Dr. Zhijian He is a Professor at School of Mathematics of South China University of Technology (SCUT). Before joining SCUT, he obtained a Ph.D. in Statistics from Department of Mathematical Science of Tsinghua University, advised by Prof. Xiaoqun Wang. His research interests are quasi-Monte Carlo methods and their applications in quantitative finance and statistics. He was a silver prize recipient of the New World Mathematics Awards (NWMA). He has published in top journals in the fields of statistics and computational mathematics, such as Journal of the Royal Statistical Society: Series B, SIAM Journal on Numerical Analysis, SIAM Journal on Scientific Computing, Mathematics of Computation. Part of his research is supported by National Science Foundation of China (NSFC).

According to https://scimeter.org/clouds/, my research interests are somewhere in that cloud:

◆ Ph.D., Statistics, Tsinghua University, 2015

◆ B.S., Mathematics and Applied Mathematics, South China University of Technology, 2010

◆ Professor, School of Mathematics, South China University of Technology, 2021/08 - current

◆ Associate Professor, School of Mathematics, South China University of Technology, 2018/01 - 2021/08

◆ Research Associate, Lingnan (University) College, Sun Yat-Sen University, 2016/01-2017/11

◆ Lecturer, School of Economics and Commerce, South China University of Technology, 2015/09-12

◆ Visiting Student Researcher, Department of Statistics, Stanford University, 2014/01-07

◆ New World Mathematics Awards (Doctor Thesis), Silver Prize, 2016 [Link]

◆Best Paper Award (with G. Liu and Y. Liu), 14th International Symposium on Financial System Engineering and Risk Management, 2016

◆ Probability and Statistics, Spring 2018

◆ Mathematical Statistics, Fall 2018, Spring 2019

◆ Bayesian Data Analysis, Fall 2018

◆ Quasi-Monte Carlo Simulation in VaR and CVaR Computation, National Science Foundation of China, No. 71601189, 2017 - 2019, PI

Z. He and X. Wang. Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall. *Mathematics of Computation*, 2020. Accepted. [abstract] [arXiv]

Z. He and X. Wang. An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering. *Computational Economics*, 2020. Accepted. [abstract] [arXiv]

X. Fei, M. Giles, Z. He. QMC Sampling from Empirical Datasets. *Proceedings of the MCQMC 2018 conference*, 2019 (accepted). [abstract] [link]

Z. He and L. Zhu. Asymptotic Normality of Extensible Grid Sampling. *Statistics and Computing*, 29 (1), 53-65, 2019. [abstract] [link]

F. Xie, Z. He, and X. Wang. An Importance Sampling-Based Smoothing Approach for Quasi-Monte Carlo Simulation of Barrier Options. *European Journal of Operational Research*, 274 (2), 759-772, 2019. [abstract] [link]

Z. He. On the Error Rate of Conditional Quasi-Monte Carlo for Discontinuous Functions. *SIAM Journal on Numerical Analysis*, 57(2), 854-874, 2019. [abstract] [link]

Z. He. Quasi-Monte Carlo for Discontinuous Integrands with Singularities along the Boundary of the Unit Cube. *Mathematics of Computation*, 87 (314), 2857-2870, 2018. [abstract] [link]

C. Weng, X. Wang, and Z. He. Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension reduction, *SIAM Journal on Scientific Computing*, 39 (2), B298-B322, 2017. [abstract] [link]

Z. He and A. B. Owen. Extensible Grids: Uniform Sampling on a Space-Filling Curve, *Journal of the Royal Statistical Society: Series B*, 78 (4), 917-931, 2016. [abstract] [link] [C++ Code]

C. Weng, X. Wang, and Z. He. An Auto-Realignment Method in Quasi-Monte Carlo for Pricing Financial Derivatives with Jump Structures, *European Journal of Operational Research*, 254 (1), 304-311, 2016. [abstract] [link]

C. Schretter, Z. He, M. Gerber, N. Chopin, and H. Niederreiter. Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve,*Proceedings of the MCQMC 2014 conference*, R. Cools and D. Nuyens (Eds.), 531-544, 2016. [abstract] [link]

Z. He and X. Wang. On the Convergence Rate of Randomized Quasi-Monte Carlo for Discontinuous Functions, *SIAM Journal on Numerical Analysis*, 53 (5), 2488-2503, 2015. [abstract] [link]

