主 题: The Science of Money
报告人: Prof. Steven Kou and Prof. Min Dai ( National University of Singapore)
时 间: 2016-09-19 16:00-17:30
地 点: 理科1号楼 1560
Part I (Prof. Steven Kou). 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. Part II (Prof. Min Dai). After Steven Kou’s 1-hour talk, Professor Min Dai will spend 20 minutes on introducing research in finance mathematics conducted in National University of Singapore, as well as their graduate programs. Remark: This is a public talk, and the audience includes all undergraduates and postgraduates from all departments of Peking University. 报告人简介：Steven Kou教授现任新加坡国立大学风险管理研究所所长、数学讲座教授。专长金融工程,在Management Science, Operations Research, Mathematical Finance等国际一流期刊发表了很多深入的工作。因将概率应用于金融工程领域的突出贡献，2002年获国际运筹及管理科学学会的“爱朗奖”。以他的姓名命名的“寇”模型和“BG寇”模型在国际金融机构被广泛应用。1998年以来，担任Management Science、Operations Research, Mathematica Finance, Mathematics of Operations Research等期刊编委。 Dai Min教授现任新加坡国立大学数量金融中心主任、风险管理研究所副所长。在金融衍生产品定价与对冲、动态投资策略、缺乏流动性的投资组合设计等领域做了很多深入的工作。文章发表在Journal of Economic Theory，Management Science，Mathematical Finance，Review of Financial Studies等国际一流期刊。目前担任SIAM Journal on Financial Mathematics，Journal of Economic Dynamics & Control等期刊编委。
