Refereed Journal Papers:

 

1.     He, X.-J. and S.-P. Zhu, Pricing European options with stochastic volatility under the minimal entropy martingale measure, European J. of Applied Mathematics, 2016, Vol. 27(2), 233–247 (ERA Journal Ranking: A).

 

2.     Le, Nhat-Tan, X. Lu, and S.-P. Zhu, An analytical solution for Parisian up-and-in calls, ANZIAM Journal, 2016, Vol. 57(3), 269–279.

 

3.     Le, Nhat-Tan, S.-P. Zhu and X. Lu, An integral equation approach for the valuation of American-style down-and-out calls with rebate, Computers and Mathematics with Applications, 2015 (accepted, ERA Journal Ranking: A).

 

4.     Chen,W.-T., L.-B. Xu and S.-P. Zhu, Stock Loans with Stochastic Interest Rate, Computers and Mathematics with Applications, 2015, Vol. 70(8), 1757–1771 (ERA Journal Ranking: A).

 

5.     Zhu, S.-P. and J. Lee,  On the Adomian Decomposition Method for Solving PDEs, Communications in Mathematical Research, 2014 (accepted).  

 

6.     Chan, L.-L. and S.-P. Zhu, An analytic formula for pricing convertible bonds with dividend yield in a regime switching model, IMA Journal of Management Mathematics, 2015, Vol. 26(4), 403–428 (SSCI).

 

7.     Chen,W.-T., X. Xu and S.-P. Zhu, Analytically pricing double barrier options based on a time-fractional Black-Scholes equation, Computers and Mathematics with Applications, 2015, Vol. 69(12), 1407-1419.  (ERA Journal Ranking: A).

 

8.     Chen,W.-T., X. Xu and S.-P. Zhu, A predictor-corrector approach for pricing American options under the finite moment log-stable model, Applied Numerical Mathematics, 2015, Vol. 97(Nov), 15-29.

 

9.     Chan, L.-L. and S.-P. Zhu, An Exact and Explicit Formula for Pricing Barrier Options with Regime Switching, Mathematics and Financial Economics, 2015, Vol. 9(1), 29-37.

 

10.  Zhu, S.-P. and G.-H. Lian, Pricing Forward-Start Variance Swaps with Stochastic Volatility, Applied Mathematics and Computation, 2015, Vol. 250, 920-933. (ERA Journal Ranking: A).

 

11.  Zhu, S.-P., N.-T. Le, W.-T. Chen and X. Lu, Pricing Parisian down-and-in options, Applied Mathematics Letters, 2015, Vol. 43,19–24.

 

12.  Zhu, S.-P. and G.-H. Lian, Analytically pricing volatility swaps under stochastic volatility, Journal of Computational and Applied Mathematics, 2015, Vol. 288, 332-340.

 

13.  Indraratna, B., S. Thirukumaran, E. T. Brown and S.-P. Zhu, Modeling the shear behavior of rock joints with asperity damage under constant normal stiffness,  Rock Mechanics and Rock Engineering, 2015, Vol. 48(1), 179-195 (ERA Journal Ranking: A).

 

14.  Indraratna B., B., C. Kumara, S.-P. Zhu and S. Sloan, Mathematical Modelling and Experimental Verification of Fluid Flow through Deformable Rough Rock Joints, ASCE International Journal of Geomechanics, 2015, Vol. 15(4), Page 04014065 (1-11) (ERA Journal Ranking: A).

 

15.  Rujivan, Sanae and S.-P. Zhu, A simple closed-form formula for pricing discretely-sampled variance swaps under a stochastic volatility model, ANZIAM Journal, 2014, Vol. 56(1), 1-27.

 

16.  Kim, J.-H., J. Lee, S.-H. Yu and S.-P. Zhu, A Multi-Scale Correction to the Black-Scholes Formula, Applied Stochastic Models in Business and Industry, 2014, Vol. 30(6), 753-765.

