Chapter 392 Specialized research? No, I just watched it
"Xiao Xu, the future is yours, and I guess I will often watch you win the prize in the future."
Academician Peng seemed to be only facing Tian Gang's Only when I occasionally dislike him, I feel very kind when I talk to Xu Qingshan. "Academician Peng praised it." When Xu Qingshan made a fuss, he was either in front of his acquaintances, or on the stage and in the spotlight.
"I still need to learn more from Academician Peng."
"You kid, you are too polite." Academician Peng said with a smile while eating. "I've said that they are all my own people. You can just call me whatever you call your teacher, there are no outsiders." Academician Peng smiled.
A young talent like Xu Qingshan, who is upright and talented, is obviously very respectful to his teachers.
How about saying that Tian Gang is lucky?
He met Xu Qingshan at the stage where he had the most energy to cultivate young people. Whether it was resources or development in all aspects, he could give Xu Qingshan enough guidance.
It's not like some scholars who can't meet a good disciple who is satisfied until they die.
In particular, Xu Qingshan also showed strong enough coping ability in computers, which made Peng Shige even more envious.
You know, Lao Peng is just doing the right number.
His main research directions are in the fields of probability theory, cybernetics and financial mathematics.
The theory of inverted stochastic differential equations founded by Academician Peng and French scholars has deduced the nonlinear Feynman-Kac formula, which generalizes the traditional linear path integral to the nonlinear situation. At the same time, it expanded Kolmogorov's probability theory axiom system, established nonlinear Brownian motion and stochastic analysis theory, deepened the probability theory system, provided a mathematical basis for dynamic financial risk measurement, and also provided key mathematical tools for financial derivatives pricing and risk management .
This time he was invited to give an hourly report at the International Conference of Mathematicians. The main content of the report was to focus on his core research, namely, the theory of inverted stochastic differential equations, nonlinear Feynman-Kac formulas and nonlinear mathematics The expansion and implementation of the expectation theory almost means that Lao Peng has already stood in the first echelon in financial mathematics on this planet.
If Xu Qingshan had not emerged.
Professor Peng Shige will be the first time that a mainland Chinese mathematician has delivered an hourly speech on ICM, which will further highlight the milestone significance of his research in the international mathematics community.
In particular.
Academician Peng was actually invited much earlier than Xu Qingshan, and he has been promoting it almost since last year.
Of course, this kind of publicity is not Academician Peng’s original intention.
He doesn't like to compete for fame and fortune with others, but after all, he is regarded as a representative figure of a university school, so he naturally has no way to stay out of it.
But all of them have been promoted for a whole year. Now, a young junior came from behind and joined hands, attracting all the attention.
If it were Mr. Qiu, he would probably start to feel unhappy again.
Fortunately, Academician Peng had no other ideas at all, and he could only appreciate Xu Qingshan.
It seems that now he has been patiently waiting for Xu Qingshan to update his name.
"That"
Xu Qingshan hesitated for a while and spoke carefully.
"Old Peng?"
"Huh?"
Academician Peng's eyes widened and turned to look at Tian Gang. The doubt in his eyes seemed to be asking. Tian Gang: No? Is this how you teachers and students call each other?
Tian Gang smiled but said nothing and nodded.
Xu Qingshan also saw Academician Peng's expression and felt a little embarrassed. "Sorry, Academician Peng, I am used to being casual. If you are"
"It doesn't matter! Just call Lao Peng!" Academician Peng met Tian Gang With a joke on his face, he quickly agreed.
It’s not that he can’t afford to play, but he just didn’t expect it.
After all, Xu Qingshan’s youth is well known. At the age of 19, he is already regarded as a world-class scholar and is most likely to stand on the top of contemporary mathematics in the future.
Of course, the latter one is mainly bragging about by China, and the international community has a good evaluation of Xu Qingshan, but it has not reached that level.
If Xu Qingshan really solved the Riemann conjecture, perhaps this sentence would be completely applicable all over the world. "Old Peng, I want to ask for a question." Xu Qingshan is actually quite interested in Academician Peng's research.
"You boldly ask, is it about my research?"
Old Peng is very helpful.
His view is similar to Tian Gang. Xu Qingshan's Fields Medal this year should not be too good. This may be the first Fields Medal winner in China. Now With this humble look in front of me, let alone whether Lao Peng is a person with good face, who can't like Xu Qingshan's behavior? Who would feel that he wouldn't be too proud?
