Zhongyuan Cao

Zhongyuan Cao

Postdoctoral Instructor of Mathematics

Email: zc3151@nyu.edu

Homepage: https://yourlord666.github.io/homepage/

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Zhongyuan Cao is a Postdoctoral Instructor of Mathematics at NYU Shanghai. He holds a PhD in applied mathematics from Université Paris-Dauphine. He obtained master degree in Mathematics from Sorbonne Université. He conducts research in the intersection of systemic risk, stochastic control, weakly interacting particle systems and mean field game theory. He has broad interests in financial mathematics, probability theory and machine (deep) learning.

Selected publications

  • Hamed Amini, Zhongyuan Cao, and Agnès Sulem. Limit theorems for default contagion and systemic risk. Mathematics of Operations Research, 49(4):2652–2683, 2024.
  • Hamed Amini, Zhongyuan Cao, and Agnès Sulem. Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures. Finance and Stochastics, Forthcoming.
  • Hamed Amini, Zhongyuan Cao, and Agnès Sulem. Central limit theorems for price-mediated contagion in stochastic financial networks. SIAM Journal of Financial mathematics, Forthcoming.