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 and Preprints

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

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

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

Ph.D. thesis dissertation

Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations

Seminars & Conferences

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.

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 Computatoin for M.Sc.in Quantitive Finance at National University of Singapore, Singapore, 2013-2014

Recent papers

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

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

7. The obstacle problem for semilinear parabolic partial integro-differential equations, joint work with A. Matoussi and W. Sabbagh. arXiv:1307.0875v2 PDF