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

时间:2017-06-09 11:26:53 作者: 来源: 浏览次数:

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2017614日(星期三)下午1:30-330

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!

学院南路校区:北京市海淀区学院南路39号图配楼四层,邮编100081;  沙河校区:北京市昌平区沙河高教园区4号楼 邮编102206;

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