 

17.  Chen, W.-T., X. Xu and S.-P. Zhu, Analytically pricing European-style options under the modified Black-Scholes equation with spatial-fractional derivatives, Quarterly of Applied Mathematics, 2014,  Vol. LXXII, Num. 3, 597-611 (ERA Journal Ranking: A).

 

18.  Nader, J.-R, S.-P. Zhu and P. Cooper, Hydrodynamic and energetic properties of a finite array of fixed oscillating water column wave energy converters, Ocean Engineering, 2014, Vol. 88, 131–148. (ERA Journal Ranking: A).

 

19.  Luo, Y.-Y., J.-R. Nader, P. Cooper and S.-P. Zhu, Nonlinear 2D Analysis of the Efficiency of Fixed Oscillating Water Column Wave Energy Converters, Renewable Energy, 2014, Vol. 64, 255-265 (ERA Journal Ranking: A).

 

20.  Zhu, S.-P. and W.-T. Chen, Pricing Parisian and Parasian options analytically, Journal of Economic Dynamics and Control, 2013, Vol. 37, Num. 4, 875-896 (SSCI) (ERA Journal Ranking: A*).

 

21.  Zhu, S.-P. and W.-T. Chen, An inverse finite element method for pricing American options, Journal of Economic Dynamics and Control, 2013, Vol. 37, Num. 2, 231-250 (SSCI) (ERA Journal Ranking: A*).

 

22.  Lian, G.-H. and S.-P. Zhu, Pricing VIX options with stochastic volatility and random jumps, Decisions in Finance and Economics, 2013, Vol. 36, Issue 1, 71-88.

 

23.  Zhu, S.-P., A. Badran and X. Lu, A new exact solution for pricing European options in a two-state regime-switching economy, Computers and Mathematics with Applications, 2012, 64, 2744–2755. (ERA Journal Ranking: A).

 

24.  Zhu, S.-P. and G.-H. Lian, On the valuation of variance swaps with stochastic volatility, Applied Mathematics and Computation, 2012, Vol. 219, 1654–1669. (ERA Journal Ranking: A).

 

25.  Nader, J.-R, S.-P. Zhu, P. Cooper, and B. Stappenbelt, A Finite Element Study Of The Efficiency Of Arrays Of Oscillating Water Column Wave Energy Converters, Ocean Engineering, 2012, Vol. 43, 72–81. (ERA Journal Ranking: A).

 

26.  Rujivan, Sanae and S.-P. Zhu, A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility, Applied Mathematics Letters, 2012, Vol. 25, Num. 11, 1644-1650.

 

27.  Zhu, S.-P. and G.-H. Lian, An analytical pricing formula for VIX futures and its applications, Journal of Futures Markets, 2012, Vol. 32, Issue 2, 166-190 (SSCI) (ERA Journal Ranking: A).

 

28.  Zhu, S.-P. and Jin Zhang, Using Laplace Transform to Price American Puts, Dynamics of Continuous, Discrete and Impulsive Systems-B:Applications & Algorithms, 2012,19,447-469.

 

29.  Zhu, S.-P. and Jing Zhang, How should a convertible bond be decomposed? Decisions in Finance and Economics, 2012, Vol. 35, Num. 2, 113-149.

 

30.  Chen, W.-T. and S.-P. Zhu, Pricing perpetual American puts under multi-scale stochastic volatility, Asymptotic Analysis, 2012, Vol. 80, 133–148.

 

31.  Zhu, S.-P. and G.-H. Lian, A Closed-form Exact Solution Approach for Pricing Variance Swaps with Stochastic Volatility, Mathematical Finance, 2011, Vol. 21, Issue 2, 233-256. (ERA Journal Ranking: A*).

 

32.  Zhu, S.-P. and Jin Zhang, A New Predictor-Corrector Scheme for Valuing American Puts, Applied Mathematics and Computation, 2011, Vol. 217, Issue 9, 4439-4452. (ERA Journal Ranking: A).

 

33.  Zhu, S.-P. and W.-T. Chen, A predictor-corrector scheme based on ADI method for pricing American puts with stochastic volatility, Computers and Mathematics with Applications, 2011, Vol. 62, 1-26. (ERA Journal Ranking: A).

