主 题：Financial Engineering and Market Volatility Derivatives - Practitioners and Academia Perspectives
主讲人：Dr Guanghua Lian (练光华博士)
Lecturer in Finance, School of Commerce, The University of South Australia
主持人：杨招军教授
湖南大学金融与统计学院金融工程系主任 博导
摘 要：
Mathematical Finance, also known as Financial Engineering, is a
multidisciplinary field involving financial theory, the methods of engineering, the tools of mathematics and the practice of programming, to develop and price new financial instruments and services. A major breakthrough in the field was made in 1973 with the discovery of the option pricing formula. In biology, the discovery of the structure of DNA gave birth to a new field of immense practical importance -- genetic engineering. Similarly, the discovery of the option pricing formula gave birth to the equally important field of financial engineering.
This talk will discuss the current market demands for financial engineering, and the research frontiers in academic community. Specifically, I will firstly have an overview of the job recruiting for quantitative financial analyst in investment banks in China and overseas. This includes the job market situations, career developments, skills requirement as well as interviews. This may shed light on job seeking in this field. I will then discuss my research on forecasting market volatility, pricing Volatility Index options, and the applications of options analysis to risk management.
时
间：
2013
年
7
月5日下午
15
：00
地 点：湖南大学北校区信用研究中心二楼报告厅
主讲人练光华博士简介：
练光华博士2004年以排名第一的成绩本科毕业于四川大学数学院应用数学专业，2005年以入学成绩第一名考入华中科技大学管理学院攻读金融管理硕士学位，2010年三月博士毕业于澳大利亚卧龙岗大学数理金融专业，现为澳大利亚南澳大学金融学讲师。练博士已经在金融工程领域顶级杂志及相关杂志发表了一系列学术论文。主要论文如下：
1.
Zhu, S.P. and G.H. Lian (2011), A Closed-form Exact Solution Approach for Pricing Variance Swaps with Stochastic Volatility, Mathematical Finance, 2011, Vol. 21, Issue 2, 233-256. (A*)
2.
Zhu, S.P. and G.H. Lian (2012), An analytical pricing formula for VIX futures and its applications, Journal of Futures Markets, 2012, Vol. 32, Issue 2, 166-190. (A)
3.
Lian G.H. and S.P. Zhu (2013), Pricing VIX Options with Stochastic Volatility and Random Jumps, (DOI 10.1007/s10203-011-0124-0) Decisions in Economics and Finance: A Journal of Applied Mathematics, 2013, forthcoming. (B)
4.
Elliott, R.J. and G.H. Lian (2013), Pricing Variance and Volatility Swaps in a Stochastic Volatility Model with Regime Switching - Discrete Observations Case (DOI: 10.1080/14697688.2012.676208), Quantitative Finance, forthcoming. (B)
5.
Zhu, S. and G.H Lian (2012), Pricing Forward-Start Variance Swaps with Stochastic Volatility, IMA Journal of Applied Mathematics, 2012, (Accepted). (A)
6.
Zhu, S. & Lian, G. (2012), On the valuation of variance swaps with stochastic volatility, Computers and Mathematics with Applications, Volume 219, Issue 4, 1654–1669, 2012. (A)
7.
Zhu, S. & Lian, G. (2012), Analytically pricing variance swaps with stochastic volatility and random jumps, Annals of Finance, 2012 (Accepted). (B)
8.
Zhu, S. & Lian (2009), G., Pricing variance swaps with stochastic volatility, Proceedings of 2009 International Conference of Financial Engineering, London, July 2009, WCE 2009, Vol. II, 1359-1364. (Best paper awards for the 2009 International Conference of Financial Engineering).
