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:

Date
Morning
9:00 - 12:00
Afternoon
2:00 - 5:00
Evening
July 8,  Monday
Dai, Min
 
 
July 9,  Tuesday
Dai, Min
 
 
July 10, Wednesday
Dai, Min
 
 
July 11, Thursday
Peng, Xianhua
 
 
July 12, Friday
Peng, Xianhua
Paul Embrechts
 
July 13, Saturday
Peng, Xianhua
Cui, Wei
 
July 14, Sunday
 
 
 
July 15, Monday
Steve Kou
Dai, Min
 
July 16, Tuesday
Steve Kou
 
 
July 17, Wednesday
Dai, Min
Chen, Xinfu
 
July 18, Thursday
Steve Kou
Liu, Hong
 
July 19, Friday
Peng, Shige
Dai, Min
 
 
Invited Speakers:
Date
Name
Institute
July 12 Prof Paul Embrechts
Department of Mathematics, ETH Zurich
 
July 13 Dr Wei Cui The People's Bank of China
July 17 Prof Xinfu Chen Department of Mathematics, University of Pittsburgh
July 18 Prof Hong Liu Olin Business School, Washington University in St. Louis
July 19 Prof Shige Peng
Shangdong University