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为加强交流与合作,苏黎世联邦理工大学Martin Schweizer教授以及帝国理工学院Harry Zheng教授将于718日开设专题讲座,欢迎老师和研究生同学参加。


报告题目:An introduction to quadratic hedging

报告人:Martin Schweizer (ETH Zurich)

报告时间:2019718(星期四) 上午9:00-12:00

报告地点:通博楼B412

报告摘要:We provide a compact introduction to the problem of hedging in a general incomplete market with respect to a quadratic criterion. This includes mean-variance hedging as well as mean-variance portfolio selection. In mathematical terms, this involves stochastic integration with respect to general semimartingales, projection results for spaces of stochastic integrals and working with suitable martingale measures. We try to keep technical details to a minimum, but some familiarity with stochastic calculus at least for continuous processes will have to be assumed.


报告题目:Introduction to dual control method for solving utility maximization problems

报告人:Harry Zheng (Imperial College London)

报告时间:2019718(星期四) 下午14:00-17:00

报告地点:通博楼B412

报告摘要: Stochastic control method is often used to solve dynamic portfolio optimization problems. By using the dynamic programming principle, one can obtain a nonlinear partial differential equation, called the HJB equation, for the value function. However, apart from power utility, it is difficult to solve the HJB equation. In this talk, we will explain how to use the dual control method to solve the HJB equation and find the closed-form solution or the representation of the solution for general utility functions in the Black-Scholes market and with control constraints.