Studies in Simulation, Optimal Control, Risk Management and Contingent Capital

这项研究计划集中在两套相互关联和互补的量化金融研究项目上：1)金融学中的模拟、最优控制和数值方法；2)或有资本证券研究。第一个项目侧重于具有早期行使特征的衍生证券的有效定价和风险管理方法。这些技术对于金融机构和投资者在交易和内部风险管理过程中以及在确定满足内部和外部(监管)需求所需的资本水平方面非常重要。蒙特卡罗方法将被广泛研究，以及一些其他适合于这类问题的数值方法。这项工作的结果在金融投资组合管理、发电站的运营以及大型系统(如一系列水库)的维护优化调度等方面具有更广泛的应用。

This research plan centres on two sets of linked and complementary quantitative finance research programs: 1) simulation, optimal control, and numerical methods in finance; and 2) studies in contingent capital securities. The first project focusses on efficient methods for pricing and risk management of derivative securities with early exercise features. These techniques are important to financial institutions and investors for trading and internal risk management processes and also for determining required capital levels to satisfy both internal and external (regulatory) demands. Monte Carlo methods will be extensively studied, along with some other numerical methods suited for such problems. Results from this work have broader applications such as financial portfolio management, the operation of power generating stations, and the optimal scheduling of maintenance in large systems such as a series of reservoirs.