Event

過去のイベント

第62回金融センター特別セミナー

場所:東京大学経済学研究科学術交流棟(小島ホール)2階 コンファレンスルーム
スピーカー:Jean-Pierre Fouque 教授
Professor, Statistics & Applied Probability
University of California Santa Barbara
テーマ:
演題:Multiscale Stochastic Volatility Models

スピーカーのプロフィール:
Jean-Pierre Fouque studied at the University Pierre et Marie Curie in Paris.
He held positions at the French CNRS and Ecole Polytechnique, and at North Carolina State University.
Since 2006, he is Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California Santa Barbara. He was elected Fellow of the Institute of Mathematical Statistics in 2009, Chair of the SIAM Activity Group in Financial Mathematics (2009-2010),
and Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2011. He co-authored "Derivatives in Financial Markets with Stochastic Volatility" (CUP 2000), "Wave Propagation and Time Reversal in Randomly Layered Media" (Springer 2007), and "Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives" (CUP 2011).
He is an Associate Editor for the Annals of Applied Probability and for the SIAM Journal on Financial Mathematics.

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