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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title	:	Robust Risk Measure in Continuous Time Finance
Speaker	:	Prof. Shige Peng
		Professor, School of Mathematics,
		Shandong University, Jinan, China
Date	:	December 11th, 2009 (Monday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

Our recent result of central limit theorem under model uncertainty naturally suggests to introduce a robust version of Brownian motion, called G-Brownian motion, to measure and calculate risk positions in continuous time finance. We will explain the relation of G-normal distribution, volatility uncertainty and the corresponding HJB equation. We also discuss the prospective of nonlinear Monte-Carlo method.

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Biography:
　

Peng Shige,
Professor, School of Mathematics,
Shandong University, Jinan, China
\\\" Elected member, Chinese Academy of Sciences, 2005.
\\\" 1st Prize of Science and Technology, Education Committee of China, 1994.
\\\" 2nd National Natural Sciences Prize of China, 1995.
\\\" Top Prize of Science and Technology of Shandong Province, 2003.
\\\" 2003 SU Buqing Award of Applied Mathematics, 2006.
\\\" TAN Kah Kee Science Award by Chinese Academy of Science, 2008.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seg5810
Email	:	seg5810@se.cuhk.edu.hk

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