Dr. Zhenyu Cui

Building: Babbio Center
Room: 545
Phone: 201.216.3726
Email: zcui6@stevens.edu
  • 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
  • Financial systemic risk and contagion effects
  • 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


  • 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)
Professional Societies

Society of Actuaries

Society of Financial Econometrics

Grants, Contracts & Funds
  1. 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)
  2. 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)
  3. 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)
Selected Publications
  1. Z.Cui, M. Fu, J. Hu, Y. Liu, Y. Peng, L. Zhu. (2019). "On the Variance of Single-Run Unbiased Stochastic Derivative Estimators", INFORMS Journal on Computing, forthcoming. (UT Dallas 24 Journal List, ABS-3).
  2. Z.Cui, J.Kirkby, D.Nguyen. (2019). "Nonparametric density estimation by B-spline duality and applications", Econometrics Theory, forthcoming. (ABS-4).
  3. 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.
  4. 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), forthcoming.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Z.Cui, D. Nguyen. (2016). "Omega diffusion risk model with surplus-dependent tax and capital injection", Insurance: Mathematics and Economics (ABS3), 68 150-161.
  16. Z.Cui. (2014). "Comment on 'Modelling non-monotone risk aversion using SAHARA utility functions'"", Journal of Economic Theory (ABS-4) , 153 703-705.
  • 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