 

34.  Zhu, S.-P. and W.-T. Chen, A spectral-collocation method for pricing perpetual American puts with stochastic volatility, Applied Mathematics and Computation, 2011, Vol. 217, Issue 22, 9033-9040. (ERA Journal Ranking: A)

 

35.  Zhu, S.-P. and W.-T. Chen, Pricing perpetual American options under a stochastic volatility model with fast mean-reversion, Applied Math. Letters, 2011 Vol. 24, Num. 10, 1663-1669.

 

36.  Zhu, S.-P. and W.-T. Chen, Should an American option be exercised earlier or later if volatility is not assumed to be a constant? Int. J. of Theor. & App. Fin., 2011, Vol. 14, Num. 8, 1279-1297.

 

37.  Liu, Q., S.-P. Zhu, and W. Fan, The Puzzle of Warrants Trading below their Intrinsic Values in China’s A-Share Market, International Review of Applied Financial Issues and Economics, 2011, Vol. 3, Num. 3, 548-557.

 

38.  Zhu, S.-P. A Simple Approximation Formula for Calculating the Optimal Exercise Boundary of American Puts, Journal of Applied Mathematics and Computing, 2011, Vol. 37, Issue 1-2, 611-623.

 

39.  Zhu, S.-P. and L. Mitchell, An analytic solution for combined diffraction and radiation of ocean waves around a hollow cylindrical shell, Journal of Applied Mathematics and Computing, 2011, Vol. 36,  Issue 1-2, 401-416.

 

40.  Zhu, S.-P., On Various Quantitative Approaches For Pricing American Options, New Mathematics and Natural Computation, 2011, Vol. 7, Num. 2, 313-332.

 

41.  Zhu, S.-P. and W.-T. Chen, A new analytical approximation for European puts with stochastic volatility, Applied Mathematics Letters, 2010, Vol. 23, Issue 6, 687-692.

 

42.  Cheng, Jun, S.-P. Zhu and Shi-Jun Liao, An explicit series approximation to the optimal exercise boundary of American put options, Communications in Nonlinear Science and Numerical Simulations, 2010, Vol. 15, Issue 2, 1148-1158.

 

43.  Chen, W.-T. and S.-P. Zhu, Optimal exercise price of American options near expiry, The ANZAIM Journal 2009, Vol. 51, 145-161.

 

44.  Zhu, S.-P. and Fatimah Noor bt Harun, Refraction of interfacial waves over a circular hump, Engineering and Computational Mechanics, 2009, Vol. 162, Issue EM4, 199-213.

 

45.  Zhu, S.-P. and Fatimah Noor bt Harun, An Analytical Solution for Long Wave Refraction Over a Circular Hump, Journal of Applied Mathematics and Computing, 2009, Vol. 30, Issue 1, 315-333.

 

46.  Zhu, S.-P. and L. Mitchell, Linear diffraction of ocean waves around a hollow cylindrical shell structure, Wave Motion, 2009, Vol. 46, Issue 1, 78-88.

 

47.  Zhu, S.-P., H.-W. Liu and T. Marchant, A numerical model for the diffraction and refraction of weakly nonlinear waves, Engineering Analysis with Boundary Elements, 2009, Vol. 33, Num. 1, 63-76.

 

48.  Bierbrauer, F. and S.-P. Zhu, A Numerical Model for Multiphase Flow Based on the GMPPS Formulation, Part II: Dynamics, Eng. Applications of Comp. Fluid Mechanics, 2008, Vol. 2, No. 3, 284-298.

 

49.  Zhu, S.-P. and C. G. Hammel, On the improvement of a numerical method for solving high-order non-linear ordinary differential equations, Comm. in Num. Methods in Eng., 2008, Vol. 24, Issue 2, 111-124. (ERA Journal Ranking: A).

