信息科学技术学院数学系学术讲座（十三）

  
题  目：Selling Financial Assets at the Right Time
内容提要：A primary decision-making problem in financial investment practice is to determine the best time to sell an asset. This work aims to solve such a problem for a class of general continuous-time asset price processes where the objective is to sell at a price closest to the highest possible price over a given investment horizon. The problem is formulated as an optimal stopping problem, although it is non-standard in the sense that the maximum price involved is not adapted to the information generated over time. By delicate stochastic analysis the problem is expected to be converted to a standard optimal stopping one involving adapted processes. Moreover, different from the probabilistic approach in the literature which is ad-hoc and works for relatively simple price processes, this project develops a general approach, mainly employing the partial differential equation technique, to cope with the difficulty arising from the general price processes. The results derived from the optimal selling problems will also be applied to a wealth management problem involving decisions of both a fund manager and a client.
报告人：香港理工大学应用数学系 李迅 助理教授
报告人简介：李迅博士本科毕业于上海科技大学，硕士毕业于上海大学，师从郭本瑜教授，2000年于香港中文大学获博士学位，师从著名金融数学专家周迅宇教授。2000-2001年香港中文大学博士后，2001年-2003年，加拿大卡尔加里大学（University of Calgary） 之数学与金融计算实验室博士后研究员. 2003年-2007年, 新加坡国立大学访问助理教授. 2007年8月起, 香港理工大学应用数学系助理教授。主要研究领域为随机控制在金融学的具体应用，在国际著名杂志SIAM Journal on Control and Optimization, Annals of Applied Probability, IEEE Transactions on Automatic Control, Automatica and Annals of Finance 等发表论文数十篇。
主持人：数学系 张传林 教授
时 间：2011年12月28日（周三）上午10：30
地 点：教学大楼A312室
 
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信息科学技术学院
2011年12月26日

作者：吉念宁