Title（题目）：Two research problems of applying finance to engineering
Speaker（报告人）：Professor Steven Kou
Columbia University
Time（时间）：2011年4月2日（周六）下午2:00－3:00
Place（地点）：北京大学光华管理学院新楼217教室
Abstract（摘要）：
There are two areas of financial engineering: applying engineering methodologies to finance and applying financial ideas to engineering. In this talk we shall discuss two problems related to the second area. More precisely, we propose a new financial contract, callable contact, for revenue management pricing, and a new model for electricity futures and spot prices.
The talk is based on papers with G. Gallego, R. Philips, J. Birge, and N. Cai.
About the speaker（报告人介绍）：
Professor Steven Kou joined Columbia University's Industrial Engineering and Operations Research Department in 1998, and he teaches courses in financial engineering, stochastic models, and probability and statistics. Prior to joining Columbia, Professor Kou was an assistant professor in the Department of Statistics at the University of Michigan. Professor Kou's research interests include mathematical and computational finance, and applied probability. He has published in numerous journals including Management Science, Mathematical Finance, Advances in Applied Probability, Annals of Applied Probability, Statistica Sinica, and Finance and Stochastics.
In terms of financial engineering, Professor Kou is well known for his research on the double exponential jump diffusion model, models for growth stocks, the numerical pricing of discrete path-dependent options, market LIBOR models with jump risk, and option pricing in incomplete markets. His results have been widely used on Wall Street, and have been incorporated into standard M.B.A. textbooks, such as the textbook by John Hull.