"It's so, your inverted stochastic differential equation theory has a significant effect in the practical application of financial fields, especially in the pricing of European, American and Asian options, by converting pricing problems into BSDE solution, combined with Monte Carlo simulation, can solve the path dependency problem. At the same time, the BSDE model can also dynamically simulate the risk association and return path between multiple assets, helping investors formulate risk control strategies, especially in the market incomplete or When there are constraints, such as in the stage of high borrowing rate and liquidity restrictions, hedging plans are provided. "
As soon as Xu Qingshan spoke, Lao Peng knew that Xu Qingshan had really read his theory and he was satisfied with it. Nodded and replied casually.
"Yes, for example, the average price calculation in Asian options. The joint solution characteristics of BSDE will give it a natural advantage in path dependency problems such as option pricing, complex derivative valuation. The nonlinear mathematical expectations I proposed , that is, g-expectation, the traditional linear framework is expanded in the BSDE model, so that when using model prediction, it can be more in line with nonlinear phenomena in the actual financial market, such as when market frictions and transaction costs change. It can be said that BSDE theory is the most unique financial mathematical tool now. At present, there is no such thing as "
Mathematicians generally feel inexplicably proud when they mention their own special research.
Xu Qingshan himself has this kind of emotion, Li Guangzhi has it, and now Lao Peng is even more obvious.
And his pride is very pure.
It's not showing off your achievements, but it's like pulling out your most complimentary son and comparing it.
If there were people who were talking about their achievements, and the two of them would be considered an academic cricket fight to some extent. "Yes, right." Xu Qingshan nodded and suddenly said. "But Lao Peng, can your BSDE make a lot of money in the Chinese stock market?" Xu Qingshan's words came out and the dining table became quiet.
Tian Gang blinked but didn't dare to speak. He looked at the edible plate in front of him with his eyes focused on his eyes, and looked at Lao Peng's expression with his eyes open.
Hey, I am worthy of being my apprentice.
You can ask any such vulgar words. Those who know this say it is the dining table for top mathematicians, and those who don’t know it think it is a blind in the conversation between scientists and society.
Although Lao Peng is friendly and down-to-earth, Xu Qingshan is also the first person to raise this question in front of him.
After all, everyone understands it. Sometimes the leader makes you feel down-to-earth, which does not mean that you can really bring the leader to the ground. Lao Peng’s status and status are not worse than Tian Gang.
Although this academician-level scholar will not bully children, it is impossible for children to really bully them.
As soon as Xu Qingshan said this, Peng Shige was stunned for a while, and did not speak for a long time.
But he was not angry, but was seriously thinking about Xu Qingshan's problem.
Xu Qingshan observed Academician Peng's expression for a while. Seeing that he was not angry and knew that he could continue chatting, he whispered to express his own point of view.
"Lao Peng, what I mean is."
"The numerical solutions of BSDE, such as Monte Carlo simulation and discrete flow method, all require a large amount of computing resources, and the solution speed is more than traditional methods. It is much slower. Our current computing resources are actually quite limited. Even for supercomputing platforms, they are now queuing to Nantianmen. However, if the computing resources are limited, BSDE needs to face the problem of computing efficiency, especially In high-dimensional problems, it is very likely to face 'dimensional disaster'. Moreover, such a computing method has a high demand for storage, which will greatly limit scenario applications with high real-time requirements."
Xu Qingshandun After a pause, seeing that Academician Peng was very focused, Tian Gang Laodeng's expression changed again, and then continued. "For example, our Chinese stock market."
No mistakes, one song, one content, one book, one book, one bar, one bar, one bar, one bar!
"We are actually very clear that our Chinese stock market is not very similar to other stock markets, whether it is European, American, or Asian."
"In the specific situation, Lao Peng, you should be better than me "
"Of course, excluding this very immediate need, the problem of parameter sensitivity is not small. The model uses input parameters such as volatility and interest rates. The accuracy dependence is very high, and the deviation of parameter estimation may cause the results to deviate significantly from reality. If it is a stable stage of the stock market, the input of this parameter is not bad, but when the market fluctuates violently, it is difficult to ensure that the input parameters can be instantly accurate."
Tian Gang looked at Xu Qingshan in surprise and made a long speech in front of Lao Peng.
What does this scene look like?
Guan Gong was playing with a big sword in front of the door, and Lu Ban played with a mechanic.
