Chao ZHOU

CMAP Ecole Polytechnique

I'm a Ph.D. student since Oct. 2009 at CMAP, Ecole Polytechnique.

My thesis subject is Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations.

My advisor is Professor Anis MATOUSSI.

I successfully defended my thesis with highest honors (très honorable) on Oct 1st, 2012.

Contact information

Chao ZHOU
CMAP - Ecole Polytechnique
91128 Palaiseau Cedex
France

Phone: +33 1 69 33 46 17
Email: chao.zhou_at_polytechnique.edu

CV

CV

Publications and Preprints

1. D. Possamai and C. Zhou. Second Order Backward Stochastic Differential Equations with Quadratic Growth. 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, to appear. arXiv:1201.0746v1 PDF

Ph.D. thesis dissertation

Available soon

Seminars & Conferences

1.Second SMAI European Summer School In Financial Mathematics, Paris 24-29 August 2009 site.

2.Third SMAI European Summer School In Financial Mathematics, Paris 23-27 August 2010 site.

3.Forth SMAI European Summer School In Financial Mathematics, Zurich 5-9 September 2011 site.

4.Fifth SMAI European Summer School In Financial Mathematics, Paris, Ecole Polytechnique 27-31 August 2012 site.

5.Bachelier Finance Society 7th World Congress, Sydney 12-22 June 2012 site.

6.The Fifth Bachelier Colloquium, Metabief-France 16-23 January 2011 site.

7.The Sixth Bachelier Colloquium, Metabief-France 15-22 January 2012 site.

8.Marie Curie Initial Training Network Spring School "Stochastic Analysis in Finance", Roscoff-France 06-15 March 2012 site.

9.Marie Curie Initial Training Network Spring School and Workshop "Stochastic Control in Finance", Roscoff-France 07-23 March 2011 site.

10.Seminaire de Probabilite Institut de Recherche Mathematique de Rennes,Rennes-France 06 February 2012 site.

11.New advances in Backward SDEs for financial engineering applications, Tamerza-Tunisia,25-28 October, 2010 site.

12.Modeling and managing financial risks, Paris-France, 10-13 January 2011 site.

13.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

Recent papers

4. Second Order Backward Stochastic Differential Equations with Jumps, Part I: Aggregation and Uniqueness, joint work with N. Kazi-Tani et 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 et 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 et D. Possamai. arXiv:1208.5581v1 PDF