Zhou Zhou

   Zhou Zhou

    Senior Lecturer
    School of Mathematics and Statistics
    University of Sydney


      Office: Carslaw 607
      Email: zhou.zhou (at) sydney.edu.au
      Curriculum Vitae

Employment

Education

Preprints

  • Binomial-tree Approximation for Time-inconsistent Stopping, (with Erhan Bayraktar and Zhenhua Wang). [ArXiv]

  • Relaxed Equilibria for Time-Inconsistent Markov Decision Processes, (with Erhan Bayraktar, Yu-Jui Huang and Zhenhua Wang). [ArXiv]

  • Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems (with Yu-Jui Huang and Zhenhua Wang). [ArXiv]

  • Robust Pricing-Hedging Duality for Multi-Action Options, (with Anna Aksamit, Ivan Guo, and Shidan Liu). [ArXiv]

  • Multiscale Linear-Quadratic Stochastic Optimal Control with Multiplicative Noise, (with Beniamin Goldys, Gianmario Tessitore, and James Yang). [ArXiv]

  • Robust No Arbitrage and the Solvability of Vector-valued Utility Maximization Problems, (with Andreas Hamel and Birgit Rudloff). [ArXiv][SSRN]

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

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

Publications

  • Sharp Equilibria for Time-inconsistent Mean-field Stopping Games, (with Ziyuan Wang), to appear in SIAM Journal on Control and Optimization. [SSRN]

  • Almost Strong Equilibria for Time-inconsistent Stopping Problems under Finite Horizon in Continuous Time, to appear in Mathematical Finance. [SSRN]

  • Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes, (with Erhan Bayraktar and Zhenhua Wang), to appear in Mathematical Finance. [ArXiv]

  • Optimal Relative Performance Criteria in Mean Field Contribution Games, Mathematics of Operations Research, 48(4), 2233-2266, 2023. [SSRN][Article]

  • Stability of Equilibria in Time-inconsistent Stopping Problems, (with Erhan Bayraktar and Zhenhua Wang), SIAM Journal on Control and Optimization, 61(2), 674-696, 2023. [ArXiv][Article]

  • Time-Inconsistency, Precommitment and Equilibrium Strategies for a Stackelberg Game, SIAM Journal on Control and Optimization, 61(2), 361-397, 2023. [SSRN][Article]

  • Stability of Time-inconsistent Stopping for One-dimensional Diffusion, (with Erhan Bayraktar and Zhenhua Wang), SIAM Journal on Financial Mathematics, 13(4), SC123-SC135, 2022. [ArXiv][Article]

  • A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria, (with Yu-Jui Huang), Finance and Stochastics, Vol. 26, No. 2, pp 301-334, 2022. [ArXiv][Article]

  • Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games, (with Beniamin Goldys and James Yang), SIAM Journal on Control and Optimization, 60(1), 48-80, 2022. [ArXiv][Article]

  • Teamwise Mean Field Competitions, (with Xiang Yu and Yuchong Zhang), Applied Mathematics and Optimization, 84, pages 903-942, 2021. [ArXiv][SSRN][Article]

  • Optimal Bookmaking, (with Matt Lorig and Bin Zou), European Journal of Operational Research, Vol. 295, No. 7, pp. 560-574, 2021. [ArXiv][SSRN][Article]

  • Utility Maximization When Shorting American Options, SIAM Journal on Financial Mathematics, 12(1), 47-78, 2021. [SSRN][Article]

  • Equilibria Concepts for Time-Inconsistent Stopping Problems in Continuous Time, (with Erhan Bayraktar and Jingjie Zhang), Mathematical Finance, 31(1), 508-530, 2021. [ArXiv][SSRN][Article]

  • Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time, (with Yu-Jui Huang), Mathematics of Operations Research, 46(2), pp 428-451, 2021. [ArXiv][Article]

  • Transport Plans with Domain Constraints, (with Erhan Bayraktar and Xin Zhang), Applied Mathematics and Optimization, 84(1), 1131-1158, 2021. [ArXiv][SSRN][Article]

