應(yīng)yl7703永利官網(wǎng)概率統(tǒng)計研究所邀請，新加坡國立大學(xué)數(shù)學(xué)系Class of 62講座教授寇星罡（Steven Kou）教授將于近期訪問我校并作系列學(xué)術(shù)報告。

     報告一： Simulating Risk Measures
     時   間：10月19日（星期三）下午2:00
     地    點：齊云樓911報告廳.
摘要：Risk measures, such as value-at-risk and expected shortfall, are widely used in risk management, as exemplified in the Basel Accords proposed by Bank for International Settlements. We propose a simple general framework, allowing dependent samples, to compute these risk measures via simulation. The framework consists of two steps: In the C-step, we control the relative error in the simulation by computing the necessary sample size needed for simulation, using a newly derived asymptotic expansion of the relative errors for dependent samples; in the S-step, the risk measures are computed by using sorting algorithms. Numerical experiments indicate that the algorithm is easy to implement and fast, compared to existing methods, even at the 0.001 quantile level. We also give a comparison of the relative errors of value-at-risk and expected shortfall. This is a joint work with Wei Jiang.

    報告二： The Science of Money

    時   間：10月19日（星期三）下午3:30
    地   點：齊云樓911報告廳.
摘要：We will discuss three aspects of the application of scientific methods to finance. 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.

      歡迎廣大師生光臨!

寇星罡教授簡介
     寇星罡 (Steven Kou) 教授于1995年畢業(yè)于美國哥倫比亞大學(xué)，取得統(tǒng)計學(xué)博士學(xué)位，現(xiàn)任新加坡國立大學(xué)數(shù)學(xué)系Class of 62講座教授以及風(fēng)險管理研究所所長。此前，他分別在美國羅格斯大學(xué)（1995-1996）、密歇根大學(xué)（1996-1998）哥倫比亞大學(xué)（1998-2014）任教?？芙淌趯ｉL于講授量化金融、隨機模型和統(tǒng)計相關(guān)的一系列課程。他目前是學(xué)術(shù)期刊 Operations Research的領(lǐng)域聯(lián)合主編(Co-Area Editior），并且擔(dān)任其他眾多國際學(xué)術(shù)期刊如Management Science，Mathematical Finance，Advances in Applied Probability，Mathematics of Operations Research等的編委?？芙淌谠诹炕鹑凇?yīng)用概率和統(tǒng)計等領(lǐng)域取得了一系列卓越的研究成果，在Management Science，Operations Research，The Annals of Applied Probability，Mathematical Finance等國際著名學(xué)術(shù)期刊上發(fā)表論文30余篇。他在2002年因?qū)⒏怕蕬?yīng)用于金融工程領(lǐng)域的突出貢獻獲國際運籌及管理科學(xué)學(xué)會（INFROMS）的“愛朗獎”(Erlang Prize)。他的科研成果也被MBA常用教科書、國際商業(yè)軟件以及財經(jīng)信息提供商如彭博終端廣泛應(yīng)用。