周超研究员学术报告

发布时间:2019年11月18日 作者:王小捷   消息来源:    阅读次数:[]

报告题目:
Stochastic Control under Model Uncertainty in Quantitative Finance

报告人:周超研究员
报告时间:
2019年11月21日下午15:00-17:00
报告地点:
中南大学数学与统计学院135报告厅

摘要:After the last financial crisis, model uncertainty attracted academics and practitioners’ attention. New theories have been established to improve the way of quantifying model uncertainty. And innovative work has been done on the research of optimal portfolio strategy under model uncertainty. Stochastic control techniques have been widely used in these recent works. In this talk, I will present my contribution to several problems under model uncertainty in Quantitative Finance. Moreover, I will provide the necessary background to understand the results.

报告人简介:周超博士,2012年获得法国巴黎综合理工大学博士学位,拥有巴黎综合理工大学工程师文凭,现为新加坡国立大学量化金融中心研究员。他的主要研究方向为量化金融、金融数学与随机控制,在The Annals of Probability, The Annals of Applied Probability, Mathematical Finance等顶级学术期刊发表论文十余篇,主持国家自然科学基金(中国)、教育部科学基金(新加坡)等科研项目多项。



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