（5月11日） Entropy Maximization in Finance

Speaker:Prof. Qiji Zhu, Department of Math. Western Michigan University 

 

Abstract:   We highlight the role of entropy maximization in several fundamental results in financial mathematics. They are the two fund theorem for Markowitz efficient portfolios, the existence and uniqueness of a market portfolio in the capital asset pricing model, the fundamental theorem of asset pricing, the selection of a martingale measure for pricing contingent claims in an incomplete market and the calculation of super/sub-hedging bounds and portfolios. The connection of diverse important results in finance with the method of entropy maximization indicates the significant influence of methodology of physical science in financial research. Entropy maximization is a special case of convex duality method which has wider application in finance.

 

联系人：陈叔平老师（spchen@zju.edu.cn)

附件：报告人简历zhu1017cv.doc