暑期培训班
| 数学与交叉科学研究中心、金融工程中心，威尼斯人 暑期培训班 |
| Summer school on mathematical finance July 8 - July 19, Soochow University, Suzhou Sponsors: Soochow University Organizers: School of mathematical sciences Mathematical center for inter-discipline research Center for financial engineering Course One: Quantitative Risk Management Teachers: Prof Steve Kou, NUS; Prof Peng, Xianhua, HKUST Abstract: This module covers quantitative models and methods used for financial risk management. The topics discussed include copula and multivariate distributions, principal component analysis, extreme value theory axiomatic framework of risk measures, computation of risk measures, capital allocation, credit risk management, etc. Course Two: Financial Modeling and Computation Teacher: Prof Dai, Min, NUS Abstract: This module is designed to impart to students more in-depth knowledge of derivative pricing and portfolio selection. Major topics: binomial tree method, Black-Scholes equation, volatility smile and improvement of Black-Scholes model, American and Bermudan options and their computation, exotic and path-dependent options, continuous-time portfolio selection, etc. Classroom: 览秀楼105 Schedule:
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| (威尼斯人 ) |