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National Integrated Project on Fundamental Mathematics. 2001~ 2005. Tung Hai University Chiao Tung University Taiwan University Tsing Hwa University. Finance Biology Scientific Computation. Fundamental Mathematics. Workstation and Teaching Lab. http://www.math.thu.edu.tw/~finbiosci.

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national integrated project on fundamental mathematics

National Integrated Projecton Fundamental Mathematics

2001~ 2005

Tung Hai University Chiao Tung University

Taiwan University Tsing Hwa University

fundamental mathematics

Finance

Biology

Scientific Computation

Fundamental Mathematics
  • Workstation and Teaching Lab

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

workshops
Workshops
  • 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

G : Finance System

: Internal Uncertainties

K : Reconstruct Rearrange

w

z

G

w : External Uncertainties

z : Financial Risk

u : Control Strategy

y : Financial Tools

y

u

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

Financial Engineering

Control Engineering

Management of

Financial Risk

Controller K

Hedgeable

Attainable

Stabilizable

Detectable

Dynamic Hedging

Strategy

Observed based

Controller

problems in finance
Problems in Finance
  • Study of
      • Arbitrage, Hedging, Pricing
      • Consumption/Investment Optimization
      • Incomplete and/or Constrained Markets
      • Equilibrium
      • Differential Information,
      • Term-Structure of Interest Rates,
      • Transaction Costs, Credit Risk, etc.