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新加坡国立大学Steven Kou学术报告

2017年12月01日 14:56 翟羽佳 点击:[]

报告题目:The Science of Money

报告人:Steven Kou (National University of Singapore)

时间及地点:2017124日下午4:00-5:30学部新大楼B305

报告摘要: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.After Steven Kou’s 1-hour talk, Professor Dai Min will spend 15-20 minutes on introducing MFE program (Master of Science in Financial Engineering) at National University of Singapore.

Remark: This is a public talk, and all undergraduates and postgraduates are welcome.

报告人简介:Professor Steven Kou is currently the Director of the Risk Management Institute and Class of ’62 Professor 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.Currently he is a co-area editor for Operations Research and serves in the editorial board of some leading journals, including Mathematical Finance, Mathematics of Operations Research, etc.

Professor DAI Min is currently the Director of the Centre for Quantitative Finance at the National University of Singapore (NUS). Before joining NUS, he taught at Peking University. His research focuses on quantitative finance. Currently he is in the editorial board of someleading journals, including Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, etc.

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