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News

Lecture Forcast:The Science of Money
date: 2014-10-14

 

Theme: The Science of Money
Speaker: Prof. Steven Kou(National University of Singapore)
Time:4:00PM- 5:30PM, Oct.16, 2014
Venue: Rm.107, Zhiyuan Building, Tongji University
About the speaker: Steven Kou, Director of Risk Management Institute and Provost’s Chair Professor of Mathematics, National University of Singapore

Abstract: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.