# Biography

Dr. Zhijian He is an associate 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).

### Interests

• Computational Statistics
• Computational Finance
• Monte Carlo and quasi-Monte methods

### Education

• PhD in Statistics, 2015

Tsinghua University

• BSc in Mathematics and Applied Mathematics, 2010

South China University of Technology

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# Experience

#### South China University of Technology

Jan 2018 – Present Guangzhou
Taught Mathematical Statistics, Advanced Statistics etc.

#### Sun Yat-Sen University

Jan 2016 – Dec 2018 Guangzhou

#### South China University of Technology

Sep 2015 – Dec 2015 Guangzhou

# Projects

#### External Project

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#### Internal Project

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# Recent & Upcoming Talks

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# Recent Publications

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### Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall

Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo …

### An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering

Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are …

### On the Error Rate of Conditional Quasi-Monte Carlo for Discontinuous Functions

This paper studies the rate of convergence for conditional quasi–Monte Carlo (QMC), which is a counterpart of conditional Monte …

### An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

Handling discontinuities in financial engineering is a challenging task when using quasi-Monte Carlo (QMC) method. This paper develops …