Z. He and A. B. Owen. Discussion of: 'Sequential Quasi-Monte Carlo' by M. Gerber and N. Chopin, *Journal of the Royal Statistical Society: Series B*, 77 (3), 563-564, 2015. [note] [link]

Z. He and X. Wang. Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives, *SIAM Journal on Scientific Computing*, 36 (2), B171-B197, 2014. [abstract] [link]

Z. He. Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. *Preprint, arXiv:1908.07232*, 2019. [abstract] [arXiv]

School of Mathematics

South China University of Technology

Guangzhou, 510641

P. R. China

Office: 4301, Building #4

Email: hezhijian@scut.edu.cn

何志坚，华南理工大学数学学院教授、博士生导师，国家级青年人才计划获得者。2015年于清华大学获得理学博士学位。研究兴趣为随机计算方法与不确定性量化，特别是拟蒙特卡罗方法的理论和应用研究。相关研究发表在统计学四大期刊Journal of the Royal Statistical Society: Series B，计算科学重要期刊SIAM Journal on Numerical Analysis，SIAM Journal on Scientific Computing，Mathematics of Computation，和运筹管理权威期刊European Journal of Operational Research等。博士论文获得新世界数学奖银奖。主持两项国家自然科学基金项目以及两项省部级项目。

本课题组现有5名在读硕士研究生，已经毕业3名硕士生（毕业去向：阿里巴巴、小鹏汽车等）。

每年计划招生：

1. 1-3名硕士生（概率统计方向），其中包含1名推免生

2. 1名博士生（计算数学方向）

3. 同时欢迎研究方向相近的博士后加盟，待遇从优。

现阶段研究方向有

1. 随机模拟算法研究，包括蒙特卡罗方法、拟蒙特卡罗方法、多层蒙特卡罗方法、马尔科夫蒙特卡罗方法

2. 贝叶斯计算研究，包括近似贝叶斯计算、变分推断

3. 科学计算中的机器学习方法

4. 大规模假设检验

欢迎对上述研究方向感兴趣的同学联系我。**优先考虑数理基础扎实，有较强编程能力，有较强的自我驱动能力的同学。**

由于时间有限，本人只优先考虑为有一定了解的学生写推荐信，如上课期间有过多次交流并让我有深刻印象、参加本人的项目并有实质贡献等。

自认为符合条件的学生请发邮件联系我并附上**带有相片**的简历或者来办公室找我咨询。

◆ 2010/09-2015/07, 清华大学，统计学，博士

◆ 2006/09-2010/07, 华南理工大学，数学与应用数学，本科

◆ 2021/09至今, 华南理工大学数学学院，教授

◆ 2018/01-2021/08, 华南理工大学数学学院，副教授

◆ 2016/01-2017/11, 中山大学岭南学院，特聘副研究员

◆ 2015/09-12, 华南理工大学经济与贸易学院，讲师

◆ 2014/01-07, 斯坦福大学统计系，访问学者

◆ 概率论与数理统计（本科）, 2018年春季, 2020年春季

◆ 数理统计（本科）, 2018年秋季, 2019年春季, 2019秋季, 2020秋季, 2021春季, 2021秋季, 2022春季

◆ 高等统计（研究生）, 2019秋季, 2020秋季, 2021秋季

◆ 贝叶斯统计与知识推理（研究生）, 2018年秋季，2020年春季

◆ 博士论文获2016新世界数学奖银奖

◆ 第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖

◆ 2018年EJOR期刊优秀审稿人

◆ 2019-2020年度华南理工大学优秀班主任

◆ 广东省现场统计学会理事

◆ 广东省计算数学学会理事

◆ 中国运筹学会金融工程与金融风险管理分会理事

◆ 广东省统计局百名统计专家

◆ 国家高层次人才项目（执行期限：2022-2024，主持，在研）

◆ 国家自然科学基金面上项目：风险测度的敏感性分析与创新算法（编号：12071154，执行期限：2021-2024，主持，在研）

◆ 国家自然科学基金青年项目：基于拟蒙特卡罗模拟的VaR和CVaR计算问题研究（编号：71601189，执行期限：2017-2019，主持，已结题）

◆ 广东自然科学基金面上项目：基于嵌套模拟的金融风险定量计算（执行期限：2021-2023，主持，在研）

◆ 广州市应用基础研究计划项目：高维近似贝叶斯计算问题的研究（执行期限：2021/4-2023/3，主持，在研）

◆ 中央高校面上项目：条件拟蒙特卡罗模拟研究（执行期限：2019-2021，主持，在研）

[9] **Z. He**, Z. Xu*, X. Wang. Unbiased MLMC-based variational Bayes for likelihood-free inference, *SIAM Journal on Scientific Computing*, 44(4), A1884-A1910, 2022. [链接]

