必赢76net线路金融工程系列演讲第三讲

题目：Commodities and Commodity Futures: modeling, pricing, hedging and optimal trading

时间:2014年1月2日下午2:30pm-4:00pm

地点：必赢76net线路数学系致远楼107教室

报告人：Professor Srdjan (stojans) Stojanovic

University of Cincinnati (USA), &苏州大学金融工程中心

Abstract

Theory of neutral (i.e., optimal) and indifference pricing, hedging and optimal trading of portfolios of financial contracts, for completely general diffusive Markovian continuous-time financial models is nowadays available, due to the works of the speaker. Furthermore, this methodology is fully implemented using symbolic calculations on Mathematica computer platform. As a consequence, financial engineering solutions of unprecedented complexity can nowadays be achieved in both, complete and incomplete markets. This talk will showcase the above claims on some examples in commodities and commodity derivatives. Many other application areas, such as equity hedge fund management, foreign exchange and foreign exchange derivatives are also available.

Speaker’s Short Bio.

He obtained his PhD in mathematics from Northwestern University (USA) in 1986, under the direction of Avner Friedman. Srdjan Stojanovic is now professor of mathematics at the University of Cincinnati (USA), and professor of financial engineering at the Suzhou University (PRC), spending autumn semesters in Suzhou, and spring semesters in Cincinnati. He published 2 books in financial mathematics, and many papers in free boundary problems, applied partial differential equations, optimal control theory, and financial mathematics. His first book “Computational Financial Mathematics using Mathematica” （Birkhauser, Boston (2003)）is one of the first books on implementation of financial mathematics on Mathematica computer platform, and is the programming foundation for this presentation. His second book

“Neutral and Indifference Portfolio Pricing, Hedging and Investing (Springer, New York (2011)) is an elaboration of his general and very powerful approach to financial mathematics, and it is the scientific foundation for this presentation.