金融数学交叉融合项目

项目名称： 金融数学交叉融合项目

项目编号： No.11426230

项目类型： 专项基金项目

立项/批准年度： 2015

项目学科： 数理科学和化学

项目作者： 彭实戈

作者单位： 山东大学

项目金额： 100万元

中文摘要： 金融数学是国内外在金融风险度量、控制、及金融创新产品设计等金融领域中的核心问题对数学科学的强烈需求的带动下发展、壮大起来的。在这些实际需求所带来的新颖、高深的数学问题驱动下，研究团队在倒向随机微分方程、未定权益定价、非线性数学期望、动态风险度量的分析和计算、递归效用最大化、金融中的随机最优控制、金融统计和计算金融等方面系统地获得了一系列创新性、有些是奠基性、原创性的成果。在国际金融数学、随机分析、计量经济学、随机控制等领域产生了重要影响，推动了这些学科的发展。科研团队在成长初期就积极参与和主持了国家自然科学基金委“九五”重大项目和国家科学技术部“973计划”，这两个项目对我国金融数学这个新学科的成长、发展起到了关键作用。以彭实戈院士为学术带头人的科研团队有很好的知识结构和年龄结构，是一个典型的由应用问题驱动形成的创新团队。

中文关键词： 非线性数学期望；风险度量；随机控制；倒向随机微分方程；

英文摘要： Financial Mathematics research team is abroad in financial risk measurement, control, and financial innovation in product design and other core issues in the financial sector, driven by strong demand for the development of science and math. In these practical needs arising from new, advanced math problems driven by research teams in the stochastic differential equation, maximizing Claims Pricing, nonlinear mathematical expectation, analysis and calculation of dynamic risk measure, recursive utility, finance the stochastic optimal control, statistical and computational finance and other financial aspects of the system to get a series of innovative, some are groundbreaking, original results. In the international financial mathematics, stochastic analysis, econometrics, stochastic control and other areas had a significant impact, and promote the development of these disciplines. Research team has been actively involved in the early stages of growth and hosted by the National Natural Science Foundation of China "Ninth Five" major projects and the Ministry of Science, "973", these two projects on the growth of this new discipline of financial mathematics, played a crucial development effect. Prof. Peng Shige with academic leaders of the research team have a good knowledge of the structure and age structure, is a typi

英文关键词： nonlinear expectation；risk measurement；stochastic control；BSDE；