Qualitative Sensitivity Analysis in Monotropic Programming. - Antoine Gautier 002; Frieda Granot; Harry Zheng (Math. Oper. Res., 1998)

The duration derby: a comparison of duration based strategies in asset liability management. - Harry Zheng; Lyn C. Thomas; David Edmund Allen (CDC, 2002)

Macaulay durations for nonparallel shifts. - Harry Zheng (Ann. Oper. Res., 2007)

Basket CDS pricing with interacting intensities. - Harry Zheng; Lishang Jiang (Finance Stochastics, 2009)

Efficient frontier of utility and CVaR. - Harry Zheng (Math. Methods Oper. Res., 2009)

The Valuation of the Basket CDS in a Primary-Subsidiary Model. - Jianwei Lin; Gechun Liang; Sen Wu 003; Harry Zheng (Asia Pac. J. Oper. Res., 2011)

Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. - Nicholas Westray; Harry Zheng (Finance Stochastics, 2011)

Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. - Baojun Bian; Sheng Miao; Harry Zheng (SIAM J. Financial Math., 2011)

On modeling credit defaults: A probabilistic Boolean network approach. - Jia-Wen Gu; Wai-Ki Ching; Tak Kuen Siu; Harry Zheng (Risk Decis. Anal., 2013)

A hidden Markov reduced-form risk model. - Jia-Wen Gu; Wai-Ki Ching; Harry Zheng (CIFEr, 2014)

On pricing and hedging basket credit derivatives with dependent structure. - Dong-Mei Zhu; Yue Xie; Wai-Ki Ching; Harry Zheng (CIFEr, 2014)

On reduced-form intensity-based model with 'trigger' events. - Jia-Wen Gu; Wai-Ki Ching; Tak Kuen Siu; Harry Zheng (J. Oper. Res. Soc., 2014)

Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. - Jingtang Ma; Wenyuan Li; Harry Zheng (Eur. J. Oper. Res., 2017)

On infectious model for dependent defaults. - Wai-Ki Ching; Jia-Wen Gu; Xiaoyue Li; Tak Kuen Siu; Harry Zheng (Risk Decis. Anal., 2017)

Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk. - Yao Tung Huang; Qingshuo Song; Harry Zheng (SIAM J. Financial Math., 2017)

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. - Jia-Wen Gu; Mogens Steffensen; Harry Zheng (Math. Oper. Res., 2018)

Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations. - Yusong Li; Harry Zheng (SIAM J. Control. Optim., 2018)

Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems. - Jingtang Ma; Jie Xing; Harry Zheng (SIAM J. Control. Optim., 2019)

Dynamic Portfolio Optimization with Looping Contagion Risk. - Longjie Jia; Martijn Pistorius; Harry Zheng (SIAM J. Financial Math., 2019)

Deep Learning for Constrained Utility Maximisation. - Ashley Davey; Harry Zheng (CoRR, 2020)

Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. - Yinghui Dong; Harry Zheng (Eur. J. Oper. Res., 2020)

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model. - Jingtang Ma; Wenyuan Li; Harry Zheng (Eur. J. Oper. Res., 2020)

Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. - Jia-Wen Gu; Shijing Si; Harry Zheng (SIAM J. Control. Optim., 2020)

Dynamic Equilibrium of Market Making with Price Competition. - Jialiang Luo; Harry Zheng (Dyn. Games Appl., 2021)

Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems. - Tianxiao Wang; Harry Zheng (SIAM J. Control. Optim., 2021)

Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty. - Dong-Mei Zhu; Harry Zheng (J. Optim. Theory Appl., 2022)

Portfolio Selection, Periodic Evaluations and Risk Taking. - Alex S. L. Tse; Harry Zheng (Oper. Res., 2023)

Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation. - Jialiang Luo; Harry Zheng (Dyn. Games Appl., 2023)

Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control. - Engel John C. Dela Vega; Harry Zheng (J. Optim. Theory Appl., 2023)

Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement. - Hyun Jin Jang; Zuo Quan Xu; Harry Zheng (Oper. Res., 2024)

Mean field analysis of two-party governance: Competition versus cooperation among leaders. - Dantong Chu; Kenneth Tsz Hin Ng; Sheung Chi Phillip Yam; Harry Zheng (Autom., 2025)

Step-wise Adaptive Integration of Supervised Fine-tuning and Reinforcement Learning for Task-Specific LLMs. - Jack Chen; Fazhong Liu; Naruto Liu; Yuhan Luo; Erqu Qin; Harry Zheng; Tian Dong; Haojin Zhu; Yan Meng 001; Xiao Wang (CoRR, 2025)

Fractional-Boundary-Regularized Deep Galerkin Method for Variational Inequalities in Mixed Optimal Stopping and Control. - Yun Zhao; Harry Zheng (CoRR, 2025)