“大数据与量化投资”专题讲座（六）：Risk-free dynamic arbitrage on illiquid markets

主办单位：管理科学与工程学院

讲座地点：沙河校区，学院楼4号楼320研讨室

讲座时间：2017年6月14日（星期三）下午1:30-3：30

主讲人：史蒂文斯理工学院商学院金融系助理教授Ricardo A. Collado

主讲人简介：

Dr. Ricardo Collado

Assistant professor

Education  

· PhD Operations Research, Rutgers University

· BS Mathematics, University of Puerto Rico

Research

· Applications: Energy systems, operations management, health care, homeland security, mathematical finance, and related fields

· Stochastic Optimization: Risk-averse stochastic optimization, dynamic programming, approximation to dynamic programs, decomposition methods of stochastic programs

· Semidefinite Programming: Generalizations of positive polynomials and its applications

Honors & Awards

· Honorable Mention at the Committee on Stochastic Programming Student Paper Competition. 12th International Conference on Stochastic Programming August , 2010.

· DIMACS Graduate Student Award. Center for Discrete Mathematics and Computer Science, Rutgers University, Piscataway NJ July, 2006

· Julio Garcia Diaz Medal of Mathematics. Department of Mathematics, University of Puerto Rico, Rio Piedras PR June, 2001

Ricardo副教授的研究主要涉及随机优化、半定规划等方面，其研究成果主要应用于能源系统、运营管理、国土安全和数理金融学金融等相关领域。最近，其题为Risk-Averse Dynamic Arbitrage in Illiquid Markets的论文发表于《The Journal of Risk》，此次Ricardo教授也将就这一议题与我校师生进行深入探讨，对金融工程感兴趣的同学不容错过。

欢迎感兴趣的老师和同学们参加！