Zhou Zhou

    Institute for Mathematics and its Applications
    University of Minnesota


  • Contact:
    423 Lind Hall, 207 Church Street SE,
    Minneapolis, MN 55455, USA

    zhouzhou (at) ima (dot) umn (dot) edu
  • Curriculum Vitae

    Zhou Zhou

Employment

Education

Publications

  • Arbitrage, Hedging and Utility Maximization Using Semi-static Trading Strategies with American Options, (with Erhan Bayraktar), to appear in Annals of Applied Probability. [ArXiv][SSRN]

  • On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints, (with Erhan Bayraktar), to appear in Mathematical Finance. [ArXiv][SSRN]

  • 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]

Preprints

  • No-arbitrage and Hedging with Liquid American Options, (with Erhan Bayraktar), 2016. [ArXiv][SSRN]

  • Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty, (with Erhan Bayraktar), 2016. [ArXiv][SSRN]

  • Non-zero-sum Stopping Games in Discrete Time, 2015. [ArXiv][SSRN]

  • Non-zero-sum Stopping Games in Continuous Time, 2015. [ArXiv][SSRN]

  • On Zero-sum Optimal Stopping Games, (with Erhan Bayraktar), 2014. [ArXiv][SSRN]

Presentations

  • 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 Minnesota:

    • Math 5651 Basic Theory of Probability and Statistics (Fall 2016).
  • University of Michigan:

    • 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 08/21/2016