Stochastic models are becoming a more and more important tool to describe complex natural systems. In finance and economics, stochastic differential equation is a fundamental method to study the uncertainty in financial systems. A major challenge in stochastic modeling is how to estimate unknown model parameters based on the financial market data. In this talk we will discuss two types of major methods for estimating model parameters: the optimization method and Bayesian inference methods. These methods will be applied to infer parameters in financial models.

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

学术报告报告人: Professor Jie Du，The University of New South Wales题目: Irreducible representations of q-Schur superalgebras at a root of unity时间: 2013 年12 月27 日星期五下午4:30-5:30地点: 数学系致远楼102 室欢迎各位参加

学术报告报告人：吴杰 教授 （新加坡国立大学）报告题目： Introduction to homotopy theory and related topics报告时间： 2013年12月23日 （周一）16:00-17:00报告地点：必赢76net线路数学系致远楼105室欢迎各位参加

本报告将用最浅显的语言介绍广义相对论中黑洞、俘获面等基本概念以及彭罗斯-霍金奇点定理。

For sequential test plans, we propose the weighted expected sample size (WESS) to evaluate the overall performance of sequential test plans on the parameters of interest. Motivated by minimizing the WESS to control the expected sample sizes, we develop three sequential mixture likelihood ratio tests for one-sided composite hypotheses. It is proved that the proposed tests are the asymptotically optimal and have a finite stopping time under some conditions. Simulation results provide the evidence that the proposed tests have some superiority over the SPRT and 2-SPRT.

本报告为综述性报告，比较系统地介绍近些年来，回归分析的一些发展。介绍了参数回归模型、半参数回归模型、非参数回归模型以及它们的推广; 介绍了各类模型的估计方法和检验方法; 介绍了各类模型的变量选择方法和分位数回归; 介绍了它们在各个领域的应用以及各类数据。

I will talk about some recent progress on the 3D incompressible axially symmetric Navier-Stokes Equations.