Bin Zou

University of Connecticut - Department of Mathematics

341 Mansfield Road U1009

Department of Mathematics

Storrs, CT 06269-1069

United States

  • University of Connecticut - Department of Mathematics

SCHOLARLY PAPERS

15

DOWNLOADS

1,787

SSRN CITATIONS

7

CROSSREF CITATIONS

5

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

  • University of Connecticut - Department of Mathematics

Scholarly Papers (15)

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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 506 (86,942)
Citation 3

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

2.

Optimal Bitcoin Trading with Inverse Futures

Number of pages: 31 Posted: 24 Aug 2019
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
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 226 (208,233)
Citation 5

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Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization

3.

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 186 (248,790)
Citation 2

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

4.

Risk Structure and Optimal Hedging of Bitcoin Inverse Futures

Number of pages: 34 Posted: 25 Sep 2019
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
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 181 (254,850)

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Bitcoin, Inverse futures, Minimum-variance hedging, High-order 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
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
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 (336,086)
Citation 5

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Bitcoin, Futures, Hedging efficiency, Risk management

6.

Mean-Variance Tradeoff of Bitcoin Inverse Futures

Number of pages: 15 Posted: 24 Mar 2020 Last Revised: 10 Jul 2020
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
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 106 (386,779)

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Bitcoin, Downside Risk, Futures, Volatility

7.

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 89 (433,803)

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

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 82 (455,705)

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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 79 (465,695)

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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
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, Brock University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 73 (487,066)

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

11.

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 42 (627,973)

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Bond, Pricing, Risk Neutral, Stochastic Interest, Yield

12.

A Set-Valued Markov Chain Approach to Credit Default

Number of pages: 41 Posted: 12 Sep 2018 Last Revised: 06 Oct 2019
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
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 36 (663,240)

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

13.

Stackelberg Reinsurance Chain Under Model Ambiguity

Number of pages: 45 Posted: 25 Aug 2022
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, Brock University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 30 (702,213)

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

14.

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 13 (837,700)

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15.

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
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, Brock University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 9 (874,361)

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