Research at FAST

104 Department of Applied Mathematics Department of Applied Mathematics Qualification BSc (NKU) MPhil (PKU) PhD (CUHK) ORCID ID 0000-0001-6824-1634 Dr XU Zuoquan Associate Professor Research Overview My research interests fall into the fields of applied probability, stochastic control with applications in mathematical finance. Based on the concrete theories from psychology and economics, such as the cumulative prospect theory (2002 Nobel prize in economic sciences), I am developing quantitative finance models and mathematical tools to understand impacts of human behavioral biases in economic and financial activities, predict possible market anomalies and bubbles. Representative Publications • Finance and Stochastics, Vol. 23 ( 2019 ), 1025-1048 • SIAM Journal on Financial Mathematics, Vol. 10 ( 2019 ), 243-260 • Mathematical Finance, Vol. 29 ( 2019 ), 659-692 • Insurance Mathematics and Economics, Vol. 77 ( 2017 ), 111-118 • Scandinavian Actuarial Journal, Vol. 2017 ( 2017 ), 535-554 • Operations Research Letters, Vol. 44 ( 2016 ), 729-736 • Mathematical Finance, Vol. 26 ( 2016 ), 589-601 • SIAM Journal on Financial Mathematics, Vol. 7 ( 2016 ), 124-151 • Communications on Pure and Applied Analysis, Vol. 14 ( 2015 ), 517-525 • Annals of Applied Probability, Vol. 23 ( 2013 ), 251-282 • Mathematical Finance, Vol. 21 ( 2011 ), 775-793 • SIAM Journal on Financial Mathematics, Vol. 1 ( 2010 ), 96-125 • Quantitative Finance, Vol. 8 ( 2008 ), 765-776 • Mathematical Finance, Vol.18 ( 2008 ), 171-184 Awards and Achievements • 2017/18 Department Best Teacher Award • 2013/14 Department Best Paper Award • Nomura Research Fellow, 2007-2010