Bin Zou

Assistant Professor

Contact Information
Emailbin.zou@uconn.edu
Phone860-486-3921
Office LocationMONT 428
Linkhttps://sites.google.com/site/zoubin019/
About:

Teaching in Spring 2021:

MATH 2620 Financial Mathematics I

Previous online courses (lecture recordings & slides):

 

Office Hours in Spring 2021:

Tuesday 1:50 pm – 3:15 pm and Thursday 10 – 11:30 am or by appointment

 

Education:

Ph.D. in Mathematical Finance, University of Alberta, 2015

 

Academic Employment:

2017/8 – now University of Connecticut, Assistant Professor
2016/9 – 2017/8 University of Washington, Acting Assistant Professor
2015/5 – 2016/8 Technical University of Munich, TUFF Fellow

Research Interests:

Financial Mathematics; Actuarial Science; Stochastic Control and Optimization

 

Selected Publications:

(Please visit https://sites.google.com/site/zoubin019/research for full details.)

 

  1. A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies (with Z. Jin and Z.Q. Xu, 2021). Scandinavian Actuarial Journal, accepted. [PDF] [arXiv]

  2. Optimal Bitcoin Trading with Inverse Futures (with J. Deng, H. Pan and S. Zhang, 2021). Annals of Operations Research, accepted.

  3. Optimal Bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, accepted.
  4. Mean-Variance Investment and Risk Control Strategies — A Time-Consistent Approach via A Forward Auxiliary Process (with Y. Shen, 2021). Insurance: Mathematics and Economics, 97, 68-80. [PDF] [Journal]
  5. Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time (with J. Deng, 2021). Operations Research Letters, 49(2), 218-225. [PDF] [arXiv] [Journal]
  6. Bond Indifference Prices (with M. Lorig, 2021). Quantitative Finance, accepted. [PDF]
  7. Minimum-Variance Hedging of Bitcoin Inverse Futures (with J. Deng, Pan and Zhang, 2020). Applied Economics, 52(58), 6320-6337. [Journal]
  8. A Set-Valued Markov Chain Approach to Credit Default (with Chen, Deng and Feng, 2020). Quantitative Finance, 20(4), 669-689. [Journal]
  9. A Mathematical Analysis of Technical Analysis (with M. Lorig and Z. Zhou, 2019). Applied Mathematical Finance, Vol. 26, Issue 1, 38-68. [Journal]
  10. Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting (with Z. Cui, Q. Feng and R. Hu, 2018). Operations Research Letters, Vol 46, Issue 3, 306-311. [Journal]
  11. Optimal investment with transaction costs under cumulative prospect theory in discrete time (with R. Zagst, 2017). Mathematics and Financial Economics, 11(4), 393-421. [Journal]
  12. Explicit solutions of optimal consumption, investment and insurance problems with regime switching (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 159-167. [Journal]
  13. Optimal investment and risk control policies for an insurer: expected utility maximization (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 57-67. [Journal]