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报 告 人：张星泉，杭州时代银通软件股份有限公司产品总监。报告时间：2024年6月20日（周四）下午2:00-3:00报告地点：览秀楼105学术报告厅报告摘要：“构建国产化自主可控金融市场应用生态体系”是我国未来发展的关键战略之一。以金融市场系统群规划为顶层指引，坚持长期做正确的事情，构建国产化自主可控的金融市场应用生态体系。支撑银行金融市场业务跳出长期依赖外购国外产品的困局，进入可持续发展的良性循环，迈入自动化、智能化、国产化的数字化时代。包括金融行业在内的各行各业都开始大力加强国产化基础建设，积极探索转型的道路。全面深入了解金融工程国产化的背景、意义与发展趋势，对于把握未来社会发展方向与职业热点变化，提升个人职业规划与有效技能培养有重要意义。本次报告将介绍金融工程国产化转型的最新发展和未来趋势，帮助同学们更好的了解这一变革。报告人简介：张星泉，杭州时代银通软件股份有限公司产品总监。2000年毕业于浙江工业大学工业工程专业，获学士学位。多年来主要从事金融市场相关的投资交易及风险管理系统研发工作，专注于投资全流程管理、交易定价、风险计量、清算支付、会计准则、监管合规、人工智能等相关领域
报告人：Nicolas Privault，南洋理工大学物理与数学科学学院教授报告时间：2024年6月19日上午10:00-11:00报告地点：览秀楼105学术报告厅报告摘要: We present a stochastic branching algorithm for the numerical solution of fully nonlinearPDEs via the use of random trees that propagate information on nonlinearities along theirbranches. This approach allows us to handle smooth functional nonlinearities involving gradient terms of any orders. Our numerical implementation combines a deep learningalgorithm with Monte Carlo estimation, and numerical examples ar
报 告 人： 美国Claremont Graduate University数学科学学院 彭启迪 副教授报告时间：2024年6月12日上午10: 00 - 11: 00报告地点：苏州大学本部览秀楼105学术报告厅Abstract: This talk introduces variable annuity and studies its holders’ lapse behavior. The lapse is supposed to occur when the VA’s utility is less than the equity’s utility. The study then requires modeling the VA, the equity and their utility functions. Our goal is to obtain proper maths models of the above items and apply them successfully in practice. 报告人简介：彭启迪，美国Claremont Graduate Uni
报告人：上海交通大学安泰与经济管理学院宋颖达副教授报告时间：2024.05.31 周五上午10:00-11:00报告地点：苏州大学本部览秀楼105学术报告厅报告摘要: Classical irreversible investment problem admits an optimal strategy of threshold type. But there is no consensus on how the investor should adjust the threshold if there is an implementation delay. By formulating a general problem with random delay and partial prepayment, we find that the effect of delay can be opposite for different prepayment rates. Furthermore, we propose a unified approximation method to sol
报告人:Min Dai, The Hong Kong Polytechnic University报告时间：5月27日（周一）下午3:00-5:00 报告地点:览秀楼105学术报告厅报告摘要: In this talk, I will first introduce the three important areas in quantitative finance: optimal investment, option pricing, and corporate finance. Subsequently, I will talk about several topics in financial technology (FinTech), which can be regarded as an updated version of quantitative finance in some sense. To conclude, I will provide an overview of the graduate programs in this field offered at t
报 告 人：孟江华，凯美瑞德（苏州）信息科技股份有限公司CTO报告时间：2024年5月23日 下午14：00-16：00报告地点：本部览秀楼105学术报告厅报告摘要：“完成数字化转型，建设数字中国”是我国未来发展的关键战略之一，未来的政府机构、产业部门、社会组织、企事业单位的运营活动、科技研发、安全保障都将在数字化环境下进行。包括金融行业在内的各行各业都开始大力加强数字化基础建设，积极探索数字化转型的道路。全面深入的理解数字化的背景、意义与发展趋势，对于把握未来社会发展方向与职业热点变化，提升个人职业规划与有效技能培养有重要意义。 本次报告将分析数字化转型的底层驱动力及改变社会经济活动的变革原理，并介绍金融机构数字化转型的最新发展和未来趋势。帮助同学们更好的了解这一国家战略和时代变革。报告人简介：孟江华，凯美瑞德（苏州）信息科技股份公司CTO。1999年毕业于清华大学精密仪器系，获学士学位；2006年毕业于清华大学计算机系，获博士学位。主要从事金融市场投资交易及风险管理系统研发工作，聚焦于投资全流程管理、交易定报价与风险计量、会计准则、监管合规、数字化转型等相关领域的研究。先后参与并完
主 讲 人：University of Illinois at Urbana-Champaign 宋仁明 教授报告时间：2025年5月21日（星期二）上午10：00—11：00报告地点：览秀楼105报告摘要: In this talk, I will present some recent results on estimates of the heat kernels of fractional Laplacians with supercritical killing potentials.主讲人简介：宋仁明教授，现为美国伊利诺伊大学数学系终身教授，主要从事随机分析和马氏过程的研究。1979年考入河北大学数学系，1983年和1986年分别获得学士和硕士学位；1993年毕业于佛罗里达大学数学系，获博士学位；1993年至1994年为美国西北大学数学系访问助理教授；1994年至1997年为密西根大学数学系助理教授；1997年进入伊利诺伊大学数学系工作至今。在Ann. Probability, Probab. Theory Related Fields , Math. Ann, J. Eu
