Applied Mathematics Colloquium: Stochastic Control under Model Uncertainty in Quantitative Finance

Events

Details

  • Time:10:30-11:30
  • Date: 2019.11.19, Tuesday
  • Venue: MB537
  • Speaker: Professor Chao Zhou, Department of Mathematics, National University of Singapore

Abstract

After the last financial crisis, model uncertainty attracted academics’ and practitioners’ attention. New theories have been established to deal with model uncertainty. In this talk, I will present my contribution to several problems due to model uncertainty in Quantitative Finance. Moreover, I will provide the necessary background to understand the results.

Speaker

Dr Chao Zhou is an Assistant Professor in the Department of Mathematics at the National University of Singapore (NUS). He is also an affiliated researcher at the Institute of Operations Research & Analytics and the Suzhou Research Institute at NUS. He received his M.Sc. in Financial Mathematics from Paris Dauphine University. He obtained his Master’s degree in Engineering and his Ph.D. in Applied Mathematics from École Polytechnique in Paris. His research interests are quantitative finance, stochastic control, backward stochastic differential equations (BSDE) and deep learning methods in finance. He published several papers in The Annals of Applied Probability, The Annals of Probability and Mathematical Finance.