Sponsors:    Soochow University

Organizers:  School of mathematical sciences

               Mathematical center for inter-discipline research

               Center for financial engineering

 

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.

 

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: