应amjs澳金沙门线路首页概率统计研究所邀请，新加坡国立大学数学系Class of 62讲座教授寇星罡（Steven Kou）教授将于近期访问我校并作系列学术报告。

     报告一： Simulating Risk Measures
     时   间：10月19日（星期三）下午2:00
     地    点：齐云楼911报告厅.
摘要：Risk measures, such as value-at-risk and expected shortfall, are widely used in risk management, as exemplified in the Basel Accords proposed by Bank for International Settlements. We propose a simple general framework, allowing dependent samples, to compute these risk measures via simulation. The framework consists of two steps: In the C-step, we control the relative error in the simulation by computing the necessary sample size needed for simulation, using a newly derived asymptotic expansion of the relative errors for dependent samples; in the S-step, the risk measures are computed by using sorting algorithms. Numerical experiments indicate that the algorithm is easy to implement and fast, compared to existing methods, even at the 0.001 quantile level. We also give a comparison of the relative errors of value-at-risk and expected shortfall. This is a joint work with Wei Jiang.

    报告二： The Science of Money

    时   间：10月19日（星期三）下午3:30
    地   点：齐云楼911报告厅.
摘要：We will discuss three aspects of the application of scientific methods to finance. Although more advanced tools, such as stochastic differential equations, Monte Carlo simulation, psychology, statistical inference, optimization, and functional analysis may be needed to study these topics, only high school mathematics will be used in the talk. We aim at giving some concrete examples in these topics, to inspire interests among the general public. In particular, we will focus on three examples: (1) Optimal portfolio choices, e.g. Kelly and Merton criteria. (2) The binomial model for option pricing.

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寇星罡教授简介
     寇星罡 (Steven Kou) 教授于1995年毕业于美国哥伦比亚大学，取得统计学博士学位，现任新加坡国立大学数学系Class of 62讲座教授以及风险管理研究所所长。此前，他分别在美国罗格斯大学（1995-1996）、密歇根大学（1996-1998）哥伦比亚大学（1998-2014）任教。寇教授专长于讲授量化金融、随机模型和统计相关的一系列课程。他目前是学术期刊 Operations Research的领域联合主编(Co-Area Editior），并且担任其他众多国际学术期刊如Management Science，Mathematical Finance，Advances in Applied Probability，Mathematics of Operations Research等的编委。寇教授在量化金融、应用概率和统计等领域取得了一系列卓越的研究成果，在Management Science，Operations Research，The Annals of Applied Probability，Mathematical Finance等国际著名学术期刊上发表论文30余篇。他在2002年因将概率应用于金融工程领域的突出贡献获国际运筹及管理科学学会（INFROMS）的“爱朗奖”(Erlang Prize)。他的科研成果也被MBA常用教科书、国际商业软件以及财经信息提供商如彭博终端广泛应用。