Research

Preprints

• Ruimeng Hu, and Yihan Zou (2026). Convergence of a deep backward scheme for solving RBSDEs via regularization.
  Preprint available soon
• Ruolan Ouyang, Jie Yang, Yihan Zou, and Yukun Shi (2026). Multi-scale and Path Signature-informed Deep Learning for Intraday Volatility Forecasting.
  SSRN , Submitted
• Jinpeng Liu, and Yihan Zou (2026). Prospect Theory and AH Premium: Theoretical and Empirical Evidence.
  SSRN
• Haowen Chi, Christian Ewald, and Yihan Zou (2026). Maritime Costs and Inflation: What Shipping Derivatives Markets Signal for Monetary Policy.
  SSRN
• Christian Ewald, Tiancheng Pei, and Yihan Zou (2025). On the Role of Uncertainty in Timing Environmental Policies.
  SSRN , Submitted
• Ankush Agarwal, Emmanuel Gobet, and Yihan Zou (2025). Numerical approximation of RBSDEs via regularization.
  Preprint available soon
• Chenfang Cao, Christian Ewald, and Yihan Zou (2025). Efficient Valuation of Aluminium TAPOs under Jump-diffusion Dynamics with Stochastic Liquidity Risk.
  SSRN
• Ankush Agarwal, Christian Ewald, and Yihan Zou (2025). A computational toolbox for evaluating commodity project investments under ambiguity.
  SSRN
• Ankush Agarwal, Christian Ewald, and Yihan Zou (2025). Valuation of American options in ambiguous multifactor models.
  SSRN , Revise and Resubmit in Quantitative Finance

Publications

• Ankush Agarwal, Christian Ewald, and Yihan Zou (2025). Robust valuation and optimal harvesting of forestry investments under catastrophe risk and parameter uncertainty.
  European Journal of Operational Research , In Press
• Ankush Agarwal, Christian Ewald, Shuya Zhang, and Yihan Zou (2025). On the predictive power of food commodity futures prices in forecasting inflation.
  Quantitative Finance
• Yongjian Lyu, Heling Yi, Mo Yang, Yihan Zou, Ding Li, and Zhilong Qin (2025). Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market.
  Applied Energy
• Christian Ewald and Yihan Zou (2021). Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data.
  Journal of Empirical Finance
• Christian Ewald and Yihan Zou (2021). Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?.
  European Journal of Operational Research