Speaker: Ying Hu  (Université Rennes 1, France)

Since the first theoretical results for Backward Stochastic Differential Equations (BSDEs) in the early 1990s, this theory has continued to grow due to its profound applications in finance, as well as in the fields of partial differential equations, stochastic geometry, and stochastic control.  
This 4-hour short course aims to give an introduction to the basic theory of BSDEs and its application to quantitative finance.

Prerequisite: Ito’s stochastic integration and Ito’s formula


Part 1: Lipschiz case: existence and uniqueness; linear BSDEs and comparison theorem; an application to option pricing

Part 2: Markovian BSDEs and PDEs: Markovian BSDEs; Markov property; nonlinear Feynman-Kac formula; an application to portfolio selection

Part 3: Quadratic BSDEs: bounded case; unbounded case; Feynman-Kac formula

Schedule and Venues [Map]:

8th August (Thurs):
   3.00-5.30pm : Room YIA405, Yasumoto International Academic Park, CUHK;
   4.00-4.30pm : Tea Break

9th August (Fri):
   3.00-5.30pm : Room YIA505, Yasumoto International Academic Park, CUHK;
   4.00-4.30pm : Tea Break

About the Speaker:

Ying Hu is a professor of exceptional class and the head of “Stochastic Processes” Research Group of IRMAR (Institut de Recherche Mathématique de Rennes) at the Université de Rennes 1, France. He was educated at Fudan University, where he got his Ph D.  
His research interests include: probability and stochastic processes; stochastic differential equations and backward stochastic differential equations; control and optimization; mathematical finance; probabilistic methods for PDEs.

Centre for Financial Engineering, The Chinese University of Hong Kong


Centre for Financial Engineering,
4th Floor, Academic Building No. 1,
The Chinese University of Hong Kong,
Sha Tin, Hong Kong
Tel: +852 3943 9561