[8] C. Zhang, X. Wang, and **Z. He***. Efficient importance sampling in quasi-Monte Carlo methods for computational finance, *SIAM Journal on Scientific Computing*, 43(1), B1-B29, 2021. [摘要] [链接]

[7] **Z. He*** and X. Wang. Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall, *Mathematics of Computation*, 90(327), 303-319 2021. [摘要] [链接]

[6] **Z. He***. On the Error Rate of Conditional quasi-Monte Carlo for discontinuous functions, *SIAM Journal on Numerical Analysis*, 57(2), 854-874, 2019. [摘要] [链接]

[5] **Z. He***. Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit Cube, *Mathematics of Computation*, 87(314), 2857-2870, 2018. [摘要] [链接]

[4] C. Weng, X. Wang, and **Z. He***. Efficient computation of option prices and Greeks by quasi-Monte Carlo method with smoothing and dimension reduction, *SIAM Journal on Scientific Computing*, 39(2), B298-B322, 2017. [摘要] [链接]

[3] **Z. He** and A. B. Owen*. Extensible grids: Uniform sampling on a space-filling curve, *Journal of the Royal Statistical Society: Series B*, 78(4), 917-931, 2016. [摘要] [C++ Code] [链接]

[2] **Z. He*** and X. Wang. On the Convergence rate of randomized Quasi-Monte Carlo for discontinuous functions, *SIAM Journal on Numerical Analysis*, 53(5), 2488-2503, 2015. [摘要] [链接]

[1] **Z. He*** and X. Wang. Good Path generation methods in quasi-Monte Carlo for pricing financial derivatives, *SIAM Journal on Scientific Computing*, 36(2), B171-B197, 2014. [摘要] [链接]

[9] J. Zhang and **Z. He***. GMM-based procedure for multiple hypotheses testing, *Communications in Statistics - Simulation and Computation*, 2022. [链接]

[8] **Z. He***. Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo, *European Journal of Operational Research*, 298(1), 229-242, 2022. [摘要] [链接]

[7] **Z. He*** and X. Wang. An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering, *Computational Economics*, 2021, 57(2), 693-718, 2021. [摘要] [链接]

[6] X. Fei*, M. Giles, **Z. He**. QMC Sampling from Empirical Datasets, *Proceedings of the MCQMC 2018 conference*, 2018. [摘要] [链接]

[5] **Z. He*** and L. Zhu. Asymptotic normality of extensible grid sampling, *Statistics and Computing*, 29(1), 53-65, 2019. [摘要] [链接]

[4] F. Xie, **Z. He***, and X. Wang. An importance sampling-based smoothing approach for quasi-Monte Carlo Simulation of barrier options. *European Journal of Operational Research*, 274(2), 759-772, 2019. [摘要] [链接]

[3] C. Schretter*, **Z. He**, M. Gerber, N. Chopin, and H. Niederreiter. Van der Corput and golden ratio sequences along the Hilbert space-filling curve. *Proceedings of the MCQMC 2014 conference*, R. Cools and D. Nuyens (Eds.), 531-544, 2016. [摘要] [链接]

[2] C. Weng, X. Wang, and **Z. He***. An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures,*European Journal of Operational Research*, 254(1), 304-311, 2016. [摘要] [链接]

[1] **Z. He** and A. B. Owen*. Discussion of: 'Sequential Quasi-Monte Carlo' by M. Gerber and N. Chopin, *Journal of the Royal Statistical Society: Series B*, 77 (3), 563-564, 2015. [note] [链接]

华南理工大学数学学院

办公室：四号楼4301

邮箱：hezhijian AT scut.edu.cn