English
报告人：Dr. Fraser Daly Associate Professor Heriot-Watt University时 间：2023年3月30 星期四19：00 -- 20:00 地 点：腾讯会议：499-258-340报告摘要:Let $Y=X_1+\cdots+X_N$ be a sum of a random number of random variables, where the random variable $N$ is independent of the $X_j$. Such random sums arise in many applications, including in the areas of financial risk, hypothesis testing and physics. Classically, the $X_j$ are assumed to be independent, in which case central limit theorems and other distributional approximation r
报告题目：Credibility theory under the least squared relative lossfunction报告嘉宾：张艺赢，助理教授，南方科技大学数学系报告时间：2023年3月24日（周五）上午10：00-11：00报告地点：腾讯会议538-779-644嘉宾简介：张艺赢，南方科技大学数学系助理教授，博士生导师。2018年9月获得香港大学精算学博士学位，后赴鲁汶大学和阿姆斯特丹大学学术访问，2019.1-2021.8在南开大学统计与数据科学学院工作，任助理教授，2021年8月加入南方科技大学数学系，任助理教授。主要研究方向为风险管理与保险精算、应用概率与统计及可靠性理论，目前共发表SCI/SSCI/EI论文60余篇，研究成果主要发表在保险精算四大顶级期刊Insurance: Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial Journal，运筹学与管理科学领域权威期刊European Journal of Ope
报告人：Dangxing Chen, Assistant Professor, Duke Kunshan University报告时间: 2022年12月20日（周二）下午3:00-4:00报告会场：腾旭会议 773-6902-9240Abstract:For many years, machine learning methods have been used in a wide range of fields, including computer vision and natural language processing. Even though machine learning methods significantly improve model performance over traditional methods, their black-box structure makes it difficult for researchers to interpret the results. For highly regulated sectors, such as the
报告主题：The Optimal Payoff for a Yaari Investor主讲人：布鲁塞尔自由大学Steven Vanduffel 教授时间：2022年12月2日（星期五）下午16:30--17:30地点：腾讯会议957-854-494.报告摘要：Yaaris dual theory of choice under risk is the natural counterpart of expected utility theory. While optimal payoff choice for an expected utility maximizer is well studied in the literature, less is known about the optimal payofffor a Yaari investor. We perform a fairly general analysis and derive optimal payoffs in a variety of relevant cases. Specifically, we prov
题目：Weak equilibriums for time-inconsistent stopping control problems报告人：梁宗霞，清华大学数学科学系，教授时间：2022.12.02(周五) 9:30-10:30地点：腾讯会议：161-814-539摘要：We consider time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). Wepropose concepts of weak equilibriums on the time-inconsistent stopping control problems under general multi-dimensional controlled diffusion model. We show that an admissible pair $(\hat{u},C)$ of contr
报告题目：Systemic risk measures based on tail risk projections主讲人：以色列本古里安大学Tomer Shushi博士时间：2022年11月17日（星期四）下午19:00--20:00地点：腾讯会议461-190-583报告摘要：Systemic risks have been proved to be extremely harmful to the Financial system, with a potential for a catastrophic failure occurring when risks are mutually dependent. In practice, risk managers that focus on the possibility of a crisis are confronted with not only one risk but rather a system of risks (such as several business lines). So the world of ris
报告题目：Price Interpretability of Prediction Markets: A Convergence Analysis主讲人：上海财经大学高建军副教授时间：2022年11月2日（星期三）上午9:30--10:30地点：腾讯会议113-626-188主办单位：金融工程研究中心报告摘要：Prediction markets are long known for prediction accuracy. However, there is still a lack of systematic understanding of how prediction markets aggregate information and why they work so well. This work proposes a multivariate utility (MU)-based mechanism that unifiesseveral existing prediction market-making schemes. Based on this mechanism,
