Dr Gerald Cheang

Dr Gerald Cheang

Senior Lecturer

School of Mathematical Sciences

College of Science

Eligible to supervise Masters and PhD - email supervisor to discuss availability.

Mathematical Finance,Stochastic Processes,Asset Pricing Theory,Non-parametric Estimation,Model Selection Theory,Approximation Theory

Date Institution name Country Title
University of Auckland New Zealand BSC (Hon)
Yale University United States MA PhD

Date Title Institution name Country
— Zetifikat Deutsch als Fremdsprache Goethe Institut -
— Postgraduate Diploma in Teaching of Higher Education Nanyang Technological University Singapore

Year Citation
2021 Garces, L. P. D. M., & Cheang, G. H. L. (2021). A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics. Quantitative Finance, 21(12), 2025-2054.
DOI Scopus6 WoS5
2020 Cheang, G. H. L., & Garces, L. P. D. M. (2020). Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. Quantitative finance, 20(2), 291-310.
DOI Scopus16 WoS17
2015 Cheang, G. H. L., & Lian, G. (2015). Perpetual exchange options under jump-diffusion dynamics. Applied mathematical finance, 22(5), 450-462.
DOI Scopus2
2015 Mina, K. F., Cheang, G. H. L., & Chiarella, C. (2015). Approximate hedging of options under jump-diffusion processes. International Journal of Theoretical and Applied Finance, 18(4), 1-26.
DOI Scopus5 WoS4
2014 Caldana, R., Cheang, H. L. G., Chiarella, C., & Fusia, G. (2014). Correction: Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 22(1), a99-a103.
DOI Scopus11
2012 Cheang, H. L. G., & Chiarella, C. (2012). A modern view on Merton's jump-diffusion model. Quantitative Finance Research Centre, Research paper 287, 1-13.
DOI
2011 Cheang, G. H. L., & Chiarella, C. (2011). Exchange options under jump-diffusion dynamics. Applied mathematical finance, 18(3), 245-276.
DOI Scopus35
2011 Cheang, G. H. L., Chiarella, C., & Ziogas, A. (2011). The representation of American options prices under stochastic volatility and jump-diffusion dynamics. Quantitative Finance, 13(2), 241-253.
DOI Scopus14 WoS12
2010 Cheang, G. H. L. (2010). Approximation with neural networks activated by ramp sigmoids. Journal of Approximation Theory, 162(8), 1450-1465.
DOI Scopus37 WoS34
2000 Cheang, G. H. L., & Barron, A. R. (2000). A Better Approximation for Balls. Journal of Approximation Theory, 104(2), 183-203.
DOI Scopus19 WoS19

Year Citation
2014 Cheang, H. L. G., & Teh, G. A. (2014). Change of uméraire and a jump-diffusion option pricing formula. In R. Dieci, X. Z. he, & C. Hommes (Eds.), Source details - Title: Nonlinear Economic Dynamics and financial Modelling: Essays in Honour of Carl Chiarella (pp. 371-389). New York: Springer International Publishing.
DOI Scopus4
2012 Cheang, G. H. L., & Chiarella, C. (2012). A modern view on Merton's jump-diffusion model. In Advances in Statistics, Probability and Actuarial Science (pp. 217-234). WORLD SCIENTIFIC.
DOI

Year Citation
2020 Bretana, N. A., Robati, M., Rawat, A., Pandey, A., Khatri, S., Kaushal, K., . . . Cheang, G. (2020). Predicting student success for programming courses in a fully online learning environment. In 28th International Conference on Computers in Education (ICCE 2020). Proceedings Vol. 1 (pp. 47-56). Taiwan: Asia-Pacific Society for Computers in Education (APSCE).
Scopus2
2001 Cheang, G. H. L., & Barron, A. R. (2001). Penalized least squares, model selection, convex hull classes and neural nets. In Esann 2001 Proceedings 9th European Symposium on Artificial Neural Networks (pp. 371-376).
Scopus4
1999 Cheang, G. H. L., & Barron, A. R. (1999). Estimation with two hidden layer neural nets. In Proceedings of the International Joint Conference on Neural Networks Vol. 1 (pp. 375-378).
Scopus2

Courses I teach

  • MATH X200 Advanced Stochastic Processes (2026)
  • STAT X313 Times Series Analysis (2026)
  • INFS 5099 Data Science Professional Development (2025)
  • MATH 1043 Discrete Mathematics (2025)
  • MATH 1055 Calculus 2 (2025)
  • MATH 2030 Applied Probability (2025)
  • INFS 5099 Data Science Professional Development (2024)
  • MATH 1043 Discrete Mathematics (2024)
  • MATH 1055 Calculus 2 (2024)
  • MATH 2030 Applied Probability (2024)

Date Role Research Topic Program Degree Type Student Load Student Name
2025 Co-Supervisor From Policy to Plate: Optimizing Agrifood Supply Chains for Sustainability and Inclusive Development Doctor of Philosophy Doctorate Full Time Ms Xiaoni Wu
2025 Co-Supervisor From Policy to Plate: Optimizing Agrifood Supply Chains for Sustainability and Inclusive Development Doctor of Philosophy Doctorate Full Time Ms Xiaoni Wu
2017 Principal Supervisor Collision probability modelling for short-term satellite encounters Doctor of Philosophy Doctorate Part Time Mrs Hansi Kaushalya Perera Thanippuli Kankanamalage

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