报告人:  Jun Cai, Department of Statistics and Actuarial Science, University of Waterloo, Canada                        摘要：In this paper, we present robust portfolio selection models by incorporating a reward and penalty mechanism into portfolio management. We assume that the joint distribution of the losses of the underlying risky assets in a portfolio is uncertain but lies within a multiva...

报告人：曹继岭 报告摘要: Volatility modeling is a cornerstone of modern quantitative finance, especially when it comes to pricing European derivatives accurately. The Heston model, introduced by S. Heston in1993, revolutionized the field by addressing a key limitation of the Black-Scholes model: its assumption of constant volatility. Since then, many other stochastic volatility models have been...