题目: The Science of Money
报告人: Steven Kou （Director of Risk Management Institute and Provost’s chair Professor of Mathematics, National University of Singapore）
主持人：李平 教授
时间：2014年10月30日（周四）下午16:00-17:30
地点：新主楼A1028
摘要:We will discuss three aspects of the application of scientific methods to finance: (1) Investment (2) Derivatives (3) Risk Management. Although more advanced tools, such as stochastic differential equations, Monte Carlo simulation, psychology, statistical inference, optimization, and functional analysis may be needed to study these topics, only high school mathematics will be used in the talk. We aim at giving some concrete examples in these topics, to inspire interests among the general public. In particular, we will focus on three examples: (1) Optimal portfolio choices, e.g. Kelly and Merton criteria. (2) The binomial model for option pricing. (3) Axioms for risk measures.
报告人简介：
Professor Steven Kou is currently the Director of the Risk Management Institute and a Provost’s Chair Professor of Mathematics at the National University of Singapore. Previously, he taught at Columbia University, University of Michigan, and Rutgers University. He teaches courses in quantitative finance, stochastic models, and statistics. His research results have been widely used on the Wall Street, and have been incorporated into standard M.B.A. textbooks.
经管学院科研办
2014-10-22
