我国金融数学研究的弱项是什么

应该脚踏实地学习和研究，现在这样的人太少。

。。。。我一直不太关心名人。。。

以下是引用irvingy在2009-1-27 2:14:00的发言：

以下是引用ihs在2009-1-26 20:56:00的发言：

以下是引用金融数学在2009-1-23 16:56:00的发言：
               我想读金融数学的研究生，不知道我们国家之这些方面有哪些不足？

看看中国号称金融数学大侠的教授，在国际上发了那些paper就知道差距多大呢

一片国际论文都没有的严加鞍也敢号称。。。。胆子倒是比较大啊

你个小丑又跳出来了

严加安发过Mathematical Finance，Stochastic Processes and their Applications，你发个我看看

你不服，就来PK 下 SDE

他的论文多着呢，还有 什么 economics and finance

你找找下面那篇是啊：

 

国际会议邀请报告

1. Some results about test and generalized functionals of white noise, International Conference on Probability Theory (Singapore, 1989).
2. Constructing kernels via stochastic measures, International Conference on Gaussian random fields (Nagoya, 1990).
3. From Feynman-Kac formula to Feynman integrals via analytic continuation,21st Conference on Stochastic Processes and their Applications(Amsterdan, 1993).
4. Characterizations for generalized operators on distribution spaces, International Conference on Stochastic Calculus and Stochstic Differential Geometry (Hangzhou,China, 1995).
5. A complex scaling approach to sequential Feynman integrals, 24th International Conference on Stochastic Processes and their Applications (Vina Del Mar, Chile,June 16-20, 1997).
6. A short presentatio of martingale methods in option pricing, First Pacific Rim Conference on Mathematics (Hong Kong, Jan. 19-23, 1998).
7. A new look at the fundamental theorem of asset pricing, International Conference on Probability Theory and its Applications (Taejon, Korea, Feb. 24-26,1998).
8. Clarifying some basic concepts and results on arbitrage pricing theory, International Conference on Mathematical Finance (Shanghai, China, May 10-13, 2001).
9. Clarifying some basic concepts and results on arbitrage pricing theory, Quantative Finance 2001(Sydney, Australia,
   December 12-15, 2001).
10. Clarifying some basic concepts and results in arbitrage
    pricing theory, Quantitative methods in finance 2001 conference,(Sydney Australia, December 12-15, 2001).
11. A Numeraire-free and Original Probability Based Framework
    for Financial Markets, International Conference on Applied
    Probability, Singapore, August 16-18, 2002.
12. A Numeraire-free and Original Probability Based Framework
    for Financial Markets, ICM 2002, Beijing, August 20-28, 2002.
13. Continuous-Time Mean--Risk Portfolio Selection,
    International Conference on Stochastic Processes (in Memory of
    P.A. Meyer), Feb. 2-8, 2004.
14. Markowitz's portfolio optimization in an incomplete market,
    1st Workshop on Mathematical Finance and Insurance, May, 2004.
    Huangshan, China.
15. Continuous-Time Mean--Risk Portfolio Selection, The Third
    International Congress of Chinese Mathematicians (ICCM 2004),
    December 17-22, 2004, Hong Kong.
16. An Intrinsic Characterization of No-arbitrage for Finite
    Discrete-Time Markets, Workshop on Mathematical Finance and
    Stochastic Analysis, August 22-24,2005, Imperial College, London,UK.
17. A Functional Approach to Interest Rate Modeling, Symposium
    on Stochastic Analysis and Application to Mathematical Finance,March 6-10, 2006, Ritsumeikan University, Japan.
18. The representations of two types of functionals on
    $L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$,Workshop on Mathematical Finance and Insurance, May 30-June 6, 2006,Lijiang, China.
19. The representations of two types of functionals on
    $L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$,International Conference on Probability and Statistics, June 19 to 21, 2006, Hangzhou, China.
20. A Functional Approach to Interest Rate Modeling, The 2006 international symposium on Financial Engineering and Risk Management, July 5 to 7,Xiamen, China.

著作

1. 鞅与随机积分引论, 上海科技出版社, 1981.
   
2. 测度与积分, 陕西师大出版社, 1988.
   
