Zhou Zhou

   Zhou Zhou

    Lecturer
    School of Mathematics and Statistics
    University of Sydney


      Office: Carslaw 606
      Email: zhou.zhou (at) sydney.edu.au

      Curriculum Vitae

Employment

Education

Preprints

  • Time Consistent Stopping for the Mean-Standard Deviation Problem -- the Discrete Time Case, (with Erhan Bayraktar and Jingjie Zhang). [SSRN]

  • Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time, (with Yu-Jui Huang). [ArXiv]

  • A Mathematical Analysis of Technical Analysis, (with Matt Lorig and Bin Zou). [ArXiv]

  • Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case, (with Yu-Jui Huang). [ArXiv]

  • Non-zero-sum Stopping Games in Discrete Time. [ArXiv][SSRN]

  • Non-zero-sum Stopping Games in Continuous Time. [ArXiv][SSRN]

Publications

  • No-arbitrage and Hedging with Liquid American Options, (with Erhan Bayraktar), To appear in Mathematics of Operations Research. [ArXiv][SSRN]

  • On Zero-sum Optimal Stopping Games, (with Erhan Bayraktar), To appear in Applied Mathematics and Optimization. [ArXiv][SSRN][Article]

  • On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints, (with Erhan Bayraktar), Mathematical Finance, Vol 27, No. 4, 988-1012, 2017. [ArXiv][SSRN][Article]

  • Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty, (with Erhan Bayraktar), International Journal of Theoretical and Applied Finance, 20 (6), 10 pages, 2017. [ArXiv][SSRN][Article]

  • Arbitrage, Hedging and Utility Maximization Using Semi-static Trading Strategies with American Options, (with Erhan Bayraktar), Annals of Applied Probability, 2016, 26 (6), 3531-3558. [ArXiv][SSRN][Article]

  • On an Optimal Stopping Problem of an Insider, (with Erhan Bayraktar), Theory of Probability and Its Applications, 61 (1), 181-186, 2016. [ArXiv][SSRN][Article]

  • On a Stopping Game in Continuous Time, (with Erhan Bayraktar), Proceedings of the AMS, 144 (8), 3589-3596, 2016. [ArXiv][Article]

  • On Hedging American Options under Model Uncertainty, (with Erhan Bayraktar and Yu-Jui Huang), SIAM Journal on Financial Mathematics (SIFIN), 6(1), 425-447, 2015. [ArXiv][SSRN][Article]

  • A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty, (with Erhan Bayraktar and Yuchong Zhang), Risks, 2(4), 425-433, 2014. [ArXiv][SSRN][Article]

  • On Controller-stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options, (with Erhan Bayraktar), SIAM Journal on Financial Mathematics, 5(1), 20-49, 2014. [ArXiv][SSRN][Article]

Presentations

  • Actuarial Science Seminar, Department of Mathematics, University of Connecticut, October 17, 2017.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, October 4, 2017.

  • Stochastics Seminar, University of Colorado Boulder, April 27, 2017.

  • Probability Seminar, University of Minnesota, March 31, 2017.

  • Department of Mathematics, Shanghai Jiao Tong University, February 16, 2017.

  • School of Mathematics and Statistics, University of Sydney, February 1. 2017.

  • Department of Mathematics, University of Kentucky, January 17, 2017.

  • Invited speaker at the conference on Stochastic Analysis in Finance and Insurance, University of Michigan, June 6-10, 2016.

  • MCFAM Seminar, School of Mathematics, University of Minnesota, April 8, 2016.

  • Departmental Seminar Series, Department of Statistical Sciences, University of Toronto, February 11, 2016.

  • Department Seminar, Department of Statistics and Actuarial Science, University of Waterloo, January 21, 2016.

  • IMA Postdoc Seminar, University of Minnesota, December 14, 2015.

  • AMS MRC workshop in Financial Mathematics, Snowbird Resort, Utah, June 14-20, 2015.

  • Stochastic Portfolio Theory and related topics, Columbia University, May 8 and 9, 2015.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, April 1, 2015.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, December 10, 2014.

  • Mini-symposium speaker at the SIAM Conference on Financial Mathematics and Engineering, November 13-15, 2014.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, March 26, 2014.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, January 29, 2014.

  • Financial/Actuarial Mathematics Seminar, University of Michigan, December 10, 2012.

Teaching

  • University of Sydney:

    • Math 1201 Calculus for One Variable (Tutorial), Semester 1, 2018.
  • University of Minnesota:

    • Math 4997 Independent Study, Spring 2017.
    • Math 5651 Basic Theory of Probability and Statistics, Fall 2016.
  • University of Michigan:

    • Math 526 Stochastic Processes, Fall 2017.
    • Math 216 Calculus IV, Fall 2014.
    • Math 215 Calculus III, Fall 2012.
    • Math 115 Calculus I, Winter 2012.
    • Math 105 Pre-calculus, Fall 2011.

Miscellaneous


Last updated on March 1st, 2018