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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

National Integrated Projecton Fundamental Mathematics

Tung-Hai University Chiao-Tung University

Taiwan University Tsing-Hwa University

2001~ 2005

fundamental mathematics
Fundamental Mathematics

Workstation and Teaching Lab.

Finance

Biology

Scientific Computation

http://www.math.thu.edu.tw/~finbiosci

mathematics finance
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

workshop
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

financial engineering
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.

mathematics tool
Mathematics Tool

Analytical Tool:

Financial Economics

Stochastic Analysis

Optimal Control Theory

Function Analytic Theory

Partial Differential Equation

Computation Tool

Numerical and Simulation

control engineering
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

financial market modeling
Financial Market Modeling

Modeling G and :

Deterministic Modeling:

H-infinity Method

Shaping Method

Stochastic Modeling:

Filtering

System Identification: on-line

off-line

management of financial risk
Management of Financial Risk

Controller K: Management of

Financial Risk.

Stabilizable : Hedgeable

Detectable : Attainable

Observed based Dynamic Hedging

Controller Strategy

problems in finance
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.