fang-bo yeh, dept. of mathematics, tunghai univ. 2004.jun.29 tung hai university chiao tung...
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Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29
Tung Hai University Chiao Tung UniversityTaiwan University Tsing Hwa University
National Integrated Projecton Fundamental Mathematics
2001~ 2005
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 22
Fundamental Mathematics
Workstation and Teaching Lab Workstation and Teaching Lab
FinanceBiology
Scientific Computati
on
http://www.math.thu.edu.tw/~finbiosci
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 33
Mathematics Finance Chiao-TungChiao-Tung University University : : Prof. Yuah-Chung Sheu Prof. Yuah-Chung Sheu
Quantitative Finance
TaiwanTaiwan University : Prof. I-Liang Chen University : Prof. I-Liang Chen
Mathematics Finance
Tunghai Tunghai University : Prof. Fang-Bo YehUniversity : Prof. Fang-Bo Yeh
Mathematics Finance
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 44
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
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 55
Financial Engineering
By using financial instruments : forwards, f forwards, futures, swaps, options, and related productsutures, swaps, options, and related products
To restructure or rearrange cash flows
To achieve particular financial goals particul particularly the management of financial risk.arly the management of financial risk.
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 66
Mathematics Tool
Analytical ToolAnalytical ToolFinancial EconomicsFinancial EconomicsStochastic AnalysisStochastic AnalysisOptimal Control TheoryOptimal Control TheoryFunction Analytic TheoryFunction Analytic TheoryPartial Differential Equation Partial Differential Equation
Computation ToolComputation ToolNumerical and SimulationNumerical and Simulation
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 77
Control Engineering
Standard Control SystemStandard Control System
G
K
w z
yu
G : Finance System : Internal UncertaintiesK : Reconstruct Rearrange
w : External Uncertainties z : Financial Risk u : Control Strategy y : Financial Tools
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 88
H-infinity Modeling
3WG
K
n
d
r
1W
2W
1z
2z
3z
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 99
Financial Market Modeling
Modeling Modeling GG and and :: Deterministic ModelingDeterministic Modeling
H-infinity MethodH-infinity MethodShaping MethodShaping Method
Stochastic Modeling Stochastic Modeling FilteringFilteringSystem Identification: on-line,System Identification: on-line, off-lineoff-line
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 1111
Observed basedObserved basedControllerController
Management of Financial Risk
StabilizableStabilizableDetectableDetectable
Controller Controller KK
Dynamic HedgingDynamic HedgingStrategyStrategy
HedgeableHedgeableAttainableAttainable
Management of Management of Financial RiskFinancial Risk
Control Engineering Financial Engineering
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 1212
Problems in Finance
Study ofStudy of Arbitrage, Hedging, PricingArbitrage, Hedging, PricingConsumption/Investment OptimizationConsumption/Investment OptimizationIncomplete and/or Constrained MarketsIncomplete and/or Constrained MarketsEquilibrium Equilibrium Differential Information,Differential Information,Term-Structure of Interest Rates,Term-Structure of Interest Rates,Transaction Costs, Credit Risk, etc. Transaction Costs, Credit Risk, etc.
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 1313
Thank You.
Fang-Bo Yeh, Dept. of Mathematics, Tunghai Univ.
2004.Jun.29 1414