Refereed
Journal Papers:
1.
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. (an A Journal on ERA)
2.
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. (an A Journal on ERA)
3.
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. (an A* Journal on ERA)
4.
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. (an A Journal on ERA)
5.
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. (an A Journal on ERA)
6.
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. (an A Journal on ERA)
7.
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.
8.
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.
9.
Zhu,
S.-P. and G.-H. Lian,
Pricing Forward-Start Variance Swaps with Stochastic Volatility, Mathematical Methods in
Economics and Finance,
(accepted on 16 Feb., 2012).
10. Chen, W.-T. and S.-P. Zhu, Pricing perpetual
American puts under multi-scale stochastic volatility, Asymptotic Analysis, (accepted on 31 Jan., 2012).
11. Rujivan, Sanae and S.-P. Zhu, A simplified
analytical approach for pricing discretely-sampled variance swaps with
stochastic volatility, Applied Mathematics Letters, 2011 (accepted
on 22 Jan. 2012).
12. Lian, G.-H. and S.-P. Zhu, Pricing VIX options with stochastic
volatility and random jumps, Decisions in Finance and
Economics,
(accepted on 4 Nov., 2011).
13. Zhu, S.-P. and Jin Zhang, Using Laplace Transform to Price American
Puts, Dynamics of
Continuous, Discrete and Impulsive Systems-B, (accepted
on 8 Nov., 2010).
14. Zhu, S.-P. and Jing Zhang, How should a convertible bond be decomposed?
Decisions in Finance and Economics, (accepted
on 27 May, 2011).
15. Ogunbona, René, Andrew
Tan and Song-Ping Zhu, Analytically Pricing Variance Swaps with Stochastic
Volatility and Random Jumps, International
Review of Applied Financial Issues and Economics, (accepted
on 28 Aug, 2011).
16. 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.
17. 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.
18. 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.
19. Zhu, S.-P., On Various Quantitative Approaches For Pricing American Options, New Mathematics and Natural Computation,
2011, Vol. 7, Num.
2, 313-332.
20. 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.
21. 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.
22. Chen, W.-T. and S.-P. Zhu, Optimal
exercise price of American options near expiry, The ANZAIM
Journal 2009, Vol. 51, 145-161.
23. 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.
24. 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.
25. 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.
26. 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.
27. Bierbrauer,
F. and S.-P.
Zhu, A
Numerical Model for Multiphase Flow Based on the GMPPS Formulation, Part II:
28. 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. (an
A Journal on ERA)
29. 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. (an
A Journal on ERA)
30. 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.
31. 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.
32. 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.
33. Zhu,
S.-P., An Exact and Explicit Solution for the Valuation of American Put
Options, Quantitative Finance, 2006, Vol. 6, No. 3, 229-242.
34. 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.
35. 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.
(an A Journal on ERA)
36. 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.
37. 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. (an A Journal on
ERA)
38. Zhu, S.-P. and
Hung, T.-P. 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. (an A Journal on
ERA)
39. Zhu,
S.-P. and Zhang, Y. A flat ship theory on bow and
stern flows, Australian Mathematical
Society, ANZIAM Journal, 2003, Vol.
45, Part 1, 1-15.
40. Zhu, S.-P. and Strunin, D. 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.
41. Liu, H.-W. and
Zhu, S.-P. Dual reciprocity boundary element method for magnetohydrodynamic
Channel flows, Australian Mathematical
Society, Series B, 2002 ANZIAM J. Vol. 44, p305-322.
42. Zhu, S.-P. and Strunin, D. Modeling
the confinement of spilled oil with floating booms, Applied
Math. Modeling,
2001, Vol. 25, Issue 9, 713-729.
43. 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. (an A Journal on
ERA)
44. Zhu, S.-P., Liu, H.-W. and
Chen, K. A general DRBEM model for wave refraction and diffraction, Engineering Analysis with Boundary Elements,
2000, Vol. 24, Num. 5, 377-390.
45. Zhang, Y. and Zhu, S.-P. A Third-Order Boussinesq
Model Applied To Nonlinear Evolution of Shallow-Water Waves, J. of Hydrodynamics, 2000, Vol. 12, Num. 2, 107-126.
46. 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.
47. Zhu, S.-P. and
Liu, H.-W. A combination of the LTDRM and the ATPS in solving diffusion problems, Engineering Analysis with Boundary Elements,
1998, Vol. 21, Num. 3, 285-289.
48. 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.
49. Zhu, S.-P. and
Zhang, Y. 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)
50. Satravaha, P. and Zhu, S.-P. 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.
51. Zhang, Y. and Zhu, S.-P. Subcritical, Transcritical
and Supercritical Flows Over A Step, J.
of Fluid Mechanics, 1997, Vol.
