学术报告通知

报告题目：Stochastic Control under Model Uncertainty in Quantitative Finance

报告人： 周超 研究员  （新加坡国立大学）

报告时间：2019年11月21 日上午11点 - 12点

报告地点：44118太阳成城集团105

数学与统计学院

                                   2019.11.18

报告摘要：After the last financial crisis, model uncertainty attracted academics and practitioners’ attention. New theories have been established to improve the way of quantifying model uncertainty. And innovative work has been done on the research of optimal portfolio strategy under model uncertainty. Stochastic control techniques have been widely used in these recent works. In this talk, I will present my contribution to several problems under model uncertainty in Quantitative Finance. Moreover, I will provide the necessary background to understand the results.

报告人简介：周超博士毕业于法国著名的巴黎九大和巴黎综合理工大学，现任新加坡国立大学量化金融中心研究员。主要研究领域：金融数学、随机控制。曾在多个国际权威的金融数学杂志上发表文章。如：The Annals of Applied Probability、The Annals of Probability， Mathematical Finance等。