Dr. Zhenyu Cui
- PhD in Statistics, Department of Statistics and Actuarial Science, University of Waterloo, Canada. July. 2013
- Master in Quantitative Finance, Department of Statistics and Actuarial Science, University of Waterloo, Canada. April. 2010
- B.Sc. in Actuarial Science (First Class Honors), University of Hong Kong, Hong Kong, China. April. 2008
- Financial Derivatives Pricing.
- Stochastic Models and Stochastic Control.
- Monte Carlo Simulation and Nested Stochastic Simulation
- Stochastic Volatility Models and Volatility Derivatives Pricing
- Simulation Optimization
- Assistant Professor, Financial Engineering, Stevens Institute of Technology. Aug. 2015 - Present
- Assistant Professor, Department of Mathematics, Brooklyn College of the City University of New York. Aug. 2013-July. 2015
Honors & Awards
- Editor's Award for Excellence in Reviewing for European Journal of Operational Research (2020)
- Excellent reviewer for European Journal of Operational Research (2017)
- Excellent reviewer for Applied Mathematics and Computation (2018)
- DAAD (German Academic Exchange Service) scholarship for Summer Academy "Advanced Stochastic Methods to Model Risk" (Ulm University, Ulm, Germany) (2012)
- Bank of Montreal Capital Markets Advanced Research Scholarship (2011)
- Meloche Monnex Graduate Scholarship in Quantitative Finance and Insurance (2011)
- Statistical Society of Canada Annual Meeting Travel Award (2011)
- Power Corp-Great West Life-London Life and Canada Life Fellowship (2010)
Society of Actuaries
Society of Financial Econometrics
Grants, Contracts & Funds
- 2015 Society of Actuaries Research Grant
Project Title: “Nested stochastic approach-Do we really need it?”
Funding agency: SOA Financial Reporting Section
Co-PIs: Runhuan Feng (University of Illinois at Urbana-Champaign)
- 2015 Society of Actuaries Individual Grant Competition
Project Title: “Modeling and risk management of variable annuities with VIX-linked fee structure”
Funding agency: SOA Committee on Knowledge Extension Research (CKER)
Co-PIs: Runhuan Feng (University of Illinois at Urbana-Champaign), Anne MacKay (ETH Zurich)
- 2014 Society of Actuaries Individual Grant Competition
Project Title: “Impact of flexible periodic premiums on variable annuity guarantees”
Funding agency: SOA Committee on Knowledge Extension Research (CKER)
Co-PIs: Carole Bernard (Grenoble Ecole de Management), Steven Vanduffel (Vrije Universiteit Brussel)
- Z.Cui, J. Kirkby, D.Nguyen. (2020). "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations", European Journal of Operational Research (ABS4), forthcoming.
- Z.Cui, J.Kirkby, D.Nguyen. (2020). "A unified data-driven framework for consistent financial valuation and risk measurement", European Journal of Operational Research, forthcoming (ABS4). 289 (1), 381-398.
- H. Cao, A. Badescu, Z. Cui and S. Jarayaman. (2020). "Valuation and Calibration of VIX Options and Target Volatility Options with Affine GARCH Models", Journal of Futures Markets, forthcoming (ABS3).
- K. Ding, Z. Cui, Y. Wang. (2020). "A Markov chain approximation scheme for option pricing under skew diffusions", Quantitative Finance, forthcoming (ABS3).
- Z.Cui, J.Kirkby, D.Nguyen, S. Taylor. (2020). "A Closed-form Model-free Implied Volatility Formula through Delta Families", Journal of Derivatives, forthcoming (ABS2).
- Z.Cui, and S. Taylor. (2020). "Pricing Discretely Monitored Barrier Options under Markov Processes using Markov Chain Approximations", Journal of Derivatives, forthcoming (ABS2).
- Z.Cui, M. Fu, Y. Peng and L. Zhu. (2020). "Optimal Unbiased Estimation for Expected Cumulative Discounted Cost,", European Journal of Operational Research (ABS4). 286 (2), 604-618.
- Z.Cui, M. Fu, J. Hu, Y. Liu, Y. Peng, L. Zhu. (2020). "On the Variance of Single-Run Unbiased Stochastic Derivative Estimators", INFORMS Journal on Computing (UT Dallas 24 Journal List), 32 (2), 390-407.