333, 257-271. (an A* Journal
on ERA)
52. Zhang, Y. and Zhu, S.-P. Resonant Transcritical Flow Over a Wavy
Bed, Wave Motion, 1997, Vol. 25, Num. 3, 295-302.
53. Zhu, S.-P. and Satravaha,
P. 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.
54. Yih, C.-S. and Zhu,
S.-P. Selective Withdrawal From
Stratified Streams, Australian
Mathematical Society, Series B, 1996 Vol.
38, Part 1, 26-40.
55. Zhu, S.-P. and Imberger, J.
Computer-Simulated Current Responses to Cyclones on the North West Shelf
of Australia, Mathematical and Computer
Modeling, 1996 Vol. 24, Num. 3,
93-115.
56. Zhang, Y. and Zhu, S.-P. Open Channel Flow
past a Bottom Obstruction, J. Engineering
Mathematics, 1996 Vol. 30, Num.
4, 487-499. (an A Journal on
ERA)
57. Zhu, S.-P. and Satravaha, P. An Efficient Computational Method for
Modeling Transient Heat Conduction with Nonlinear Source Terms, Applied Math. Modeling, 1996 Vol. 20, Num. 7, 513-522.
58. Zhang, Y. and Zhu, S.-P. 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)
59. Zhu, S.-P. and Moule, G. An Efficient Numerical Calculation of Wave Loads
on an Array of Vertical Cylinders, Appl. Math. Modeling, 1996, Vol. 20, Num. 1, 26-33.
60. Zhu, S.-P. and
Zhang, Y. Scattering of Long Waves Around a
61. Zhu, S.-P. and
Zhang, Y. Combined Refraction and
Diffraction of Short Waves Using The Dual Reciprocity Boundary Element Method, Applied Ocean Research, 1995, Vol. 17, Num. 5, 315-322.
62. Zhang, Y. and Zhu, S.-P. Resonant Interaction Between
a Uniform Current and an Oscillating Object, Applied Ocean Research, 1995, Vol.
17, Num. 4, 259-264.
63. Zhu, S.-P., Zhang, Y. and Marchant T. R. A
DRBEM model for Microwave Heating Problems, Applied
Math. Modeling, 1995, Vol. 19,
Num. 5, 287-297.
64. Zhu, S.-P. and
Zhang, Y. 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.
65. Zhu, S.-P. and Satravaha, P. Second-Order Diffraction Wave Forces on a
Vertical Cylinder Due to Short-Crested Waves, Ocean Engineering, 1995, Vol. 22, Num. 2, 135-189.
66. Zhang, Y. and Zhu, S.-P. 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)
67. Zhu, S.-P., Satravaha,
P. and Lu, X. Solving Linear Diffusion Equations with the Dual Reciprocity
Method in
68. Zhang, Y. and Zhu, S.-P. On The Choice of
Interpolation Functions Used in the Dual Reciprocity Boundary Element Method, Engineering Analysis with Boundary Elements,
1994, Vol. 13, 387-396.
69. Zhu, S.-P. and Imberger, J. 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.
70. Zhu, S.-P. and Moule, G. 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.
71. Zhu, S.-P. and
Zhang, Y. Improvement on Dual
Reciprocity Boundary Element Method for Equations with Convective Terms, Comm. in Num. Methods in
72. Zhu, S.-P. A New DRBEM Model for Wave
Refraction and Diffraction, Engineering
Analysis with Boundary Elements, 1993, Vol.
12, 261-274.
73. 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.
74. Yu, L. and Zhu, S.-P. Numerical Simulation of Discharged Waste Heat
and Contaminants into South Estuaries of the
75. Zhu, S.-P. and Zhang, Y. Solving General
Field Equations in Infinite Domains with Dual Reciprocity Boundary Element
Method, Engineering Analysis with
Boundary Elements, 1993, Vol.
12, 241-250.
76. Zhu, S.-P. Diffraction of Short-Crested
Waves Around a Circular Cylinder, Ocean Engineering, 1993, Vol.
20, Num. 4, 389-408.
77. Zhu, S.-P. Stationary Binnie
Waves Near Resonance, Quarterly of Applied Mathematics, 1992, Vol. L, 585-597.
78. Yih, C.-S. and Zhu,
S.-P. Patterns of Ship Waves (II.
Gravity-Capillary Waves), Quarterly of
Applied Mathematics, 1989, Vol.
XLVII, 35-44.
79. Yih, C.-S. and Zhu,
S.-P. Patterns of Ship Waves, Quarterly of Applied Mathematics, 1989, Vol. XLVII, 17-33.