报 告 人：冯新伟，山东大学中泰证券金融研究院教授报告时间：2024年5月7日下午14:00-15:00报告地点：腾讯会议411 462 343报告摘要：We study a class of stochastic linear-quadratic mean-field team involving a large number of weakly-coupled agents. Specifically, all agents are heterogenous with continuum diversity, thus they are more practical than homogeneous-type and the finite-type heterogeneous. A novel unified approach is proposed under which the intractable continuum heterogeneity can be converted to a more tractable homogeneity. As a trade-off,
报 告 人：陆扬 加拿大蒙特利尔康考迪亚(Concordia)大学 副教授报告时间：4月29日 下午4点到5点报告地点：览秀楼105学术报告厅报告摘要：We propose an original two-part, duration-severity approach to backtesting Expected Shortfall (ES). Recently, probability integral transform (PIT) based ES backtests have gained popularity, but so far, these tests do not allow to test separately the frequency and severity of the Value-at-Risk (VaR) violations. This latter property is essential, since the ES measures the average loss in case of a Value-at-Risk (VaR) viola
报 告 人：林乾，武汉大学金融学特聘研究员报告时间：2024年4月15日上午10:00-11:00报告地点：本部览秀楼105学术报告厅报告摘要:We propose a consumption-based model to explain puzzling unstable, i.e., sometimes positive and sometimes negative, relations between stock market variance with both market risk premia and prices. In the model, market risk premia depend positively (negatively) on “fear” (“euphoria”) variance. Market prices, which decrease with discount rates, correlate negatively (positively) with fear (euphoria) variance. Because it is the
报 告 人： 赵慧 天津大学数学学院副教授报告时间： 2024年4月12日18：30报告地点：腾讯会议： 949-805-812报告摘要：This paper formulates a general time-inconsistent linear quadratic mean-field Stackelberg differential game. We define the equilibrium strategies for the follower and the leader, which are two open-loop controls. The sufficient conditions for equilibrium controls are derived via two flows of forward-backward stochastic differential equations. Finally, we consider a stackelberg game between a pension manager and policy holders a
报 告 人：张功球 香港中文大学（深圳）理工学院助理教授报告时间：2024年4月11日18:30-19:30报告地点： 腾讯会议：868-125-414报告摘要：Continuous-time Markov chain (CTMC) approximation has become a popular numerical method for financial computation. It features high flexibility and efficiency and has been applied to a large class of important financial problems, including but not limited to the pricing of European, barrier, loopback, Asian, Parisian, American and drawdown options, portfolio selection and simulation under stochastic financial models
报 告 人： 李娜 教授, 山东财经大学报告时间：2024年4月8日下午2: 30 - 3: 30报告地点：苏州大学本部览秀楼105学术报告厅报告摘要：This work employs a policy iteration reinforcement learning (RL) method to investigate continuous-time mean-field linear quadratic problems over an infinite horizon. The drift and diffusion terms in the dynamics involve the state as well as the control. The stability and convergence of the RL algorithm are examined using a Lyapunov Recursion. Instead of solving a pair of coupled Riccati equations, the RL technique focuse
报告人：Harry Zheng 教授, 英国帝国理工学院报告时间：2024年4月8日下午3: 30 - 4: 30报告地点：苏州大学本部览秀楼105学术报告厅Abstract: We discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and illustrate the usefulness of the dual appr
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