 

50.  Bierbrauer, F. and S.-P. Zhu, A Numerical Model for Multiphase Flow Based on the GMPPS Formulation, Part I: Kinematics, Computers and Fluids, 2007, Vol. 36, Issue 7, 1199-1212. (ERA Journal Ranking: A).

 

51.  Bierbrauer, F. and S.-P. Zhu, A Solenoidal Initial Condition for the Numerical Solution of the Navier-Stokes Equations for Two-Phase Incompressible Flow, Computer Modeling in Engineering and Sciences, 2007 Vol. 19, Nom. 1, 1-21.

 

52.  Zhu, S.-P. and Y. Zhang, A Comparative Study Of BEM and DRBEM in Solving The Helmholtz Equation, ANZIAM Journal, 2007, Vol. 49,  No. 1, 131-150.

 

53.  Zhu, S.-P. and Z.-W. He, Calculating the Early Exercise Boundary of American Put Options with an Approximation Formula, International Journal of Theoretical and Applied Finance, 2007, Vol. 10, No. 7, 1203-1227.

 

54.  Zhu, S.-P., An Exact and Explicit Solution for the Valuation of American Put Options, Quantitative Finance, 2006, Vol. 6, No. 3, 229-242.

 

55.  Zhu, S.-P., A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options, International Journal of Theoretical and Applied Finance, 2006, Vol. 9, No.  7, 1141-1177.

 

56.  Pu, G., Z.-W. He and S.-P. Zhu, Pricing Convertible Bonds Based On a Multi-stage Compound Option Model, Physica A, 2006, Vol. 366, 449-462. (ERA Journal Ranking: A)

 

57.  Zhu, S.-P., A Closed-form Analytical Solution for the Valuation of Convertible Bonds With Constant Dividend Yield, ANZIAM Journal., 2006, Vol. 47, 477-494.

 

58.  Zhao, F., S.-P. Zhu and Z.-R. Zhang, Numerical Experiments of a Benchmark Hull Based on a Turbulent Free-surface Flow Model, Computer Modeling in Engineering and Sciences, 2005, Vol. 9, No. 3, 273-286. (ERA Journal Ranking: A).

 

59.  Zhu, S.-P. and T.-P. Hung, A new numerical approach for solving high-order non-linear ordinary differential equations, Comm. in Num. Methods in Eng., 2003, Vol. 19, Issue 8, 601-614. (ERA Journal Ranking: A).

 

60.  Zhu, S.-P. and Y. Zhang, A flat ship theory on bow and stern flows, Australian Mathematical Society, ANZIAM Journal, 2003, Vol. 45, Part 1, 1-15.

 

61.  Zhu, S.-P. and D. Strunin, A simple mathematical model for the confinement of oil spills on the surface of an open ocean, Spill Science and Technology Bulletin, 2002,Vol. 7, 249-255.

 

62.  Liu, H.-W. and S.-P. Zhu, Dual reciprocity boundary element method for magnetohydrodynamic Channel flows, Australian Mathematical Society, Series B, 2002 ANZIAM J. Vol. 44, p305-322.

 

63.  Zhu, S.-P. and D.  Strunin, Modeling the confinement of spilled oil with floating booms, Applied  Math. Modeling, 2001, Vol. 25, Issue 9, 713-729.

 

64.  Zhu, S.-P.,  An innovative open boundary treatment for nonlinear water waves in a numerical wave tank, Computer Modeling in Engineering and Sciences, 2001, Vol. 2, Num. 2, 227-236. (ERA Journal Ranking: A).

 

65.  Zhu, S.-P., H.-W. Liu and K. Chen, A general DRBEM model for wave refraction and diffraction, Engineering Analysis with Boundary Elements, 2000, Vol. 24, Num. 5, 377-390.

 

66.  Zhang, Y. and S.-P. Zhu, A Third-Order Boussinesq Model Applied To Nonlinear Evolution of Shallow-Water Waves, J. of Hydrodynamics, 2000, Vol. 12, Num. 2, 107-126.