题目：Strategic Investment under Uncertainty: First-mover, Second-mover, and State-contingent Advantages报告人：戴民香港理工大学讲席教授时间：2022.10.07(周五) 15:00-16:30地点：金融工程研究中心105腾讯会议：827-745-379 会议密码：202210摘要：We develop a duopoly real-option entry game model with the first-mover, second-mover, and state-contingent advantages. The model can be described by a variational inequality, through which we fully characterize both mixed-strategy and pure-strategy equilibria. Moreover, we develop a separation principle to d
报告人：端木昊随（哈尔滨工业大学）时间：2022年9月20日9:30-10:30地点：金融工程研究中心105学术报告厅报告题目：Applications of Nonstandard Analysis in Economics, Probability and Statistics摘要：Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in various areas of mathematics such as probability theory, stochastic processes, mathematical physics, functional analysis, and mathematical economics. Nonstandard analysis allows construction of a single object—a hyperfinite probability space—which sat
报告题目：Large ranking games with diffusion control主讲人：新加坡国立大学周超副教授时间：2022年8月26日（星期五）上午10:30--11:30地点：https://meeting.tencent.com/dm/NxS8WhSNdehj报告摘要：We consider a symmetric stochastic differential game where each player can control the diffusion intensity of an individual dynamic state process, and the players whose states at a deterministic finite time horizon are among the best alpha of all states receive a fixed prize. Within the mean field limit version of the game we compute an explicit equili
报告题目：Optimal liquidation using after-hours fixed-price trading主讲人：南京大学杨念教授时间：2022年7月20日（星期三）上午9:30--10:30地点：https://meeting.tencent.com/dm/dYua9k7qHFzz主办单位：金融工程研究中心报告摘要：The after-hours fixed-price (AHFP) trading mechanism exists in exchanges such as TWSE, SSE STARMarket, SZSE ChiNext Market, and Nasdaq, which allows investors to trade at the closing price afterthe regular trading session. In this paper, we consider an investor’s liquidation problem using the twosessions in the exchange: the AHFP
题目：Quantitative Investing and Price Informativeness报告人：何学中教授，西交利物浦大学时间：2022.06.21周二) 09:30-10:30地点：金融工程研究中心105腾讯会议ID：320-721-841摘要：When institutions cannot interpret price information perfectly,quantitative investing — trading strategiesbased on the information extraction from quantitative analysis of price — can affect price informativeness through two distinct economic mechanisms.Directly, it brings more informed capital with superior price information. Indirectly, due to common error in insti
题目：COVID-19 Puzzles: a Resolution报告 人：Jerome Detemple，Boston University时间：2022.05.13(周五晚上) 20:30-21:45 (Beijing time)Zoom ID:Meeting ID: 920 3418 2563Passcode: 027931报告摘要：This paper examines the economic impact of COVID-19 in an equilibrium framework. Our model combines two ingredients: (i) beliefs-dependent preferences for economic dynamics and (ii) stochastic SEIRD model with unpredictable birth and vaccine discovery events for disease propagation. We estimate the model based on economic time
报告题目：金融工程的应用与发展-兼论Sequential Compound Option与Complex Chooser Option主讲人：凯美瑞德（苏州）信息科技股份有限公司 李孟育博士时间：2022年5月6日（星期五）下午2:00--3:00地点：https://meeting.tencent.com/dm/8dlhxICEoGlh 主办单位：金融工程研究中心报告摘要：本演讲内容由金工应用分类开始讲起，内容涵盖以下几个部份:(1)基础期权应用，包括反向对角价差的损益两平价位求算，应用模型在场内期权套利的方法等(2)Sequential Compound Option在实物期权的应用(3)Complex Chooser Option定价与应用(4)发展趋势主讲人简介：李孟育博士现任凯美瑞德（苏州）信息科技股份有限公司研究部金融工程中心经理，台湾新竹交通大学信息管理博士(双辅修: 统计、应用数学)，杭州市上城区2018、2019年金融人才(E级)，浙江大学工程师学院兼职校外企业讲师、浙江财经大学硕士班研究生社会导师，原南华期货研究所高级副总裁、量化团队负责人，原台湾公立嘉义大学财务金
地址：苏州大学十梓街1号
电话：0512-65112418邮箱：sdjrzx@suda.edu.cn