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PKU-Tsinghua-Stanford Conference in Quantitative Finance held at PKU

Peking University, May 20, 2013: Aimed at building a platform for academics and practitioners to exchange ideas on recent advances in quantitative finance, PKU-Tsinghua-Stanford Conference in Quantitative Finance was held on May 10 and May 11 at the PKU Guanghua School of Management (GSM).

 

Jointly held by Peking University, Tsinghua University and Stanford University, the conference brought together not only scholars from academic institutions, but also professionals from industrial companies such as Citadel Group, JPMorgan and Morgan Stanley. Their reports and communication spanned almost every aspect of quantitative finance, including mathematics, statistics, finance, economics, econometrics and insurance.

 

The conference

 

Professor Tze Leung Lai from Stanford University gave a lecture on "Active Risk Management: Financial Models and Statistical Methods", bringing an overview of standard models and methods, together with emerging trends and new approaches in risk modeling, surveillance and management.

 

In GSM Professor Chen Songxi's report, he provided a comprehensive analysis on the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion.

 

Professor Michael Powers from Tsinghua University elaborated on "Fourier-Analytic Risk Measures of Heavy-Tailed Insurance Losses".

 

Dr. Kevin Atteson and Dr. Zhang Feng from Morgan Stanley discussed with the audience the current situation of the US mortgage market and housing market, and the emerging trends in the new securitization after the credit crisis.

 

In addition to the invited lectures, the conference set two panels for participants to have a discussion on ten latest academic papers.

 

GSM Dean Cai Hongbin made the opening speech and expressed his hope that participants could enjoy "a wonderful time of exchanging ideas" at the conference.

 

Professor Cai Hongbin gives the opening speech

 

 

Written by: Zhai Xiufeng
Edited by: Xu Xinyi
Source: GSM and the Conference Website