 

67.  Zhu, S.-P. and H.-W. Liu, On the application of the generalized multiquadric bases in conjunction with the LTDRM to solve transient nonlinear diffusion equations, Applied Mathematics and Computation, 1998, Vol. 96, Issue 2-3, 161-175.

 

68.  Zhu, S.-P. and H.-W. Liu, A combination of the LTDRM and the ATPS in solving  diffusion problems, Engineering Analysis with Boundary Elements, 1998, Vol. 21, Num. 3, 285-289.

 

69.  Zhu, S.-P., Solving Transient Diffusion Problems: Time-dependent fundamental solution approaches versus LTDRM approaches, Engineering Analysis with Boundary Elements, 1998, Vol. 21, Num. 1, 87-90.

 

70.  Zhu, S.-P. and Y. Zhang, On nonlinear transient free-surface flows over a bottom obstruction, Physics of Fluids, 1997, Vol. 9, Num.  9, 2598-2604. (an A* Journal on ERA)

 

71.  Satravaha, P. and S.-P. Zhu, An Application of the LTDRM to Transient Diffusion Problems With Nonlinear Material Properties and Nonlinear Boundary Conditions, Applied Mathematics and Computation, 1997, Vol. 87, Issue 2, 127-160.

 

72.  Zhang, Y. and S.-P.  Zhu, Subcritical, Transcritical and Supercritical Flows Over A Step, J. of Fluid Mechanics, 1997, Vol. 333, 257-271. (an A* Journal on ERA)

 

73.  Zhang, Y. and S.-P. Zhu, Resonant Transcritical Flow Over a Wavy Bed, Wave Motion, 1997, Vol. 25, Num. 3, 295-302.

 

74.  Zhu, S.-P. and P. Satravaha, Solving Nonlinear Time-Dependent Diffusion Equations with the Dual Reciprocity Method in Laplace Space, Engineering Analysis with Boundary Elements, 1996, Vol. 18, Num. 1, 19-27.

 

75.  Yih, C.-S. and S.-P. Zhu, Selective Withdrawal From Stratified Streams, Australian Mathematical Society, Series B, 1996 Vol. 38, Part 1, 26-40.

 

76.  Zhu, S.-P. and J. Imberger, Computer-Simulated Current Responses to Cyclones on the North West Shelf of Australia, Mathematical and Computer Modeling, 1996 Vol. 24, Num. 3, 93-115.

 

77.  Zhang, Y. and S.-P. Zhu, Open Channel Flow past a Bottom Obstruction, J. Engineering Mathematics, 1996 Vol. 30, Num. 4, 487-499. (ERA Journal Ranking: A).

 

78.  Zhu, S.-P. and P. Satravaha, An Efficient Computational Method for Modeling Transient Heat Conduction with Nonlinear Source Terms, Applied Math. Modeling, 1996 Vol. 20, Num. 7, 513-522.

 

79.  Zhang, Y. and S.-P. Zhu, A Comparison Study of Nonlinear Waves Generated Behind a semi-Circular Trench, Proc. Roy. Soc. London, Ser. A, 1996 Vol. 452, Num. 1950, 1563-1584. (an A* Journal on ERA)

 

80.  Zhu, S.-P. and G. Moule, An Efficient Numerical Calculation of Wave Loads on an Array of Vertical Cylinders, Appl.  Math. Modeling, 1996, Vol. 20, Num. 1, 26-33.

 

81.  Zhu, S.-P. and Y. Zhang, Scattering of Long Waves Around a Circular Island Mounted on a Conical Shoal, Wave Motion, 1996, Vol. 23, Num. 4, 353-362.

 

82.  Zhu, S.-P. and Y.  Zhang, Combined Refraction and Diffraction of Short Waves Using The Dual Reciprocity Boundary Element Method, Applied Ocean Research, 1995, Vol. 17, Num. 5, 315-322.

 

83.  Zhang, Y. and S.-P. Zhu, Resonant Interaction Between a Uniform Current and an Oscillating Object, Applied Ocean Research, 1995, Vol. 17, Num. 4, 259-264.

