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Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:

Prof. Qiji Zhu, Department of Mathematics, Western Michigan University

Inviter: 夏建明
Title:
Entropy Maximization in Finance
Time & Venue:
2017.5.19 14:00-15:00 N613
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.

This is a joint work with late Professor Jon Borwein to whom I dedicate this talk.

 

 

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