3. He, S.W., Wang, J.G., Yan, J.A., Semimartingale theory and stochastic calculus, Science Press, Beijing; CRC Press, Boca Raton, FL, 1992.
   
4. 何声武、汪嘉冈、严加安: 半鞅与随机分析, 科学出版社, 1995.
   
5. 黄志远、严加安: 无穷维随机分析引论, 科学出版社, 1997.
   
6. 严加安、彭实戈、方诗赞、吴黎明: 随机分析选讲, 科学出版社, 1997.
   
7. Introduction to Martingale Methods in Option Pricing, LN in Math 4,
   Liu Bie Ju Centre for Mathematical Sciences, City Univ. of Hong Kong, 1998.
   
8. 测度论讲义, 科学出版社, 1998， 2004年第二版
   
9. Huang Z.Y., Yan, J.A., Introduction to Infinite Dimensional Stochastic Analysis, Kluwer Academic Publishers, 2000.

论文

1. Forme mesurable de la théorie des ensembles sousliniens, applications à la théorie de la mesure, Scientia Sinica 18 (1975), no. 4, 444--463.
   
2. (with Meyer) Génération d'une famille de tribus par un processus croissant, Séminaire de Probabilités, IX (1975), pp. 466--470. Lecture Notes in Math., Vol. 465, Springer.
   
3. (with Yoeurp, Ch.) Representation des martingales comme intégrales stochastiques des processus optionnels, Séminaire de Probabilités, X (1976), pp. 422--431.Lecture Notes in Math., Vol. 511, Springer.
   
4. 可测过程关于局部鞅的随机积分, 数学学报, 21(1978), 18--25.
   
5. Remarques sur l'intégrale stochastique de processus non bornés, Séminaire de Probabilités, XIV (1980), pp. 148--151, Lecture Notes in Math., 784, Springer.
   
6. Caractérisation d'une classe d'ensembles convexes de L^1 ou$H^{1}$. ibid, 220--222.
   
7. Remarques sur certaines classes de semimartingales et sur les intégrales stochastiques optionnelles. ibid, 223--226.
   
8. Sur une équation differentielle stochastique generale, ibid, 305--315.
   
9. 指数鞅一致可积性准则, 数学学报, 23(1980), 293--300.
   
10. 半鞅局部时的几个公式, 数学年刊, 1 (1980), no. 3-4, 545--551.
    
11. Propriété de représentation prévisible pour les semimartingales spéciales.
    Sci. Sinica, 23 (1980), no. 7, 803--813.
    
12. 关于E. Langlart若干结果的注记, 数学学报, 23 (1980), 638--640.
    
13. 可补偿有限变差过程的刻划, 数学年刊, 2 (1981), no. 4, 445--449.
    
14. 指数鞅的一致及$L^r$-可积性, 数学年刊, 3 (1982), no. 3, 285--292.
    
15. A propos de l'intérgrabilité uniforme des martingales exponentielles, Sém. de Probab., XIV (1982), 338--347. Lecture Notes in Math., Vol.784, Springer.
    
16. Martingales locales sur un ouvert droit optionnel, Stochastics 8 (1982/83), no. 3, 161--180.
    
17. Une remarque sur les solutions faibles des équations differentielles stochastiques unidimensionnelles. Séminaire de Probabilités, XVII (1983),78--80. Lecture Notes in Math., Vol. 986, Springer.
    
18. Sur un théoréme de Kazamaki-Sekiguchi. ibid, 121--122.
    
19. (with He, S.W. and Zheng, W.A.), Sur la convergence des semimartingales
    continues dans $R^n$ et des martingales dans une variété, ibid, 179--184.
    
20. (with Emery, M., Stricker, C.), Valeurs prises par les martingales
    locales continues à un instant donné, Ann. Probab., 11 (1983), no. 3,
    635--641.
    
21. 论测度的扩张, 东北师大学报自然科学版, 1984, no. 1, 1--11.
22. A formula for local times of semimartingales, Dongbei-Shuxue 1 (1985), no. 2, 138--140.
    
23. A simple proof of El Karoui's upcrossing theorem for semimartingales, 数学研究与评论, 5 (1985), no. 2, 127--129.
    
24. On the commutability of essential infimum and conditional expectation operations. Kexue-Tongbao (Science Bulletin), 30 (1985), no. 8, 1013--1018.
    
