Department of Systems Engineering and Engineering Management
            The Chinese University of Hong Kong


Speaker    : Eckhard Platen
                  University of Technology Sydney
Date       : Oct. 9th, 2012, Tuesday
Time       : 4:30-5:30pm
Venue      : Room 513
             William M.W. Mong Engineering Building

This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modeling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modeling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory.

Professor Eckhard Platen joined UTS in 1997 from ANU. He was a joint appointment between the School of Finance and Economics and the School of Mathematical Sciences to the newly created Chair in Quantitative Finance.

Prior to this appointment he was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his from the Academy of Sciences in Berlin, where he headed the Sector of Stochastics at the Weierstrass Institute.

He is the co-author of three successful books on Numerical Methods for Stochastic Differential Equations and his innovative Benchmark Approach, published by Springer Verlag, and he has authored more than 140 research papers in quantitative finance and applicable mathematics. He has also held more than 50 visiting appointments at leading institutions world wide.

He serves on the Editorial Boards of six journals including Mathematical Finance as Associate Editor, Asia Pacific Financial Markets as Advisor and Quantitative Finance and previously Finance and Stochastics. He is initiator and co-organizer of the annual Quantitative Methods in Finance conference series and the National Symposia on Financial Mathematics.

************************* ALL ARE WELCOME ************************

Host         : Prof. Chen Nan
Tel          : (852) 3943-8237
Email        :
Enquiries    : Prof. Hong Cheng
               Department of Systems Engineering and Engineering Management
Website      :
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Tuesday, October 9, 2012 - 08:30 to 09:30