应云顶国际4008服务平台的邀请，香港大学古嘉雯博士将于近日为我院师生做以下学术报告：

题目：Trading Strategy with Stochastic Volatility in a Limit Order Book Market

时间：3月2日（周四） 9：00-11：00

地点：理科楼407

摘要：

In this talk, we employ the Heston stochastic volatility model to describe the stock’s volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer’s mark-to-market wealth. Dealers in the security market can optimally determine their ask and bid quotes on the underlying stocks or options continuously over time. Their objective is to maximize an expected profit from transactions with a penalty proportional to the variance of cumulative inventory cost.

    报告人简介：

Gu Jiawen is a postdoctoral research fellow and in the Department of Mathematics, University of Hong Kong. She obtained her B. Sci degrees from Sun Yat-Sen University. She then received her Ph.D. degree from The University of Hong Kong. Her research interests are mathematical finance, actuarial science, optimal dividend strategies and data analysis. In particular, credit risk modeling, optimal portfolio liquidation, portfolio selection, operations management, machine learning and time series analysis.

欢迎感兴趣的师生参加！