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Professor Steven Kou’s lecture notice

Publish Date: 2014/10/22 17:42:56    Hits:

Topic: The Science of Money

Lecturer: Steven Kou (Director of Risk Management Institute and Provost’s chair Professor of Mathematics, National University of Singapore)

Host:Professor Li Ping

Time:16:00-17:30, 2014.10.30

Location:New Main Building A1028

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.

Lecturer:

Professor Steven Kou is currently the Director of the Risk Management Institute and a Provost’s Chair Professor of Mathematics at the National University of Singapore. Previously, he taught at Columbia University, University of Michigan, and Rutgers University. He teaches courses in quantitative finance, stochastic models, and statistics. His research results have been widely used on the Wall Street, and have been incorporated into standard M.B.A. textbooks.

School of Economics and Management

2014-10-22