25. A comparison theorem for semimartingales and its applications, Séminaire de Probabilités, XX (1986), 349--351, Lecture Notes in Math., 1204,Springer.
    
26. .(with Meyer, P.A.) A propos des distributions sur l'espace de Wiener, Séminaire de Probabilités, XXI (1987), 8--26, Lecture Notes in Math., 1247, Springer.
    
27. . Developpement des distributions suivant les chaos de Wiener et applications à l'analyse stochastique, ibid, 27--32.
    
28. . A perturbation theorem for semigroups of linear operators, Séminaire de Probabilités, XXII (1988), 89--91, Lecture Notes in Math., 1321, Springer.
    
29. A formula for densities of transition functions, ibid, 92--100.
    
30. On the existence of diffusions with singular drift coefficient,Acta Math. Appl. Sinica (English Ser.), 4 (1988), no. 1, 23--29.
    
31. 半鞅局部时的变量替换公式, 科学通报, 33 (1988), 1755--1759.
    
32. Meyer, P.A., Yan, J.A., Distributions sur l'espace de Wiener (suite), d'après I. Kubo et Y. Yokoi, Séminaire de Probabilités, XXIII (1989),382--392, Lecture Notes in Math., 1372, Springer.
    
33. Sur la transformée de Fourier de H. H. Kuo, ibid, 393--394.
    
34. Generalizations of Gross' and Minlos' theorems, ibid, 395--404.
    
35. On the existence of density of the law of a Wiener functional, Acta Math. Sinica, New Series, 5 (1989), no. 2, 97--100.
    
36. 论单调类定理, 东北数学, 5 (1989), no. 1, 59--66.
    
37. (with Zhang, T.S.), Dirichlet forms and symmetric diffusions on a bounded domain in $R^d$, Chinese Ann. Math. Ser. A 11 (1990), no. 5,667--674.
    
38. (with Zhang, T.S.), Dirichlet forms and potential theory of symmetric Hunt processes, Science in China, Series-A. 33 (1990), no. 7, 800--809.
    
39. A remark on conditional expectations, Chinese Sci. Bull., 35 (1990), no. 9, 719--722.
    
40. A review of studies in probability theory and stochastic analysis, Probability theory and its applications in China, 313--327, Contemp. Math., 118, Amer. Math. Soc., Providence, RI, 1991.
    
41. (with Meyer, P.A.), Les "fonctions caractéristiques" des distributions sur l'espace de Wiener, Séminaire de Probabilités, XXV (1991), 61--78,Lecture Notes in Math., 1485, Springer.
    
42. Notes on the Wiener semigroup and renormalization, ibid, 79--94.
    
43. Some remarks on the theory of stochastic integration, ibid, 95--107.
    
44. Constructing kernels via stochastic measures, Gaussian random fields (Nagoya, 1990), 396--405, Ser. Probab. Statist., 1, World Sci. Publishing, River Edge, NJ, 1991.
    
45. An elementary proof of a theorem of Lee, Acta Math. Sci. (English Ed.)11 (1991), no. 3, 356--360.
    
46. (with Kuo, H.-H. and Potthoff, J.), Continuity of affine transformations of white noise test functionals and applications, Stochastic Process. Appl.,43 (1992), no. 1, 85--98.
    
47. (with Potthoff, J.), Some results about test and generalized functionals of white noise, In: Probability theory, eds: L.Y. Chen et al., Walter de Gruyter, Berlin, 1992, 121--145.
    
48. A formula for continuous additive functionals of nonsymmetric Hunt processes and application to Feynman-Kac transition functions, Probability and statistics (Tianjin, 1988/1989), 228--241, Nankai Ser. Pure Appl. Math. Theoret. Phys., World Sci. Publishing, River Edge, NJ, 1992.
    
49. Inequalities for products of white noise functionals, In: Stochastic processes, Springer, New York, 1993.
    
50. Some recent developments in white noise analysis, In: {\it Probability and
    Statistics}, eds: Badrikian et al., World Scientific, 1993, 221--248.
    
51. Notes on Lévy Laplacian operator, Chinese Sci. Bull., 39 (1994), 6--11.
    
52. . (with Liu, K.), Euler operator and homogeneous Hida distributions, Acta Math. Sinica (N.S.), 10 (1994), no. 4, 439--445.
    
