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【6月14日】“大数据与量化投资”专题讲座(六):Risk-free dynamic arbitrage on illiquid markets

[发表时间]:2017-06-12 [来源]:管理科学与工程学院 [浏览次数]:

    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!

 


[编辑]:张萌