Chao ZHOUDepartment of Mathematics - National University of Singapore |
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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
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1. D. Possamai and C. Zhou. Second Order Backward Stochastic Differential Equations with Quadratic Growth. Stochastic Processes and their Applications, 123(10):3770-3799. arXiv:1201.1050v2 PDF
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2. A. Matoussi, D. Possamai and C. Zhou. Robust Utility Maximization in Non-dominated Models with 2BSDEs. Mathematical Finance, to appear. arXiv:1201.0769v2 PDF
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3. A. Matoussi, D. Possamai and C. Zhou. Second Order Reflected Backward Stochastic Differential Equations. Annals of Applied Probability, 23(6):2420-2457. arXiv:1201.0746v1 PDF
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4. A. Matoussi, W. Sabbagh. and C. Zhou. The obstacle problem for semilinear parabolic partial integro-differential equations. Stochastics and Dynamics, to appear.
arXiv:1307.0875v2 PDF
Ph.D. thesis dissertation
Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations
Seminars & Conferences
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THE 7TH INTERNATIONAL SYMPOSIUM ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, Weihai, 22-27 June 2014 site, invited speaker.
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Labex Louis Bachelier - SIAM-SMAI Conference on Financial Mathematics: Advanced Modeling and Numerical Methods, Paris, 17-20 June 2014 site, invited speaker.
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The First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk, Berlin, 21-24 May 2014 site, invited speaker.
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Summer program: Nonlinear Expectations, Stochastic Calculus under Knightian Uncertainty, and Related Topics, Singapore, 3 June-12 July, 2013 site, invited speaker.
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The First Asian Quantitative Finance Conference, Singapore, NUS, 9-11 January 2013 site.
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Fifth SMAI European Summer School In Financial Mathematics, Paris, Ecole Polytechnique 27-31 August 2012 site.
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Bachelier Finance Society 7th World Congress, Sydney 12-22 June 2012 site.
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The Sixth Bachelier Colloquium, Metabief-France 15-22 January 2012 site.
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Marie Curie Initial Training Network Spring School "Stochastic Analysis in Finance", Roscoff-France 06-15 March 2012 site.
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Seminaire de Probabilite Institut de Recherche Mathematique de Rennes,Rennes-France 06 February 2012 site.
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Sino-French Summer Institute: Stochastic Modeling and Applications, Beijing-China, 13 Juin-1st July 2011 site.
Organised Seminars & Conferences
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Seminar on Quantitative Finance, by the Centre for Quantitative Finance, NUS, from April 2014 site.
Teaching
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TA in both Optimization and Numerical Analysis for 1st year students at ENSAE (Paris Graduate School of Economics, Statistics and Finance), France, 2009-2010
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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
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Probability and Statistics, Multivariable Functions for 2nd year undergraduate students at University of Maine, Le Mans, France, 2013
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Advanced Financial Mathematics for M.Sc. in Mathematics at National University of Singapore, Singapore, 2013-2014
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Financial Time Series: Theory and Computatoin for M.Sc.in Quantitive Finance at National University of Singapore, Singapore, 2013-2014
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Interest Rate Models for M.Sc. in Quantitive Finance at National University of Singapore, Singapore, 2013-2014
Working papers and Preprints
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4. Second Order Backward Stochastic Differential Equations with Jumps, Part I: Aggregation and Uniqueness, joint work with N. Kazi-Tani and D. Possamai. arXiv:1208.0757 PDF
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5.Second Order Backward Stochastic Differential Equations with Jumps, Part II: Existence and Applications, joint work with N. Kazi-Tani and D. Possamai. arXiv:1208.0763 PDF
6.Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach, joint work with N. Kazi-Tani and D. Possamai. arXiv:1208.5581v1 PDF