Applications of mathematics to financial engineering
陳亭甫教授逢甲大學應用數學系 15:30 – 17:00 鴻經館 M107
Abstract：
Financial engineering is an interdisciplinary study that applies mathematics, statistics, and programming tools to the financial market to evaluate the fair price of financial derivatives and analyze the variations in the market. In this talk, we focus on applying mathematical tools to financial engineering, and there are four topics included. (1) We describe how to construct the stochastic differential equation (SDE) models for the financial asset price. We will introduce models from the basic Black-Scholes to advanced dynamics models. (2) The parameter estimation under the state-space model. We present the particle filter method and the EM algorithm to estimate models' parameters with hidden variables. (3) We introduce how to evaluate the fair value of financial derivatives by solving characteristic functions and applying numerical methods. (4) The application of financial engineering, including the risk management for the financial and insurance market and portfolio construction with dynamic risk preference through reinforcement learning.