CAE Home

PhD student Danqiao Guo presented “Enhanced Sharpe ratio via eigen portfolios selection” at the Finance Seminar of Rotman School of Management, University of Toronto

PhD student Xiaobai (Mike) Zhu hosted webcast on “Valuation of Bermudan-DB-Underpin Option”. The same paper was presented at PBSS/IACA Cancun Colloquium.  Because of the quality of the paper, the PBSS committee decided to award the prize for the Best Theoretical Paper at the Colloquium.

Johnny Li was invited to speak at the 2017 Korean Statistical Conference, Seoul, Korea. The title of his presentation was “The Locally-Linear Cairns-Blake-Dowd Model: A Note on Delta-Nuga Hedging of Longevity Risk”