题目：金融数学研究现状及热点分享
主讲：邓硕青
时间：2018年4月22日10:00-11:30
地点：理学院118
主办：理学院
主讲人简介：邓硕青，2012年毕业于北京大学获学士学位，2015年获法国巴黎高科ENSAE统计学硕士学位和巴黎九大金融数学硕士学位，现为巴黎九大博士生。
主讲内容：首先简单介绍一下金融数学的概况；接着讨论目前金融数学领域前沿的一些热点问题；然后说一下本人目前的相关研究；最后，提问交流时间。
题目：super-replication and utility maximization under model uncertainty with transaction cost
时间：2018年4月22日14:00-15:30
主讲内容：We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem as well as an exponential utility maximization problem. The main objective is to obtain some duality results which are well known in the classical dominated context. Our main idea is to based on a randomization technique together with a minimax argument to transform the initial problem on an enlarged space without transaction cost, which allows to recover the techniques and results such as that in the framework of Bouchard and Nutz(2013) without transaction cost.
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