报告人：Matteo Bedini, 意大利人。2012年毕业于法国西布列塔尼大学（Université de BretagneOccidentale）和德国耶拿大学(Friedrich-Schiller-Universität Jena)，获得数学博士学位。2009年至2012年为欧盟玛丽居里初级人才培养计划初级研究员。2013年至今为欧洲最大的银行之一意大利第二大银行联合商业银行（Banca Intesa）的金融工程顾问（Financial Engineering Consultant）及定量研发员（Quant Developer）。

报告摘要：

The lecture isdivided into four main parts.

The first part is dedicated to the introduction: what aquant is and what is its job, which skills are required and why, some currentchallenges that must be faced, overview of the remaining part of thelecture.

The second part provides an overview of the mathematicalinstruments developed in the area of probability: measures, conditionalexpectation, sigma-algebra and filtration, change of probability measure.

The third part offers two concrete examples where theapplication of the probabilistic instruments described above has taken place;the first example is concerned with the difference in pricing quantoplain-vanilla products in a Local volatility vs a Black-Scholes model. Thesecond example is concerned with different pricing techniques of the PassportOption.

The fourth and last part of the lecture aims atdescribing the informatical and algorithmical aspects of quant job: numericalalgorithms for solving PDE, adjoint algorithmic differentiation and newweb-backed protocol as the Bitcoin protocol will provide some examples thatunderline the role of informatics in quantitative finance.

Whenever possible, job-interview and practitioner-stylequestions will be given to the audience in order to stress as much as possiblethe links between theory and practice in finance, mathematics and informatics.

主持人：井帅，12BET管理科学系副教授。

时间：   2015年3月25日（周三）上午10:00-11:00，下午2:00-3:00，

3月26日（周四）下午2:00-3:00，

3月27日（周五）上午10:00-11:00。

地点：12BET沙河校区4号学院楼318会议室。