题目： The Science of Money

报告人：Professor Steven Kou (寇星罡), National University of Singapore

时间：2017年11月12日，19:30-20:30

地点：金融学院文泉南楼313

摘要：

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.

报告人简介：

Professor Steven Kou is the Director of Risk Management Institute and the Class of 62 Chair Professor at the National University of Singapore (NUS). Before joining NUS, Professor Kou worked at Columbia University, University of Michigan, and Rutgers University. He is a world-renowned expert in Financial Engineering and Applied Probability. He has published in numerous journals including Management Science, Operations Research, Mathematical Finance, and received the Erlang Prize by the Applied Probability Society of INFORMS. In terms of financial engineering, Professor Kou is well-known for his research on the double exponential jump diffusion model and models for growth stocks, which have been widely used on Wall Street. He is currently the Co-Area Editor in Financial Engineering Area of Operations Research and Associate Editor of Mathematical Finance, Mathematics of Operations Research, Journal of Business and Economic Statistics, Statistica Sinica etc.