Department of Mathematics

Understanding Quantitative Risk and Uncertainty in Finance


Professor Shige Peng

Shandong University
Distinguished Professor of Ministry of Education of China
Member of Chinese Academy of Sciences


Date: 18 December 2013 (Wednesday)

4:30pm - 5:30pm (Preceded by Reception at 4:00pm)


RRS905, Sir Run Run Shaw Building,
Ho Sin Hang Campus, Hong Kong Baptist University



For more than 100 years scientists struggled to understand how to quantitatively measure and regulate financial risks. In this lecture we present some milestones in the research of this crucially important subjects, contributed by Bachelier, Markowitz, Black-Scholes, etc. We also discuss some typical methods such as value at risk (VaR), shortfall, coherent risk measure, backward SDE and nonlinear expectations.




All are welcome