Dr Zili Zhu

Senior Principal Research Consultant, Director of RiskLab

Contact details:

Biography

Dr Zhu is a Senior Principal Research Consultant at CSIRO, and leads the CSIRO R&D in Quantitative Financial Risk through the RiskLab Inititive. He focuses on developing state-of-art mathematical models and optimal decision analytics for the financial markets, mining and agricultural business.

Dr Zhu established RiskLab Australia (www.RiskLab.com.au) as the Australia node of the global RiskLab Network. As the Director of RiskLab Australia, he established RiskLab with a 6-people industry Advisory Board and 8-people Academic Board. Fourteen full-time CSIRO staff members and eight PhD students form the core staff of RiskLab. RiskLab has partnership with Monash Master Financial Mathematics Program and provides internship training for 20 interns each year.

From 2001, Dr Zhu has led the CSIRO Reditus team to develop, implement and commercialise the exotic options Reditus plug-in for BGC/FENICS. Now, Reditus is used by 350 financial institutions globally for their daily foreign-exchange options trading. This long-term commercial relationship offers CSIRO the benefit of producing state-of-the-art research output that is used by the industry on a daily basis.

In addition to the on-going development of the latest exotic math models for the foreign-exchange derivatives market, (such as the latest LSV model used by tier-one banks globally), the RiskLab team are also focusing on developing innovative optimal decision algorithms under uncertainty as the underlying engine for applications across the finance, mining and agri-business. Commercial engagement is on-going to generate dynamic decisions and strategies in the superannuation and asset management arena. The optimal decision algorithms are also applied to generating optimal mix of growing crops and trees for efficient land-use in the uncertain lower carbon environment. Another activity is on using the Real-option methodologies for optimally selecting power generation technologies under the uncertainty of Carbon price risk. A major application is for using the Real-Option algorithms to seek optimal decisions in exploration and operational strategies for maximising cash returns from multiple mining sites.

Education:
Zili completed his Honors degree in Naval Architecture at the Harbin Shipbuilding Engineering Institute (China), and then specialized in propellers and cavitations. He completed his Masters degree at China Ship Scientific Research Centre (CSSRC) with high distinction for developing a panel method to study the interaction between propellers and rudders. He worked for a further two more years with CSSRC as Research Engineer in the design and computer modeling of marine propellers.

After spending one year as a Visiting Scholar at the Norwegian Marine Technology Research Institute (MARINTEK), Zili came to Sydney University to pursue his PhD in the Dept of Mechanical Engineering. He developed an innovative space-marching algorithm for two and three-dimensional turbulent flows, and obtained his PhD at Sydney University in 1991.

He then joined CSIRO Division of Mathematics and Statistics to develop a generic partial-differentiation-equation solver Fastflo. The development team was awarded a CSIRO Medal in 1996 for their innovation and the successful commercial launch of the Fastflo software.

In 1996, Zili changed his research focus from Computational Fluid Dynamics to the emerging new field: Financial Engineering. He then led the CSIRO efforts in using Fastflo to develop new math models for pricing exotic options in the financial markets.

From 2000, Zili has been leading the CSIRO R&D team in creating and further developing an exotic options-pricing software Reditus. In early 2005, Reditus was successfully launched in San Francisco and has since been marketed globally by GFI/FENICS, a Nasdaq-listed leading inter-dealer broker specializing in over-the-counter derivatives.

In 2006, in addition to continually developing new exotic options models, Zili embarked on developing a new Real-Options framework for optimal decision making under uncertainty. Now, the Real-options methodology is the dynamic decision analytics underpinning innovative applications in financial asset-management, efficient mining operations and efficient land-use.

Currently, Dr Zhu and the RiskLab R&D team are busily designing new case studies and back-testings to demonstrate the extra returns that can be achieved through dynamic decision strategies in managing financial portfolios.

Current Roles

  • Director
    RiskLab at Data61 on: Quantitative Risk, Optimal decisions under Uncertainty, CyberSecurity.

Academic Qualifications

  • 1981

    B.Sc. (Hons), Naval Architecture (First Class Honours), Harbin Shipbuilding Engineering Institute, China.

  • 1984

    Master Degree in Engineering, Marine Propulsion, China Ship Scientific Research Centre (CSSRC).

  • 1991

    Ph.D., Computational Fluid Dynamics (CFD), University of Sydney.

Professional Experiences

  • 2015-now

    Senior Principal Research Consultant
    CSIRO

  • 2005-Now

    Senior Principal Research Scientist on Clause 11
    CSIRO

  • 2013-2016

    Adjunct Professor
    Economics and Management School of the Harbin Engineering University (China).

  • 1998-2005

    Principal Research Scientist
    CSIRO

  • 1994-1997

    Senior Research Scientist
    CSIRO

  • 1991-1993

    Research Scientist at CSIRO
    CSIRO

Achievements and Awards

  • 1992-1996

    CSIRO Medal for the development of Fastflo package.
    CSIRO

  • 2006-2007

    CMIS Award for "Go for Growth"
    CSIRO

  • 1998-1999

    CMIS Rewards for Exceptional Achievement for the development of options-pricing business, especially the CSIRO/CBA collaboration.
    CSIRO

  • 2005-2005

    Selected and voted the finalist of the iAwards of AIIA.
    CSIRO

  • 2008-2009

    CMIS Award for Partnership Excellence
    CSIRO

Grants

  • 2016-2019

    ARC Industry Discovery Grant Towards a Superannuation System Fit for the Future”, LP160101038, with Monash University, Challenger Group and Accurium