Chao Zhou

I am an Associate Professor in the Department of Mathematics and Risk Management Institute (joint appointment), NUS. I got my PhD in Applied Mathematics from CMAP, Ecole Polytechnique. My thesis subject is Model Uncertainty in Finance and Second Order Backward Stochastic Differential Equations.

Interests

Second order backward stochastic differential equations (2BSDEs) Stochastic control in finance and insurance Valuation adjustments Principal-Agent problems Data analytics and information acquisition Deep learning methods

Education

• Ph.D. in Applied Mathematics Centre, 2012 Ecole Polytechnique
• Paris Graduate School of Economics, Statistics and Finance, 2009 ENSAE
• MSc. Mathematics for Insurance, Economics and Finance, 2009 University of Paris 9 Dauphine
• Diplôme de Grande Ecole and Master’s Degree in Engineering, Ecole Polytechnique Specialized in Applied Mathematics and Economics, 2009 Ecole Polytechnique

Companies

Associate Professor Department of Mathematics and RMI, National University of Singapore (NUS) Jul 2021 – Present Singapore

Associate Professor Department of Mathematics, City University of Hong Kong (CityU) Dec 2020 – Jul 2021 Hong Kong

Affiliated Researcher Institute of Operations Research and Analytics (IORA), NUS Aug 2017 – Present Singapore

Assistant Professor Department of Mathematics, National University of Singapore (NUS) May 2013 – Dec 2020 Singapore

Affiliated Researcher Centre for Quantitative Finance, Faculty of Science, NUS May 2013 – Present Singapore

Temporary teaching and research position University of Maine Jan 2013 – Apr 2013 Le Mans, France

Equity Derivative Quant Analyst Intern Crédit Agricole CIB (CALYON) Jun 2010 – Sep 2010 Paris, France Monte Carlo Method for Multi-underlying Options Pricing with Uncertain Volatility Model.