Stochastic Control under Model Uncertainty in Quantitative Finance
Dr. Chao ZHOU
Date & Time
14 Apr 2020 (Tue) | 02:30 PM - 03:30 PM
Venue
Zoom
ABSTRACT
After the last financial crisis, model uncertainty attracted academics and practitioners’ attention. New theories have been established to improve the way of quantifying model uncertainty. And innovative work has been done on the research of optimal portfolio strategy under model uncertainty. Stochastic control techniques have been widely used in these recent works. In this talk, I will present my contribution to several problems under model uncertainty in Quantitative Finance. Moreover, I will provide the necessary background to understand the results.
Registration URL:
https://cityu.zoom.us/meeting/register/tZAqf-GgrjgqfrowvR_tX81vuQqCEyy3Ag
[Zoom meeting link will be provided via email after registration.]