Bin Zou

University of Connecticut - Department of Mathematics

341 Mansfield Road U1009

Department of Mathematics

Storrs, CT 06269-1069

United States

SCHOLARLY PAPERS

22

DOWNLOADS

2,424

SSRN CITATIONS

29

CROSSREF CITATIONS

6

Ideas:
“  optimal bookmaking; optimal consumption/investment; optimal control in systemic risk; optimal hedging ...  ”

Scholarly Papers (22)

1.

Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures

Number of pages: 30 Posted: 19 Jan 2021 Last Revised: 22 Apr 2022
Carol Alexander, Jun Deng and Bin Zou
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 571 (90,952)
Citation 8

Abstract:

Loading...

Cryptocurrency; Leverage; Liquidation; Perpetual Swap; Extreme Value Theorem

2.

Optimal Bitcoin Trading with Inverse Futures

Number of pages: 31 Posted: 24 Aug 2019
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 250 (228,969)
Citation 5

Abstract:

Loading...

Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization

3.

Risk Structure and Optimal Hedging of Bitcoin Inverse Futures

Number of pages: 34 Posted: 25 Sep 2019
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 217 (262,231)

Abstract:

Loading...

Bitcoin, Inverse futures, Minimum-variance hedging, High-order risk

4.

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Connecticut - Department of Mathematics
Downloads 205 (276,521)
Citation 2

Abstract:

Loading...

Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk

5.

Minimum-Variance Hedging of Bitcoin Inverse Futures

Accepted in Applied Economics
Number of pages: 29 Posted: 18 Mar 2020 Last Revised: 07 Jul 2020
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 157 (349,593)
Citation 7

Abstract:

Loading...

Bitcoin, Futures, Hedging efficiency, Risk management

6.

A Mathematical Analysis of Technical Analysis

A Mathematical Analysis of Technical Analysis. Applied Mathematical Finance, 26(1), 38-68, 2019
Number of pages: 29 Posted: 30 Jun 2019
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 136 (392,265)

Abstract:

Loading...

Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization

7.

Mean-Variance Tradeoff of Bitcoin Inverse Futures

Number of pages: 15 Posted: 24 Mar 2020 Last Revised: 10 Jul 2020
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 129 (408,814)

Abstract:

Loading...

Bitcoin, Downside Risk, Futures, Volatility

8.

Optimal Fee Structure of Variable Annuities

Number of pages: 25 Posted: 07 May 2021
Gu Wang and Bin Zou
Worcester Polytechnic Institute and University of Connecticut - Department of Mathematics
Downloads 102 (485,962)
Citation 1

Abstract:

Loading...

Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations

9.

Optimal Bookmaking

Accepted for publication in European Journal of Operational Research
Number of pages: 35 Posted: 09 Jul 2019 Last Revised: 06 Mar 2021
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 102 (485,962)

Abstract:

Loading...

HJB equation; optimization; Poisson process; sports betting; stochastic control; utility

10.

Stackelberg Differential Game for Insurance Under Model Ambiguity

Number of pages: 31 Posted: 29 Dec 2021
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 95 (509,421)

Abstract:

Loading...

Stackelberg differential game, Insurance, Ambiguity, Mean-variance premium principle, Random time horizon

11.

Stackelberg Reinsurance Chain Under Model Ambiguity

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 25 Aug 2022 Last Revised: 15 Mar 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 67 (624,619)
Citation 3

Abstract:

Loading...

Knightian uncertainty, Ambiguity, mean-variance premium principle, Stackelberg differential game, Reinsurance

12.

A Set-Valued Markov Chain Approach to Credit Default

Number of pages: 41 Posted: 12 Sep 2018 Last Revised: 06 Oct 2019
Nankai University, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 64 (639,752)

Abstract:

Loading...

credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread

13.

Liquidity Provision and Its Information Content in Decentralized Markets

Number of pages: 33 Posted: 11 Oct 2023
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 63 (644,804)

Abstract:

Loading...

Automatic Market Making, Uniswap, Liquidity Strategy, Decentralized Exchanges

14.

Bond Indifference Prices

Quantitative Finance, Forthcoming
Number of pages: 23 Posted: 19 Jan 2021
Matthew Lorig and Bin Zou
University of Washington - Applied Mathematics and University of Connecticut - Department of Mathematics
Downloads 54 (694,198)

Abstract:

Loading...

Bond, Pricing, Risk Neutral, Stochastic Interest, Yield

15.

Liquidity Provision and its Information Content In Decentralized Markets

Number of pages: 33 Posted: 20 Sep 2023
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics and University of Connecticut - Department of Mathematics
Downloads 43 (765,067)
Citation 1

Abstract:

Loading...

G14, G15

16.

Reinsurance Games with Two Reinsurers: Tree Versus Chain

European Journal of Operational Research, Forthcoming; https://doi.org/10.1016/j.ejor.2023.04.005
Number of pages: 37 Posted: 03 May 2023
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 43 (765,067)

Abstract:

Loading...

Game theory, Stackelberg differential game, non-cooperative Nash game, Optimal reinsurance, Ambiguity

17.

Equilibrium Loss Reporting for a Risk-Averse Insured of Deductible Insurance

Number of pages: 24 Posted: 23 Aug 2023
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 36 (816,854)

Abstract:

Loading...

moral hazard, underreporting losses, deductible insurance, bonus-malus system, Nash equilibrium

18.

Stackelberg Differential Game for Insurance under Model Ambiguity: General Divergence

Accepted for publication in Scandinavian Actuarial Journal
Number of pages: 37 Posted: 18 Nov 2022
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 30 (866,561)

Abstract:

Loading...

Stackelberg differential game, Insurance, Ambiguity, Expected-value premium principle, Random time horizon

19.

A Dynamic Credibility Model with Self-Excitation and Exponential Decay

Proceedings of the 2022 Winter Simulation Conference
Number of pages: 10 Posted: 02 Nov 2022
Himchan Jeong and Bin Zou
Simon Fraser University - Department of Statistics and Actuarial Science and University of Connecticut - Department of Mathematics
Downloads 27 (893,334)

Abstract:

Loading...

20.

Optimal Insurance to Maximize Exponential Utility When Premium is Computed by a Convex Functional

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 12 Posted: 13 Feb 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 18 (981,665)
Citation 1

Abstract:

Loading...

Optimal insurance, numerical algorithm, convex premium functional

21.

Optimal Loss Reporting in Continuous Time with Full Insurance

Number of pages: 36 Posted: 22 May 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 13 (1,033,918)

Abstract:

Loading...

Barrier strategy, bonus-malus system, exponential utility, moral hazard

22.

A Two-Layer Stochastic Game Approach to Reinsurance Contracting and Competition

Number of pages: 29 Posted: 11 May 2024
Zongxia Liang, Yi Xia and Bin Zou
Tsinghua University, affiliation not provided to SSRN and University of Connecticut - Department of Mathematics
Downloads 2 (1,133,520)

Abstract:

Loading...

Game theory, Stackelberg game, Non-cooperative Nash game, Optimal reinsurance, Relative performance