主讲人：张庆教授（美国佐治亚大学）

日期：2014年5月14日、5月22日、5月28日下午2:30--4:30

地点：知新楼B-1248

报告摘要：Trading ofsecurities in open marketplaces has been around for hundreds of years. It isonly until recent years that mathematics has played an increasingly importantrole in market analysis, trading system design, and derivatives pricing. Highlevel mathematics such as stochastic calculus becomes an indispensable tool inmodern finance. Mathematically defined processes such as Brownian motion and Markovchain become corner stone for sophisticated market models including geometricBrownian motion model, mean reversion model, and models with regime switching.These models allow systematic analysis of security price movements and advancemuch of human understanding of the marketplaces.This lecture series will focuson mathematics of equity trading. Above mentioned market models will beconsidered and standard approaches to stock trading will be presented. Severaltrading strategies such as buy-low-and-sell-high, trend following, and largeblock trading will be treated. Related numerical examples will also be used toillustrate these mathematical results.