2003年12月25日至27日
12月25日上午 地点:数学中心五楼演讲厅
9:00-10:00 Professor ZHANG Zhifeng专题演讲
10:15-11:15 Professor ZHANG Zhifeng专题演讲
12月25日下午 地点:数学中心五楼演讲厅
14:00-15:00 Professor ZHANG Zhifeng专题演讲
15:15-16:15 Professor ZHANG Zhifeng专题演讲
12月26日上午 地点:数学中心五楼演讲厅
9:00-10:00 Professor ZHANG Zhifeng专题演讲
10:15-11:15 Professor ZHANG Zhifeng专题演讲
12月26日下午 地点:数学中心五楼演讲厅
14:00-15:00 Professor ZHANG Zhifeng专题演讲
15:15-16:15 Professor ZHANG Zhifeng专题演讲
12月27日上午 地点:数学中心五楼演讲厅
9:00-10:00 Professor ZHANG Zhifeng专题演讲
10:15-11:15 Professor ZHANG Zhifeng专题演讲
演讲内容:
在Sam Wong、LAI Tze Leung教授所作演讲基础上,ZHANG Zhifeng教授就以下专题作系列演讲:
8. Topics in fixed-income research
9. Credit derivatives
10.Default modeling and hazard rate calibration.
主讲教授简介(四)
ZHANG Zhifeng is Executive Director of the Credit Product Group at Morgan Stanley. He received his B.S. degree in chemical engineering in 1982 from South China Institute of Technology and PhD in mathematics in 1993 from Courant Institute of New York University. After spending two years as postdoctoral fellow in the Department of Mathematics at Stanford University and another year as NSF postdoctoral fellow at Courant Institute, he joined Morgan Stanley as an Associate in fixed income research. He was promoted a year later to Vice President of the Derivative Product Group and assumed his current Executive Director position in 2000. His research interests include wavelets, matching pursuit with time-frequency dictionaries, locally stationary stochastic processes, statistical analysis of foreign exchange rates, credit derivative pricing and modeling of correlated defaults.