- Z.Cui, W. Qian, S. Taylor and L. Zhu. (2020). "Detecting and Identifying Arbitrage in the Spot Foreign Exchange Market", Quantitative Finance (ABS-3). 20 (1), 119-132.
- Z.Cui, and S. Taylor. (2020). "Arbitrage Detection Using Max Plus Product Iteration on Foreign Exchange Rate Graphs", Finance Research Letters (ABS-2). 35.
- Z.Cui, J.Kirkby, D.Nguyen. (2020). "Nonparametric density estimation by B-spline duality and applications", Econometrics Theory (ABS-4), 36 (2), 250-291.
- Z. Cui, J. Deng, S. Lenkey. (2019). "Revisiting Advance Disclosure of Insider Trading", Economics Letters (ABS-3). 182 78-81.
- A. Badescu, Z. Cui, and J-P Ortega. (2019). "Closed-form variance swap prices under general affine GARCH models and their continuous-time limits", Annals of Operations Research (ABS3), 282 27-57.
- A. Badescu, Y. Chen, M. Couch, and Z. Cui. (2019). "A Unified Valuation Framework for Variance Swaps Under Non-Affine Stochastic Volatility Models", Quantitative Finance (ABS3), 19 (2), 227-246.
- R. Chatterjee, Z. Cui, J. Fan, M. Liu. (2018). "An efficient and stable method for short maturity Asian options", Journal of Futures Markets (ABS3), 38 (12), 1470-1486.
- Z.Cui, J.Kirkby, D.Nguyen. (2018). "A general framework for time-changed Markov processes and applications", European Journal of Operational Research (ABS-4) , 273 (2), 785-800.
- Z.Cui, C. Lee, Y. Liu. (2018). "Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes", European Journal of Operational Research (ABS-4) , 266 (3), 1134-1139.
- Z.Cui, J. Kirkby, D.Nguyen. (2018). "A general valuation framework for SABR and stochastic local volatility models", SIAM Journal on Financial Mathematics (ABS-2) , 9 (2), 520-563.
- G. Lian, SP. Zhu, R. Elliott, Z. Cui. (2017). "Semi-analytical valuation for discrete barrier options under time-dependent Levy processes", Journal of Banking and Finance (ABS3), 75 167-183.
- Z.Cui, J. Kirkby, D.Nguyen. (2017). "Equity-linked life insurance contracts with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps", Insurance: Mathematics and Economics (ABS3), 74 46-62.
- J.Kirkby, D.Nguyen, Z.Cui. (2017). "A unified approach to American and Barrier options under stochastic volatility models with jumps", Journal of Economic Dynamics and Control (ABS3), 80 75-100.
- Z.Cui*, J. Kirkby, D. Nguyen. (2017). "A general framework for discretely sampled realized volatility derivatives in stochastic volatility models with jumps", European Journal of Operational Research (ABS-4) , 262 (1), 381-400.
- A.Badescu, Z.Cui, J. Ortega. (2017). "Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits", Journal of Financial Econometrics (ABS-3) , 15 (4), 602-648.
- C.Bernard, Z.Cui, D.L.McLeish. (2017). "On the martingale property in stochastic volatility models based on time-homogeneous diffusions", Mathematical Finance (ABS-3) , 27 (1), 194-233.
- Z.Cui, D. Nguyen. (2016). "Omega diffusion risk model with surplus-dependent tax and capital injection", Insurance: Mathematics and Economics (ABS3), 68 150-161.
- Z.Cui. (2014). "Comment on 'Modelling non-monotone risk aversion using SAHARA utility functions'"", Journal of Economic Theory (ABS-4) , 153 703-705.
- Z.Cui, Z. Li, Y. Wu and M. Yu. (2019). "Variance risk premium and return predictability: Evidence from the Chinese SSE 50 ETF options", SSRN working paper.
- Z.Cui, J.Kirkby, D.Nguyen. (Jul 2019). "Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing", In: Yin G., Zhang Q. (eds) Modeling, Stochastic Control, Optimization, and Applications. The IMA Volumes in Mathematics and its Applications, vol 164. Springer.,.
- FE 610 Stochastic Calculus for Financial Engineers
- FE 621 Computational Methods in Finance
- FE 800 Project in Financial Engineering
- FE 900 Masterís Thesis in Financial Engineering
- FE 710 Applied Stochastic Differential Equations
- FE 720 The Volatility Surface: Risk and Models
- FE 646 Optimization Models & Methods in Finance