Chao ZHOUDepartment of Mathematics - National University of Singapore |
 |
 |
|
I am an Assistant Professor in the Department of Mathematics, NUS.
I got my PhD in Applied Mathematics from CMAP, Ecole Polytechnique.
My thesis subject is Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations.
My advisor is Professor Anis MATOUSSI.
CV
Publications
-
1. D. Possamai and C. Zhou (2013). Second Order Backward Stochastic Differential Equations with Quadratic Growth. Stochastic Processes and their Applications, 123(10):3770-3799. arXiv:1201.1050v2 PDF
-
2. A. Matoussi, D. Possamai and C. Zhou (2015). Robust Utility Maximization in Non-dominated Models with 2BSDEs. Mathematical Finance, 25(2): 258-287. arXiv:1201.0769v2 PDF
-
3. A. Matoussi, D. Possamai and C. Zhou (2013). Second Order Reflected Backward Stochastic Differential Equations. The Annals of Applied Probability, 23(6):2420-2457. arXiv:1201.0746v1 PDF
-
4. A. Matoussi, W. Sabbagh. and C. Zhou (2015). The obstacle problem for semilinear parabolic partial integro-differential equations. Stochastics and Dynamics, 15(01)-1550007.
arXiv:1307.0875v2 PDF
-
5. N. Kazi-Tani and D. Possamai and C. Zhou (2015). Second Order Backward Stochastic Differential Equations with Jumps: Formulation and Uniqueness. The Annals of Applied Probability, 25(5)2867-2908. arXiv:1208.0757 PDF
-
6. N. Kazi-Tani and D. Possamai and C. Zhou(2015). Quadratic BSDEs with jumps: a fixed point approach. Electronic Journal of Probability, 20(66):1-28. arXiv:1208.5581 PDF
-
7. N. Kazi-Tani and D. Possamai and C. Zhou(2015). Second Order Backward Stochastic Differential Equations with Jumps: Existence and Probabilistic Representation for fully-nonlinear PIDEs. Electronic Journal of Probability, 20(65):1-31. arXiv:1208.0763 PDF
-
8. N. Kazi-Tani and D. Possamai and C. Zhou(2016). Quadratic BSDEs with Jumps: Related Non-linear Expectations. Stochastics and Dynamics, 16(4)-1650012. arXiv:1403.2730 PDF
-
9. B. Bouchard, D. Possamai, X. Tan and C. Zhou (2016). A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. Annales de l'Institut Henri Poincare (B), to appear. arXiv:1403.2730 PDF
-
10. D. Possamai, X. Tan and C. Zhou (2018). Stochastic control for a class of nonlinear kernels and applications. The Annals of Probability, 46(1):551-603. arXiv:1510.08439 PDF
Ph.D. thesis dissertation
Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations
Seminars & Conferences
-
THE 7TH INTERNATIONAL SYMPOSIUM ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, Weihai, 22-27 June 2014 site, invited speaker.
-
Labex Louis Bachelier - SIAM-SMAI Conference on Financial Mathematics: Advanced Modeling and Numerical Methods, Paris, 17-20 June 2014 site, invited speaker.
-
The First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk, Berlin, 21-24 May 2014 site, invited speaker.
-
Summer program: Nonlinear Expectations, Stochastic Calculus under Knightian Uncertainty, and Related Topics, Singapore, 3 June-12 July, 2013 site, invited speaker.
-
The First Asian Quantitative Finance Conference, Singapore, NUS, 9-11 January 2013 site.
-
Fifth SMAI European Summer School In Financial Mathematics, Paris, Ecole Polytechnique 27-31 August 2012 site.
-
Bachelier Finance Society 7th World Congress, Sydney 12-22 June 2012 site.
-
The Sixth Bachelier Colloquium, Metabief-France 15-22 January 2012 site.
-
Marie Curie Initial Training Network Spring School "Stochastic Analysis in Finance", Roscoff-France 06-15 March 2012 site.
-
Seminaire de Probabilite Institut de Recherche Mathematique de Rennes,Rennes-France 06 February 2012 site.
-
Sino-French Summer Institute: Stochastic Modeling and Applications, Beijing-China, 13 Juin-1st July 2011 site.
Organised Seminars & Conferences
-
Seminar on Quantitative Finance, by the Centre for Quantitative Finance NUS, from April 2014 site.
-
Paris-Southeast Asia Conference in Mathematical Finance, jointly organized by the Centre for Quantitative Finance NUS, Institute of Technology of Cambodia, University of Evry and ENSIIE, and University Paris Diderot, Siem Reap, Cambodia, 7-11 February 2015 site.
-
Second Paris-Asia Conference in Quantitative Finance, jointly organized by the Centre for Quantitative Finance, Institute of Real Estate Studies and Risk Management Institute NUS, University of Evry and ENSIIE, and University Paris Dauphine, Suzhou, China, 23-27 May 2017 site.
Teaching
-
TA in both Optimization and Numerical Analysis for 1st year students at ENSAE (Paris Graduate School of Economics, Statistics and Finance), France, 2009-2010
-
Monte-Carlo method in finance and insurance for 1st year graduate students at 2nd year undergraduate students at University of Maine, Le Mans, France, 2013
-
Probability and Statistics, Multivariable Functions for 2nd year undergraduate students at University of Maine, Le Mans, France, 2013
-
Advanced Financial Mathematics for M.Sc. in Mathematics at National University of Singapore, Singapore, 2013-2014
-
Financial Time Series: Theory and Computation for M.Sc.in Quantitative Finance at National University of Singapore, Singapore, 2013-2014, 2014-2015, 2015-2016
-
Interest Rate Models for M.Sc. in Quantitative Finance at National University of Singapore, Singapore, 2013-2014, 2014-2015
-
Interest Rate Theory and Credit Risk for M.Sc. in Quantitative Finance at National University of Singapore, Singapore, 2015-2016, 2016-2017
-
Stochastic Analysis in Mathematical Finance for M.Sc. in Mathematics and in Quantitative Finance at National University of Singapore, Singapore, 2014-2015, 2015-2016, 2016-2017
Working papers and Preprints
-
11. Dynamic Programming for Stochastic Control Problem Under Expectation Constraint, joint work with X. Yu and Y. Zhou. PDF
-
13. The Sustainable Black-Scholes Equations, joint work with Y. Armenti and S. Crepey. In: Londoño J., Garrido J., Jeanblanc M. (eds) Actuarial Sciences and Quantitative Finance. ICASQF 2016. Springer. Slides
-
14. Bank monitoring incentives under moral hazard and adverse selection, joint work with N. Hernandez and D. Possamai. PDF
-
15. BSDEs with weak reflections and partial hedging of American options, joint work with R. Dumitrescu, R. Elie and W. Sabbagh. PDF
-
16. Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, joint work with Z. Yang and G. Liang. PDF
-
17. Second order BSDE under monotonicity condition and liquidation problem under uncertainty, joint work with A. Popier. PDF
-
18. Investment Decisions and Falling Cost of Data Analytics, joint work with J. Keppo and H. M. Tan. PDF
-
19. Second order stochastic target problems with generalized market impact, joint work with B. Bouchard, G. Loeper and H. M. Soner. PDF