
In this program we will study the pricing and hedging of financial derivatives in the benchmark models used in financial engineering, the binomial tree model and the Black-Scholes-Merton model. We will also discuss popular extensions to those models, such as stochastic volatility models, and suggest more recent models for projects or further research, such as rough volatility models. Suggested Research Fields: Recent popular option pricing models, such as rough volatility models or recent models with jumps. 在本项目中,我们将研究金融工程中使用的基准模型、二叉树模型以及布莱克-舒尔斯模型中金融衍生品的定价和对冲。我们还将讨论这些模型最近比较流行的扩展方向,例如随机波动率模型,并介绍一些新型模型,为后续的项目或深度研究做准备,例如粗略波动率模型。
Jaksa works in the fields of mathematical finance, financial engineering, and financial economics. He received a PhD in Statistics from Columbia University in 1992. He was an Assistant and Associate Professor of Statistics at Columbia University until 1999. From 1999 to 2005 he was a Professor of Mathematics and Economics at the University of Southern California, where he was also the Associate Chair. He is currently Richard N. Merkin Professor of Mathematical Finance at the California Institute of Technology, the director of the Linde Institute of Economic and Management Sciences, and the vice-president of the Bachelier Finance Society. He received the American Statistical Association Scholastic Excellence Award (1992). He has been a co-editor of “Finance and Stochastics” and of “Mathematical Finance”, and has served on the editorial boards of several other journals. He has co-authored two books, “Introduction to the Economics and Mathematics of Financial Markets” and “Contract Theory in Continuous Time Models”, and more than fifty scientific articles. Jaksa导师在金融数学、金融工程和金融经济学领域工作。他于 1992 年获得哥伦比亚大学统计学博士学位,并于哥伦比亚大学担任统计学助理和副教授直到 1999 年。从 1999 年到 2005 年,他在南加州大学担任数学和经济学教授,并同时担任学院副主席。他目前是加州理工学院金融数学专业的讲席终身正教授、Linde经济与管理科学研究所所长,以及 Bachelier 金融学会的副主席。他获得了美国统计协会学术卓越奖(1992 年),且一直是“金融与随机”和“数学金融”的联合主编,并曾在其他几本期刊的编委任职。他联合其他作者共同创作了“金融市场经济学和数学导论”和“连续时间模型中的合同理论”两本书,并专业科研文章五十余篇。
股票市场和固定收益市场介绍;重要金融衍生品 Brief introduction to equity markets and fixed income markets; Introducing most important derivatives
金融市场衍生品的定价及对冲 Pricing and hedging of derivatives in financial markets
定价选项的二叉树模型 The binomial tree model for pricing options.
常规期权定价模型;模拟定价 More general option pricing models; Pricing by simulation.
最终项目讨论 Final project discussion session
项目回顾与成果展示 Program Review and Presentation
论文辅导 Project Deliverables Tutoring

经济学
宏观经济学:房地产降温、经济制裁背景下的经济转型方法研究——以新基建建设为例
中国人民大学 国民经济系 副教授 研究方向:经济学、国民经济学及其前沿热点问题 30余年高校和国家教学科研领域工作经验,发表出版论文、论著约30篇,负责并完成研究课题近10项,累计为研究生、本科生授课1.2万课时,指导经济学硕士毕业论文70篇、本科毕业论文40余篇。
金融
金融市场与投资组合研究【高中组】
Alexei导师现任职于哥伦比亚大学,教授财务价格分析中的数学方法、资本市场和投资等课程,拥有普林斯顿大学应用与计算数学硕士及博士学位,是Systematic Alpha Management LLC (SAM)公司研究主管及合伙人。导师研究成果广受业界认可,曾发表多篇论文于International Journal of Theoretical and Applied Finance、World Scientific等业内知名学术期刊中。 Dr. Alexei is currently a Physics Development Senior Specialist with Dassault Systemes and an Adjunct Professor with Columbia University, Mathematics Department. From 2000 until 2019 he was a Head of Research and Portfolio Manager for Systematic Alpha Management, LLC. He graduated from Moscow Institute of Physics & Technology in 1990 with Highest Honors in Theoretical Physics & Applied Mathematics. He earned his PhD. in Applied & Computational Mathematics from Princeton University in 1995. Prior to co-founding SAM, Dr. Alexei worked for Wexford Management (Quantitative Analyst, options pricing and trading), BNP Paribas (Proprietary Trader, quantitative global fixed-income futures trading, Fixed Income Swaps Desk), TrendLogic Associates (Assistant Director of Research, global futures and equities strategies).Dr. Alexei 's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence. Throughout his career in science and finance, certain results of Alexei's work were published in leading physics and finance periodicals.
商业
商业分析课题:大数据统计与建模在商业分析中的应用研究
Prof. Arnab is an Associate Professor of Practice at Johns Hopkins Carey Business School. The Johns Hopkins Carey Business School was tied for second – with the Wharton School of the University of Pennsylvania – in an esteemed worldwide ranking of faculty contributions to a leading academic journal of marketing. Carey-affiliated researchers contributed 10 articles to the journal Marketing Science during 2017-2020, according to the ranking conducted by the University of Texas at Dallas. He is currently teaching Continuous-Time Finance, Data Analytics, and Operations Management. Previously he worked as an Assistant Professor at the Krannert School of Management of Purdue University. Prof. Arnab’s research interests include supply chain management, inventory management, stochastic modeling and optimization, dynamic pricing, and operational risk management. Arnab导师现任约翰霍普金斯大学凯里商学院教授,根据最新的研究和测评,在2017-2020年中,凯里商学院的老师在世界顶级商科期刊《营销科学》中发表了10篇专业研究论文成果,该成就媲美世界排名第一的沃顿商学院。Arnab教授在约翰霍普金斯大学开设有连续时间金融、数据分析、运作管理课程。导师的研究兴趣为动态定价和操作风险管理、供应链管理、库存管理、随机建模和优化。导师拥有丰富的多元化教学经验,得益于老师在多国的学习和任教历史:Arnab教授曾在美国普渡大学(公立常春藤)和加拿大英属哥伦比亚大学(全球QSTop50)任教,在国际知名期刊发表论文多篇。Arnab教授的专业知识水平和交叉学科能力极为出众,早在1998-2001短短几年中,他便获得了得克萨斯大学达拉斯分校和加拿大英属哥伦比亚大学的双博士后学位。在超过20年的高等教育工作中,Arnab教授深谙国际学生的多元文化背景和适合他们的独特教学模式,凭借自己极具天赋的学术能力和独特的教学经验,Arnab教授的课程深受国际学生的喜爱。