Xu Qingshan took the theory developed by others and talked a lot in front of others. This is not the most terrifying thing. The most terrifying thing is that Lao Peng's expression is becoming more and more serious, and he listens very seriously. I didn't know when I pushed the plates in front of me, took out the notebook I carried with me, and began to compare.
What does this mean?
This means that what Xu Qingshan said is all right!
No?
Haven't you become so busy lately? When did you go to study Lao Peng’s BSDE theory again? "You are very accurate. I have encountered these problems in the subsequent retesting of the theory." After Academician Peng listened quietly to Xu Qingshan's words, Then he spoke slowly.
Tian Gang felt that the drinks in his hand were no longer fragrant.
"Actually, I found that the actual application scenarios are somewhat contradictory. In practical applications, if our theory is put into use quickly, we still need to simplify the model assumptions and need to be fully complete and without market conditions. In the case of frictional transactions, performing calculations will weaken the practicality of the theoretical results."
"Not to mention the special circumstances of our Chinese stock market, institutions are pre-invested and retail investors T+1. Even when deducing fair price boundaries in stock market options in Europe and the United States, it is difficult to achieve such ideal assumptions."
"I have some directions myself, but I want to hear what you have now."
Old Peng looked at Xu Qingshan seriously.
Although the young man in front of him is really young and can be Lao Peng's grandson in terms of age, Lao Peng still feels from the bottom of his heart and has met a soulmate.
Although it is not too difficult to understand your own research theory under the premise that a predecessor has conducted a complete study, Lao Peng may be able to do this by just picking up another relatively high-quality doctoral student. A degree.
But Xu Qingshan is only 19 years old.
He also has his own specialized research field.
His sensitivity to financial mathematics basically made Lao Peng feel the pleasure from the spiritual level.
He is in a hurry now.
I was anxious to see what opinions Xu Qingshan could put forward, so as to find the point that resonated with Xu Qingshan, and use his university knowledge to fill this small loophole.
Xu Qingshan grinned when he saw Academician Peng's attitude. "I think it is mainly in three directions. The first is to develop efficient numerical algorithms, which can seek improvements in solution speed from parallel computing, deep learning acceleration, etc.; the second is to optimize parameter estimation in combination with machine learning, Reduce model sensitivity; thirdly, you can try the integration of BSDE and reinforcement learning to enhance dynamic decision-making ability. "
"In fact, it is to fully join machine learning in your financial mathematics theoretical foundation The advantages of algorithm optimization make it easier to invest it in practical applications. "
The solution proposed by Xu Qingshan is very simple.
Carry cooperation!
As for who to cooperate?
Isn't that the best candidate clearly in front of him?
Old Peng Si asked for a moment and nodded.
The three points raised by Xu Qingshan are actually part of the considerations. As a top academician, he naturally knows his research better than Xu Qingshan, and the scope of consideration is more comprehensive than Xu Qingshan's. But "But I have not been exposed to machine learning yet. Although I know that probability theory and cybernetics have a deep and wide range of applications in the field of machine learning, I don't know that I, an old guy, can still do it. Can't learn quickly."
Lao Peng said with a smile.
Although probability statistics scholars can easily cross-border transformation into the field of information science, even a large number of machine learning experts are all math undergraduates.
But at Lao Peng's age, he felt that he might not be able to keep up with the pace of young people. "I'm there!" Xu Qingshan was a little anxious and said quickly.
"Mr. Peng, my laboratory has the Information Science Laboratory, and I have multiple cooperative project teams, right at the Jingda Information Science Center. There are many achievements in the field of machine learning, you see."
Xu Qingshan was about to take out his mobile phone to promote it, but he heard Lao Peng make a decision.
"Then I'll leave it to you! Qingshan, this is what you said." Xu Qingshan was stunned and saw Academician Peng showing his cunning that he had never shown from beginning to end. Smile.
Damn it.
Who said that Academician Peng is an honest person? "Okay, since I ask you questions first, I will definitely apply for this matter." Xu Qingshan knew Academician Peng's meaning, but this time he took the initiative to ask for it. He cooperated, but he really didn't care much about this. "Then this matter is settled. Let's talk slowly tonight. Today I'm in a good mood. I'll go get more food." Academician Peng took the plate to find food with satisfaction. of.
Tian Gang, who had been holding it in for a long time, asked.
"Hiss, Qingshan, when did you specialize in Lao Peng's topic?"
"Ah? Specialize in research? No, I just read it."
(This chapter ends)