Professor Cui, the son of medical doctors, grew up in Shenzhen, China. He is citizen of China and permanent resident of United States.
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!
Professor Cui's research interests lie 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 optimal investment problem with non-concave utility functions and probability distortion.
He frequently applies tools from stochastic processes, Monte Carlo simulations, econometrics and network analysis in his research.
He is currently supervising the following PhD students at Stevens Institute of Technology:
1. Jinhyoung Kim
Final defense date: April 22nd, 2019. Dissertation title: Efficient methods for valuation and risk management of variable annuities
2. Jiacheng Fan
start year: Fall 2016, expected graduation year: Spring 2020. Two referred publications:
(1) Ma, Jingtang, and Jiacheng Fan. "Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends." The North American Journal of Economics and Finance 37 (2016): 128-147.
(2) Chatterjee, Rupak, Zhenyu Cui, Jiacheng Fan, and Mingzhe Liu. "An efficient and stable method for short maturity Asian options." Journal of Futures Markets, 38(12) (2018): 1470-1486.
3. Mingzhe Liu (co-supervised with Chihoon Lee)
start year: Fall 2016, expected graduation year: Fall 2020. One referred journal publication:
(1) Chatterjee, Rupak, Zhenyu Cui, Jiacheng Fan, and Mingzhe Liu. "An efficient and stable method for short maturity Asian options." Journal of Futures Markets, forthcoming (2018).
4. Zhaokun Cai
start year: Fall 2017, expected graduation year: Fall 2021.
5. Hongkai Cao
expected graduation date: August 2019.
6. Yunfan Zhu
start year: Fall 2017, expected graduation year: Spring 2021.
7. Kai Wang (co-supervised with Ying Wu)
start year: Fall 2017, expected graduation year: Spring 2021.
1. Yunfan Zhu, defended Spring 2017
2. Kai Wang , defended Spring 2017
3. Jiacheng Fan: defended Spring 2018
Every semester there are around 3 to 5 groups of students carrying out research projects under my supervision through the FE 800 class. The research reports are not listed here.