlo estimators for a Zakai SPDE. Journal of Computational Mathematics, 36(2), pp.202-236.
C. Reisinger and Z. Wang, 2018. Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE. arXiv preprint arXiv:1802.07682.