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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
报告时间: 3 Apr, 2024, 16:00-17:00报 告 人:金含清，牛津大学教授报告地点:览秀楼105学术报告厅报告摘要: We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who seek (subgame perfect) intra-personal equilibrium strategies. We provide sufficient conditions under which an equilibrium strategy is a
报告时间: 3 Apr, 2024, 15:00-16:00报 告 人:Min Dai, Chair Professor, HK Polytechnic University报告地点:览秀楼105学术报告厅报告摘要: We develop a reinforcement learning method to learn an optimal trading strategy in the presence of transaction costs. Using a connection between singular control and a Dynkin game for portfolio choice with transaction costs, we learn the value function and optimal policy of an associated randomized Dynkin game, where a regularization term is incorporated to encourage exploration. We show
报告题目：Optimal ratcheting of dividends with capital injection报告人：福建师范大学数学与统计学院王文元教授报告时间：2024年3月30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: In this talk, I shall introduce a recent work of mine, which investigates the optimal dividend problem with capital injection and ratcheting constraint with non-decreasing dividend payout rate. Capital injections are introduced in order to eliminate the possibility of bankruptcy. Under the Cram\er--Lundberg risk model, the problem is formulated as a two-d
报 告 人：张丽宏 教授，清华大学 经济管理学院报告时间：2024.03.11(周一) 9:30-10:30报告地点：金融中心105报告厅报告摘要：The widespread adoption of information technology has fundamentally transformed the way information is processed in the financial market. One such technological advancement is algorithm trading, which allows traders to develop sophisticated strategies based on historical price data. This raises important questions: Do these algorithm trading strategies contribute to market instability? When do they yield profits for differ
报 告 人：韦晓 中央财经大学，副教授报告时间：3月13日周三 18:30-19:30报告地点：#腾讯会议： 135-683-989报告摘要：We propose an efficient numerical method to calculate the Value-at-Risk for variable annuities under exponential L ́evy models. In the proposed approach, the prob bility density of the net liabilities is approximated using the theory of frames and Riesz bases. The key element of the numerical method is a new algorithm for calculating the integral of the exponential L ́evy process, approximated by a discrete sum whose expectat
报 告 人：孟辉 中央财经大学， 教授、博士生导师报告时间：3月12日18:30-19:30报告地点：#腾讯会议： 596-153-046报告摘要：In this work, we investigate the optimal per-claim reinsurance problem to minimize the insurers ruin probability. Inspired by the exponential upper bound of ruin probability in Cramér-Lundberg model, we take Lundberg exponent maximization as the value function. In the first part, we consider the optimal reinsurance problem under the combined upper moment premium principle. In the second part, we consider the optimal reinsu
报 告 人：夏笑女 博士 温州大学报告时间：2024.01.21(周日) 10:00-11:30报告地点：金融工程研究中心105报告摘要：In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we express the value function and the optimal state in terms of solutions to BSDEs on [0,T]. Then we study the long time limit of the value function and the optimal state by studying the convergence of the BSDEs as T goes to infinity. Moreover, we find that in a
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