OVERVIEW

The Summer School bridges the gap between a general graduate education in quantitative finance and the specific preparation necessary to do research on problems of current interest in the subject. In general, students who attend the Summer School should have completed their first year, and in some cases, may already be working on a thesis. While a majority of the participants will be graduate students, some senior undergraduates, postdoctoral scholars, and young researchers may also be interested in attending.

Organizers:

Yongluo CAO (Soochow University)

Min DAI (National University of Singapore & NUS (Suzhou) Research Institute)

Weinan E (Princeton University & Peking University)

Steven KOU (National University of Singapore & NUS (Suzhou) Research Institute)

Xingye YUE (Soochow University)

Sponsor:

Center for Mathematics and Interdisciplinary Sciences & Center for Financial Engineering, Soochow University

Risk Management & Quantitative Finance Centre, NUS (Suzhou) Research Institute (founded by Centre for Quantitative Finance and Risk Management Institute)

PROGRAMME

Date

Time

Name of Speakers & Talk Titles

4 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

Ulrich HORST

Optimal Portfolio Liquidation under Market Impact

Min DAI

Variational Inequality Equations in Option Pricing and Optimal Investment

5 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

Ulrich HORST

Optimal Portfolio Liquidation under Market Impact

Min DAI

Variational Inequality Equations in Option Pricing and Optimal Investment

6 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

 

Hanqing JIN

Portfolio Selection Theory

Min DAI

Variational Inequality Equations in Option Pricing and Optimal Investment

7 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

 

Hanqing JIN

Portfolio Selection Theory

Hanqing JIN

Portfolio Selection Theory

9 July 2015

 

9:00am - 12:00pm

 


2:30pm - 5:30pm

Shijie DENG

Frontier Research Issues in Energy Markets: Market Design, Asset Pricing and Risk Management

Shijie DENG

Frontier Research Issues in Energy Markets: Market Design, Asset Pricing and Risk Management

10 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

 

Steven KOU

Arbitrage Pricing Theory

Duan LI

Discrete Time Mean-Variance Portfolio Selection

11 July 2015

9:00am - 12:00pm

 

2:30pm - 5:30pm

 

Steven KOU

Arbitrage Pricing Theory

Duan LI

Discrete Time Mean-Variance Portfolio Selection