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National Integrated Project on Fundamental Mathematics

National Integrated Project on Fundamental Mathematics. Tung-Hai University Chiao-Tung University Taiwan University Tsing-Hwa University 2001~ 2005. Fundamental Mathematics. Workstation and Teaching Lab. Finance Biology

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National Integrated Project on Fundamental Mathematics

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  1. National Integrated Projecton Fundamental Mathematics Tung-Hai University Chiao-Tung University Taiwan University Tsing-Hwa University 2001~ 2005

  2. Fundamental Mathematics Workstation and Teaching Lab. Finance Biology Scientific Computation http://www.math.thu.edu.tw/~finbiosci

  3. Mathematics Finance Chiao-Tung University:Prof. Yuah-Chung Sheu Quantitative Finance Taiwan University: Prof. I-Liang Chen Mathematics Finance Tunghai University: Prof. Fang-Bo Yeh Mathematics Finance

  4. Workshop Financial Engineering Theory and Design(I) 2004 Feb. 12, 13 Sun Moon Lake Financial Engineering Theory and Design(II) 2004 June 29, 30, July 1 Tunghai Campus Mathematics Finance 2004~2005

  5. Financial Engineering By using financial instruments: forwards, futures, swaps, options, and related products To restructure or rearrange cash flows To achieve particular financial goals particularly the management of financial risk.

  6. Mathematics Tool Analytical Tool: Financial Economics Stochastic Analysis Optimal Control Theory Function Analytic Theory Partial Differential Equation Computation Tool Numerical and Simulation

  7. Control Engineering Standard Control System w: External Uncertainties z : Financial Risk u: Control Strategy y: Financial Tools G: Finance System : Internal Uncertainties K: Reconstruct Rearrange w z G u y K

  8. Financial Market Modeling Modeling G and : Deterministic Modeling: H-infinity Method Shaping Method Stochastic Modeling: Filtering System Identification: on-line off-line

  9. H-infinity Modeling d r G n K

  10. Management of Financial Risk Controller K: Management of Financial Risk. Stabilizable : Hedgeable Detectable : Attainable Observed based Dynamic Hedging Controller Strategy

  11. Problems in Finance Study of Arbitrage Hedging Pricing Consumption/Investment Optimization Incomplete and/or Constrained Markets Equilibrium Differential Information, The term-structure of interest rates, Transaction Costs, Credit Risk, etc.

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