Dr. Zhenyu Cui's research interests are in financial derivatives pricing, stochastic processes and applied probability, stochastic volatility models and volatility derivatives pricing, Monte Carlo simulation and nested stochastic simulation, and also in financial systemic risk. His research has been funded by the Society of Actuaries. He holds a Ph.D. in Statistics, and a Master in Quantitative Finance from the University of Waterloo. He holds a Bachelor in Science in Actuarial Science from the University of Hong Kong.
Background and Early Life
Professor Cui, the son of medical doctors, grew up in China. His parents encouraged him to pursue a career outside of medicine so that he wouldn't have to "work nights". He chose actuarial science. As an undergraduate in Hong Kong, he lived in a residence that featured a "high table", similar to the one depicted in the Great Hall of Hogwarts Castle in the Harry Potter series. There he heard many famous speakers. Professor Cui credits a professor with encouraging him to enter academia. It was in Canada during graduate school that Professor Cui discovered how much he enjoyed research - not to mention snowboarding. After leaving the cold Northern climate, he found there was much to capture his interest in the New York metropolitan area. He has become a film buff and an avid theater-goer who sees almost every musical on Broadway. As rewarding as he finds teaching, there’s one other career that might have been his calling: Film director. Watch out Martin Scorsese!
Life at Stevens
Jiacheng Fan, current 1 st year PhD student, Optimal Investment
and Consumption Problems in Finance.
Mingzhe Liu, current 1 st year PhD student, Systemic Risk and
Kyoung Kim, current 3 rd year PhD student, Variable Annuities:
Valuation and Risk Management.
Master's Thesis Students
Professor Cui's research is in financial engineering, Monte Carlo simulation, and financial systemic risk. In particular, he is working on a new randomized unbiased Monte Carlo simulation scheme, which has broad applications in operations research and financial options pricing. He is also involved in a joint project on the study of effects of central clearing counterparty (CCP) to the overall systemic risk measures of the interbank liabilities network. He frequently applies tools from stochastic processes, Monte Carlo simulations, econometrics and network analysis in his research.
Cui, Z. (2014). A new proof of an Engelbert–Schmidt type zero–one law for time-homogeneous diffusions. Statistics & Probability Letters, 89, 118-123.
Cui, Z., & Mcleish, D. (2009). Comment on ‘Option pricing under the Merton model of the short rate’by Kung and Lee. Mathematics and Computers in Simulation, 80, 378-386.
Cui, Z. (2014). Comment on “Modeling non-monotone risk aversion using SAHARA utility functions”[J. Econ. Theory 146 (2011) 2075–2092]. Journal of Economic Theory, 153, 703-705.
Bernard, C., Cui, Z., & McLeish, D. (2014). Convergence of the discrete variance swap in time-homogeneous diffusion models. Quantitative Finance Letters, 2(1), 1-6. Chicago
Bernard, C., Cui, Z., Forde, M., Jacquier, A., McLeish, D., & Mijatović, A. (2013). Correction note for ‘The large-maturity smile for the Heston model’. Finance and Stochastics, 17(1), 223-224.
Bernard, C., Cui, Z., & McLeish, D. (2012). Nearly exact option price simulation using characteristic functions. International Journal of Theoretical and Applied Finance, 15(07), 1250047.
Cui, Z., & Nguyen, D. (2016). Omega diffusion risk model with surplus-dependent tax and capital injections. Insurance: Mathematics and Economics, 68, 150-161.
Bernard, C., Cui, Z., & McLeish, D. (2014). ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS. Mathematical Finance.
Bernard, C., & Cui, Z. (2014). Prices and asymptotics for discrete variance swaps. Applied Mathematical Finance, 21(2), 140-173.
Bernard, C., & Cui, Z. (2011). Pricing timer options. Journal of Computational Finance, 15(1).
Cui, Z., & Ma, J. (2016). Stochastic areas of diffusions and applications. Journal of Mathematical Analysis and Applications, 436(1), 79-93.
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) Research Plan: the funding was approved on June 8 the , 2015, and initial research plan has been set up among the two PIs, which involves inter-campus short term research visits to UIUC. The final research product is a research report on the use of nested simulations in the insurance industry presented to Society of Actuaries.
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)
Project Outcome: the funding was approved on March 13 th , 2015, and initial research plan has been set up among the three PIs, which will involve inter-campus short term research visits to UIUC, and conference attendance for the 2016 Actuarial Research Conference (ARC), and presenting of the research findings. The final research paper is accepted subject to minor revision at North American Actuarial Journal, , a leading journal in actuarial research, and the official journal of the Society of Actuaries.
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)
Project Outcome: the working paper “Impact of flexible periodic premiums on variable annuity guarantees” on the topic has been accepted at the North American Actuarial Journal, a leading journal in actuarial research, and the official journal of the Society of Actuaries.