 

84.  Zhu, S.-P., Y. Zhang and T. R. Marchant, A DRBEM model for Microwave Heating Problems, Applied Math. Modeling, 1995, Vol. 19, Num. 5, 287-297.

 

85.  Zhu, S.-P. and Y.  Zhang, Combined Refraction and Diffraction of Short Waves Using The Dual Reciprocity Boundary Element Method, International Journal of Boundary Elements Communication, 1995, Vol. 6, Num. 2, 64-67.

 

86.  Zhu, S.-P. and P. Satravaha, Second-Order Diffraction Wave Forces on a Vertical Cylinder Due to Short-Crested Waves, Ocean Engineering,  1995, Vol. 22, Num. 2, 135-189 (ERA Journal Ranking: A).

 

87.  Zhang, Y. and S.-P. Zhu, New Solutions for the Propagation of Long Water Waves Over Variable Depth, J. of Fluid Mechanics, 1994, Vol. 278,  391-406. (an A* Journal on ERA)

 

88.  Zhu, S.-P., P. Satravaha, and X. Lu, Solving Linear Diffusion Equations with the Dual Reciprocity Method in Laplace Space, Engineering Analysis with Boundary Elements, 1994, Vol. 13, 1-10.

 

89.  Zhang, Y. and S.-P. Zhu, On The Choice of Interpolation Functions Used in the Dual Reciprocity Boundary Element Method, Engineering Analysis with Boundary Elements, 1994, Vol. 13, 387-396.

 

90.  Zhu, S.-P. and J.  Imberger, A Three-Dimensional Numerical Model of the Response of the Australian North West Shelf to Tropical Cyclones, Australian Mathematical Society, Series B, 1994, Vol. 36, Part 1, 64-100.

 

91.  Zhu, S.-P. and G. Moule, Numerical Calculation of Forces Induced by Short-Crested Waves on a Vertical Cylinder of Arbitrary Cross-sections, Ocean Engineering, 1994, Vol. 21, Num. 7, 645-662 (ERA Journal Ranking: A).

 

92.  Zhu, S.-P. and Y.  Zhang, Improvement on Dual Reciprocity Boundary Element Method for Equations with Convective Terms, Comm. in Num. Methods in Eng., 1994, Vol. 10, 361-371 (ERA Journal Ranking: A).

 

93.  Zhu, S.-P., A New DRBEM Model for Wave Refraction and Diffraction, Engineering Analysis with Boundary Elements, 1993, Vol. 12, 261-274.

 

94.  Zhu, S.-P., Particular Solutions Associated with Helmholtz Operators Used in DRBEM, International Journal of Boundary Elements Communication, 1993, Vol. 4, Num. 6, 231-233.

 

95.  Yu, L. and S.-P. Zhu, Numerical Simulation of Discharged Waste Heat and Contaminants into South Estuaries of the Yangtze River, Mathematical and Computer Modeling, 1993, Vol. 18, Issue. 12, 107-123.

 

96.  Zhu, S.-P. and Y. Zhang, Solving General Field Equations in Infinite Domains with Dual Reciprocity Boundary Element Method, Engineering Analysis with Boundary Elements, 1993, Vol. 12, 241-250.

 

97.  Zhu, S.-P., Diffraction of Short-Crested Waves Around a Circular Cylinder, Ocean Engineering, 1993, Vol. 20, Num. 4, 389-408 (ERA Journal Ranking: A).

 

98.  Zhu, S.-P., Stationary Binnie Waves Near Resonance, Quarterly of Applied Mathematics, 1992, Vol. L, 585-597 (ERA Journal Ranking: A).

 

99.  Yih, C.-S. and S.-P. Zhu, Patterns of Ship Waves (II. Gravity-Capillary Waves), Quarterly of Applied Mathematics, 1989, Vol. XLVII, 35-44. (ERA Journal Ranking: A)

 

100.         Yih, C.-S. and S.-P. Zhu, Patterns of Ship Waves, Quarterly of Applied Mathematics, 1989, Vol. XLVII, 17-33. (ERA Journal Ranking: A)