Chao ZHOU Department of Mathematics - National University of Singapore

Contact information ZHOU Chao Department of Mathematics - NUS 10 Lower Kent Ridge Rd Block S17 Office 8-14 Singapore, 119076 Phone: (65) 6516 2938 Email: matzc_at_nus.edu.sg

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

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

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

10. Stochastic control for a class of nonlinear kernels and applications, joint work with D. Possamaï and X. Tan. arXiv:1510.08439 PDF

11. Dynamic Programming for Stochastic Control Problem Under Expectation Constraint, joint work with Y. Zhou. Slides

12. Recovering Linear Equations of XVA in Bilateral Contracts, joint work with J. Lee. Slides

13. The Sustainable Black-Scholes Equations, joint work with Y. Armenti and S. Crepey. Slides