53. From Feynman-Kac formula to Feynman integrals via analytic continuation, Stochastic Process. Appl., 54 (1994), no. 2, 215--232.
    
54. (with Carmona, R.A.), A new space of white noise distributions and applications to SPDE's, Seminar on Stochastic Analysis, Random Fields and
    Applications (Ascona, 1993), 51--66, Progr. Probab., 36, Birkhauser, Basel, 1995.
    
55. Products and transforms of white-noise functionals (in general setting), Appl. Math. Optim., 31 (1995), no. 2, 137--153.
    
56. Imkeller, P., Yan, J.A., Multiple intersection local time of planar Brownian motion as a particular Hida distribution, J. Funct. Anal., 140
    (1996), no. 1, 256--273.
    
57. (with Imkeller, P.), New distributions over Wiener and Euclidean spaces，Science in China, Ser. A. 39 (1996), 925-934.
    
58. An asymptotic evaluation of heat kernel for short time, Sém. Probab. XXX (1996), LN. in Math. 1626, Springer, 104--107.
    
59. A new look at the fundamental theorem of asset pricing, J. Korean Math. Soc.
    Vol. 35, No. 3 (1998), 659--673.
    
60. (with Kondratiev, Y.G., Streit, L. and Westerkamp, W.), Generalized functions
    in infinite dimensional analysis, Hiroshima Mathematical Journal, 28(1998),213--260.
    
61. (with Stricker, C.), Some remarks on the optional decomposition theorem,
    Séminaire de Probab. XXXII (1998), LN in Math. 1686, Springer, 56-66.
    
62. (with Luo, S.L.), Characterization of continuous operators on infinite dimensional distribution spaces, in: Proceedings of Second International Workshop,Stoch. Anal. and Math. Physics, Edited by R. Rebolledo, World Scientific, 1998,120--134.
    
63. (with Luo, S.L.), On Wick product of general operators, Chinese Science Bulltin,
    Vol. 43, No. 15, 1252--1256.
    
64. (with Luo, S.L.), Generalized Fourier- Mehler transforms on white noise
    functional spaces, Chinese Science Bulltin, Vol. 43, No. 16, 1321--1325.
    
65. (with Luo, S.L.), A complex scaling approach to sequential Feynman integrals,
    Stoch. Proc. and their Appl. 79 (1999), 287--300.
    
66. (with Luo, S.L.), A complex scaling approach to sequential Feynman integral
    
67. (with Cao, Z.), A comparison theorem for solutions of backward stochstic differential equations, Advance in Mathematics, Vol. 28, No.1,(1999), 304-308.
    
68. (with Luo, S.L.), Gaussian kernel operators on white noise functional spaces, Sience in China, 43(10), 2000, 1067-1074.
    
69. An overview on the martingale approach to option pricing, Proceedings of IMS
    Workshop on Applied Probability, 2000.
    
70. (with Zhang Q., Zhang, S.G.), Growth optimal portfolio in a market griven by a jump-diffusion-like process or a L\'evy process, Annals of Economics and Finance, 1(1), 2000, 101-116.
    
71. 金融数学:历史、现状和展望, 投资与证券, 2000年第11期, 62-65.
    
72. (with Li P. and Xia, J.M.) Martingale measure method for expected utility
    maximization in discrete time incomplete markets, Annals of Economics and Finance, 2(2), 2001, 445-465.
    
73. (with Xia, J.M.) Some remarks on arbitrage pricing theory, in: Recent evelopments
    in Mathematical Finance, World Scientific, 2002, 218-227.
    
74. (with Luo, S.L. and Zhang, Q.) Arbitrage pricing systems in a market driven by an It? process, in: Recent Developments in Mathematical Finance, World Scientific, 2002, 263-271.
    
75. (with Tang, Q.H.), A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails, Science in China (Series A), 45(8), 2002, 1006-1011.
    
76. An overview on the martingale approach to option pricing, AWS/IP Studies
    in Advanced Mathematics, Volume 26, 2002, 121-134.
    
77. Semimartingale theory and stochastic calculus, in: Handbook of Stochastic Analysis and Applications, D. Kannan and V. Lakshmikantham (Eds.), Marcel Dekker, Inc. 2002, 47-106.
    
