2012 Tsinghua University Chia-chiao Lin Disinguished Lecture

Title: Topics in Financial Mathematics

Instructor: George Papanicolaou[Stanford University]

Time：16:30-17:30pm

Date: Sep.12，14，19，21，2012

Tea: 16:00-16:30

Place: Lecture Hall, Floor 3, Jin Chun Yuan West Building

It will be 4 lectures (about 1 hour each).

All 4 lectures will be on topics in financial mathematics: Systemic risk, Risk neutral pricing,and fast mean reversion analysis.

Introduction of Speakers

George C. Papanicolaou is an American mathematician who specializes in applied and computational mathematics, partial differential equations, and stochastic processes. His academic career started from Courant Institute of New York University and had been professor there until 1993. He is currently the Robert Grimmett Professor in Mathematics at Stanford University. In 1994 and 1998, Papanicolaou was invited twice as ICM speaker (plenary speaker on 1998 ICM). He was elected to the National Academy of Sciences in 2000.

Papanicolaou is among the major figure in many research fields such as the waves and diffusion in inhomogeneous or random media and the mathematical analysis of multi-scale phenomena that arise in their study. His research has been found important applications in electromagnetic wave propagation in the atmosphere, underwater sound, waves in the lithosphere, diffusion in porous media, etc. Together with his student Caflisch, he made pioneering contribution to the fluid limit of the Boltzmann equation. Papanicolaou is also a world leader in the research of nonlinear waves and diffusion in both direct and inverse problems. In particular, Papanicolaou is working on assessing multiple scattering effects in imaging and communication systems, including time reversal arrays. Recently, he is also interested in financial mathematics, the use of the asymptotics for stochastic equations in analyzing complex models of financial markets and in data analysis.

2012年清华大学林家翘讲座

George Papanicolaou是美国斯坦福大学教授。他将于2012年9月10日-21日对清华大学数学科学中心进行两个星期的访问。在来访期间，Papanicolaou教授将有四场讲座，每场讲座一个小时左右。四场讲座的主题将围绕金融数学领域：系统性风险，风险中性定价，快速均值回归分析来展开。

报告人简介

Papanicolaou是一名著名希腊裔美籍数学家，其主要研究方向为应用与计算数学、偏微分方程和随机过程。他的学术生涯开始与纽约大学库朗研究所，并在库朗所做教授至1993年。他现在为斯坦福大学Robert Grimmett数学讲座教授。Papanicolaou 1994年和1998年两次在国际数学家大会上做报告，其中1998年为一小时全会报告。他于2000年被选为国家科学院院士。

Papanicolaou 是不均匀及随机介质中波和扩散问题以及多尺度问题数学分析等研究领域的主要领袖人物，研究成果在大气中的电磁波传播、水下声波、岩石圈中的波以及多孔介质中的扩散等方向有重要的应用。他和他的学生Caflisch一起，对Boltzmann方程的流体极限问题作出了开创性的重要贡献。Papanicolaou 也是非线性波和扩散的正问题和逆问题方面的世界级领袖数学家。最近，Papanicolaou正在研究成像和通讯系统中，包括时间反转阵列，多重散射效应的评估。Papanicolaou最近的另一些兴趣是金融数学，如金融市场的复杂模型分析和数据分析中随机方程渐进性的应用等。