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11月22日讲座——澳大利亚卧龙岗大学诸颂平教授:A new integral equation formulation for American put options

作者:  编辑:院研究生办   发布日期: 2018-11-19   来源:院国交办

讲座题目:A new integral equation formulation for American put options

人:诸颂平教授

讲座时间:2018 1122日上午930-10:30

讲座地点:理学院钱伟长楼201会议室

欢迎有兴趣的师生前来聆听!

讲座内容简介:

In this talk, a completely new integral equation for the price of an American put option as well as its optimal exercise price is presented. Compared to existing integral equations for pricing American options, the new integral formulation has two distinguishable advantages; i) it is in a form of one-dimensional integral, and ii) it is in a form that is free from any discontinuity and singularities associated with the optimal exercise boundary at the expiry time. These rather unique features have led to a significant enhancement of the computational accuracy and efficiency as shown through some examples.

At the beginning of the talk, I shall give an introductory review of the option pricing theory, an important branch of financial mathematics.

报告人简介:

诸颂平,1987年毕业于美国密歇根大学获博士学位,现为澳大利亚卧龙岗大学(University of Wollongong)教授,博导,金融数学研究中心主任,数学与统计学院院长,兼任吉林大学金融数学系唐敖庆讲座教授。20114月至20125月,担任国际学术期刊《International Journal of Computer Mathematics (For a Special Issue on Computational Methods For PDEs in Finance)》的特聘客座主编;20125月至今,担任国际学术期刊《International Journal of Computer Mathematics》的编辑委员会委员;20082月至今,担任国际学术期刊《The ANZIAM Journal》的编辑委员会委员;20016月至20109月,担任国际学术期刊《Int. J. of Engineering Analysis with Boundary Elements》编辑委员会委员。

诸颂平教授研究兴趣包括金融数学与金融工程,非线性波动理论等,他共发表各类学术论文160余篇,包括专业一流期刊《Mathematical Finance》、《Journal of Economic Dynamics and Control》、《Journal of Futures Markets》、《Proceedings of Royal Society London, Ser. A 》、《Journal of Fluid Mechanics》和《Physics of Fluids》上都有他的代表作。论文引用在最权威的ISI Web of Science引用1000多次。在2006年,诸教授在《Quantitative Finance》杂志上发表了题为《美式期权级数型式的解析解》的文章,解决了American Put Options 定价的解析解问题,具有里程碑意义,被载入Wikipedia(维基百科全书)。