Summer school on mathematical finance

时间: 2013-07-06 作者: 浏览次数: 3435

Summer school on mathematical finance

July 8 - July 19, SoochowUniversity,Suzhou

Sponsors: SoochowUniversity

Organizers: School of mathematical sciences

Mathematical center for inter-discipline research

Center for financial engineering

Course One: Quantitative Risk Management

Teachers: Prof Steve Kou, NUS; Prof Peng, Xianhua, HKUST

Abstract: This module covers quantitative models and methods used for financial risk management. The topics discussed include copula and multivariate distributions, principal component analysis, extreme value theory axiomatic framework of risk measures, computation of risk measures, capital allocation, credit risk management, etc.

Course Two: Financial Modeling and Computation

Teacher: Prof Dai, Min, NUS
Abstract: This module is designed to impart to students more in-depth knowledge of derivative pricing and portfolio selection. Major topics: binomial tree method, Black-Scholes equation, volatility smile and improvement of Black-Scholes model, American and Bermudan options and their computation, exotic and path-dependent options, continuous-time portfolio selection, etc.

Classroom: 览秀楼105

Schedule:

Date	Morning 9:00 - 12:00	Afternoon 2:00 - 5:00	Evening
July 8, Monday	Dai, Min
July 9, Tuesday	Dai, Min
July 10, Wednesday	Dai, Min
July 11, Thursday	Peng, Xianhua
July 12, Friday	Peng, Xianhua	Paul Embrechts
July 13, Saturday	Peng, Xianhua	Cui, Wei
July 14, Sunday
July 15, Monday	Steve Kou	Dai, Min
July 16, Tuesday	Steve Kou
July 17, Wednesday	Dai, Min	Chen, Xinfu
July 18, Thursday	Steve Kou	Liu, Hong
July 19, Friday	Peng, Shige	Dai, Min

Invited Speakers:

Date	Name	Institute
July 12	Prof Paul Embrechts	Department of Mathematics, ETH Zurich
July 13	Dr Wei Cui	The People''s Bank of China
July 17	Prof Xinfu Chen	Department of Mathematics, University of Pittsburgh
July 18	Prof Hong Liu	Olin Business School,WashingtonUniversity inSt. Louis
July 19	Prof Shige Peng	Shangdong University