JINGYI ZHU portrait
  • Associate Professor, Mathematics
801-581-3236

Research Summary

My research interests have been in computational fluid dynamics, and more recently in mathematical finance. The mathematical problems I study are mostly based on modeling that leads to some partial differential equations or stochastic differential equations, and the numerical methods to solve these equations efficiently. Another area is the advection-diffusion-reaction equation application in sea ice, as part of research in Professor Ken Golden’s climate research team.

Education

  • Ph.D., Mathematics, New York University

Biography

I have been a faculty member at the Department of Mathematics, University of Utah since 1991, and I was previously a postdoc at the Lawrence Berkeley National Lab after receiving my Ph.D. at the Courant Institute of Mathematical Sciences of New York University. I received my undergraduate education in China, graduating from Zhejiang University with a B.S. degree in Mechanics.

My research interests have been in computational fluid dynamics, and more recently in mathematical finance. In particular I spent two years working at Salomon Brothers and Citigroup on fixed income derivatives research and support. The mathematical problems I study are mostly based on modeling that leads to some partial differential equations and stochastic differential equations, and the numerical methods to solve these equations efficiently. For example, together with Marco Avellaneda, we developed a continuous-time first-passage model for the distance-to-default in credit derivatives. In another work with Liuren Wu, we proposed and developed a static hedging strategy to reduce option portfolio risk in volatility surface, which succeeded in cutting the cost of dynamic hedging. 

Another of my continuing research interests is the advection-diffusion-reaction equation application in sea ice. As part of Ken Golden’s team, we explore the effective properties of the sea ice driven either by the random media of the sea ice, or the background advection induced by the ongoing climate change.