  • Optimal Equilibrium Barrier Strategies for Time-Inconsistent Dividend Problems in Discrete Time, (with Zhuo Jin), Insurance: Mathematics and Economics, Vol 94, 100-108, 2020. [SSRN][Article]

  • Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time, (with Yu-Jui Huang), Mathematical Finance, Vol. 30, No. 3, 1103-1134, 2020. [ArXiv][Article]

  • Time Consistent Stopping for the Mean-Standard Deviation Problem ? the Discrete Time Case, (with Erhan Bayraktar and Jingjie Zhang), SIAM Journal on Financial Mathematics, 10(3), 667-697, 2019. [SSRN][Article]

  • A Mathematical Analysis of Technical Analysis, (with Matt Lorig and Bin Zou), Applied Mathematical Finance, 26 (1), 38-69, 2019. [ArXiv][SSRN][Article]

  • No-arbitrage and Hedging with Liquid American Options, (with Erhan Bayraktar), Mathematics of Operations Research, 44 (2), 468-486, 2019. [ArXiv][SSRN][Article]

  • Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case, (with Yu-Jui Huang), SIAM Journal on Control and Optimization, 57 (1), 590-609, 2019. [ArXiv][Article]

  • On Zero-sum Optimal Stopping Games, (with Erhan Bayraktar), Applied Mathematics and Optimization, 78 (3), 457-468, 2018. [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, 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

  • One School Seminar, School of Mathematics and Statistics, University of Sydney, April 18, 2024.

  • AustMS Conference, University of Queensland, December 5-8, 2023.

  • ICIAM conference, Waseda University, August 20-25, 2023.

  • School of Mathematics, Shandong University, (online), March 31, 2023.

  • ANZIAM Conference, Cairns, February 5-9, 2023.

  • AustMS Conference, UNSW, December 6-9, 2022.

  • HK/SG Joint Seminar in Financial Mathematics/Engineering (online), May 4, 2022.

  • Seminar at the Department of Actuarial Studies and Business Analytics, Macquarie University (online), April 6, 2022.

  • Invited speaker at the DKU-NUSRI Joint Workshop on Pure and Applied Mathematics (online), January 6-9, 2022.

  • Stochastics and Finance Seminar, School of Mathematics and Statistics, University of Sydney (online), September 22, 2021.

  • MAS Seminar Series, Nanyang Technological University (online), June 17, 2021.

  • Seminar in Financial Mathematics, National University of Singapore (online), September 30, 2020.

  • Invited speaker at the 2nd International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance, January 6-10, 2020.

  • AustMS Conference, Monash University, December 3-6, 2019.

  • Centre of Financial Mathematics Seminar Series, University of Wollongong, November 13, 2019.

  • Invited speaker at the 7th Asian Quantitative Finance Conference, July 2-5, 2019.

  • Mini-symposium speaker at the SIAM Conference on Financial Mathematics and Engineering, June 4-7, 2019.

  • School Seminar Series, School of Risk and Actuarial Studies, University of New South Wales, May 3, 2019.

  • Stochastics and Finance Seminar, School of Mathematics and Statistics, University of Sydney, March 12 and 26, 2019.

  • ANZIAM Conference, Nelson, New Zealand, February 3-7, 2019.

  • The Quantitative Methods in Finance Conference, University of Technology Sydney, December 11-14, 2018.

  • Centre of Financial Mathematics Seminar Series, University of Wollongong, April 19, 2018.

  • Financial Mathematics Seminar, School of Mathematics and Statistics, University of Sydney, April 10, 2018.

  • 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 4511 Arbitrage Pricing in Continuous Time, Semester 1, 2020-2024.
    • Fmat 3888 Projects in Financial Mathematics, Semester 2, 2019-2023.
    • SCDL3991: Science Dalyell Individual Research Project, Semester 2, 2023.
    • SCDL1991 Science Dalyell Showcase, Semester 2, 2018.
    • Math 2070/2970 Optimization and Financial Mathematics, Semester 2, 2018.
    • Math 1014 Introduction to Linear Algebra, Semester 2, 2018, 2019.

  • 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 June 12, 2024