78. A numeraire-free and oringinal probability based framework for financial markets, Proceedings of the ICM 2002, Vol. III, 861-871.
    
79. (with Liu, W. and Yang, W.G.), A limit theorem for partial sums of random variables and its applications, Statistics and Probability Letters, 62(1), 2003, 79-86.
    
80. (with Ng, K., Tang, Q. and Yang, H.) Precise large deviations for the prospective-loss process, J. Appl. Prob. 40, 2003, 1-10.
    
81. (with Ng, K., Tang, Q. and Yang, H.) Precise large deviations for sums of random variables with consistently varying tails, J. Appl. Prob. 41, 2004, 93-107.
    
82. (with Jin, H. and Zhou, X.Y.) Continuous-Time Mean-Risk Portfolio Selection, Ann. I. H. Poincar\'e - PR 41, 2005, 559-580.
    
83. (with Xia, J.M.) Markowitz's portfolio optimization in an incomplete market, Mathematical Finance, Vol. 16, No. 1, 2006, 203-216.
    
84. A simple proof of two generalized Borel-Cantelli lemmas, S\'eminaire de Probabilit\'es, XXV (2006), 77--79, Lecture Notes in Math., 1874, Springer.
    
85. (with Song, Y.)The representations of two types of functionals on L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$, Science in China Series A-Mathematics 2006 Vol.49, No. 10 pp.1376-1382

[此贴子已经被作者于2009-1-29 22:07:57编辑过]

没长着眼睛

论文５３，８３

楼主真是什么都不懂滴

我就是彭老师的学生，我来和你PK。

狗屁不懂还敢胡扯。

以下是引用vertigo在2009-1-30 3:00:00的发言：

楼主真是什么都不懂滴

我就是彭老师的学生，我来和你PK。

狗屁不懂还敢胡扯。

你要和楼主PK关我屁事，脑子混了吧，是打算和我PK吧，一个星期后请便

彭的学生写的paper我倒是知道，现在法国做博士后？女？我是一般不信这种文章是彭本人写的

同样我也不信严2006年的文章是他写得，估计是那个co-author

Michael Brennan 上了岁数以后，谁都知道文章是他学生写得，至少有20 篇 j of finance吧

[此贴子已经被作者于2009-1-30 17:16:05编辑过]

以下是引用irvingy在2009-1-30 2:32:00的发言：

没长着眼睛

论文５３，８３

我让你找 annual of econ and finance呢^_^

[此贴子已经被作者于2009-1-30 17:43:37编辑过]

你脑子是不是有问题，谁跟你在说annual of econ and finance，顺便说一句只可能有annals，补补你的烂英语先

你说人家没有一篇国际论文，我指给你看人家发过几个重量级杂志，你说不相信是他自己写的，你是什么东西，你信不信有啥用

严加安，彭实戈这样的，虽然说可能没接触过实务，理论研究没多大实用价值，好歹人家也算认真做学问发文章

总强过有些人半瓶水，整天就知道满世界的问double barrier option怎么搞，还想卖产品设计，你能设计啥，也无非就是eur/dlr double barrier，上下5%一个，上下10%又一个

有本事你自己发几个国际论文，估计就算是co-author也都没人愿意带着你玩

[此贴子已经被作者于2009-1-30 20:52:28编辑过]

以下是引用irvingy在2009-1-30 20:31:00的发言：
你脑子是不是有问题，谁跟你在说annual of econ and finance，顺便说一句只可能有annals，补补你的烂英语先

你说人家没有一篇国际论文，我指给你看人家发过几个重量级杂志，你说不相信是他自己写的，你是什么东西，你信不信有啥用

严加安，彭实戈这样的，虽然说可能没接触过实务，理论研究没多大实用价值，好歹人家也算认真做学问发文章

总强过有些人半瓶水，整天就知道满世界的问double barrier option怎么搞，还想卖产品设计，你能设计啥，也无非就是eur/dlr double barrier，上下5%一个，上下10%又一个

这两位前辈挂名发了一二篇金融文章， 并不说明他们懂金融（这里讲的是数学金融），

当然更不懂金融实务。但是他们却被认为是国内的大牛， 把中国的金融数学学科引入歧途。