Zili Zhu BSc MEng PhD

Current Activities

• Design and development of new instruments for capital markets.
• Development of a dynamic design tool for derivatives-: Reditus. (see a simple Poster and a list of  Models) (Details on Reditus can be downloaded in a PowerPoint and a press release).
• Provide services to the finance industry with consulting, training, software development and support
• Pricing of equity exotic options, interest-rate and FX derivatives
• Modelling and pricing of investments linked to long-term carbon and energy prices through Real-Option methodology
• Model development and validation
• Development of  numerical methods and algorithms for computing volatility surfaces. A new scheme for computing local volatility from market implied data has been demonstrated to be very stable for difficult implied volatilities.

Professional Interests

• Mathematical modelling of derivatives, firm values and credit risk 
• Tree, finite-difference and finite-element methods, numerical methods and algorithms
• Financial engineering, Options pricing.
• Solution of generic partial differential equations
• CFD, Turbulence Modelling, and the Modelling of  Turbulent Combustions
• Hydrodynamics, design and modelling of marine propellers and cavitations.

Some Papers on Option-Pricing

• A Fully-Coupled Solution Algorithm for Pricing Options with Complex Barrier Structures. (submitted to the Journal of Computational Finance, May,2008)

• A Scenario-Based Integrated Approach for Modeling Carbon Price Risk. Journal of Decisions in Economics and Finance, Volume 32, Issue 1, Page 35, 2009.

• Make a Killing by Planting A Tree: What to Expect from the Uncertainty in Future Carbon Prices. (draft, September 2008)

• Using Local Volatility Surfaces to Get Market Prices for Barrier Options, Proc. of the First International Workshop on Intelligent Finance (IWIF 2004), Melbourne, Australia.
• Pricing Path-dependent (Asian & Parisian) Options with FEM.  International Conference on Quantitative Methods in Finance, Sydney, 1999.
• Improving Pricing Accuracy for Options with Optimal Early Exercise.  International Conference on Quantitative Methods in Finance, Sydney, 1999.

Download Exotic Options Pricing Software (not available currently)

Contact Details

Organisation: CSIRO Mathematical and Information Sciences
Location: Gate 7, 77 Normanby Road, Clayton Vic. 
Mail: Private Bag 10, Clayton South, 3169
E-mail: Zili.Zhu@csiro.au
Telephone: +61 3 9545 8003
Fax: +61 3 9545 8080

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last updated 03/04/09