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必发bf88唯一官方、所2020年系列学术活动(第64场):诸颂平教授 卧龙岗大学

发表于: 2020-06-15   点击: 

报告题目:A new integral equation formulation for pricing American put options

报 告 人:Professor Songping Zhu, University of Wollongong,Australia

报告时间:2020年6月18日 9:00-10:00

报告地点:腾讯会议ID:601 972 755

会议链接:https://meeting.tencent.com/s/y5QRFg5Vb5AV

校内联系人:韩月才 hanyc@jlu.edu.cn

报告摘要:

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 newly derived integral equation for pricing American options has some clear advantages over those proposed in the past with the following two unique features: i) it is in a form of one-dimensional integral, which means that it has a great advantage in terms of substantially increasing the speed with which values of an American option can be numerically computed. ii) it is in a form free from any discontinuity and singularities associated with the optimal exercise boundary (at least as far as solving the integral equation is concerned); the computational accuracy and efficiency can thus be enhanced. These rather unique features have led to a significant enhancement of the computational accuracy and efficiency as demonstrated through some examples.

报告人简介:

诸颂平教授,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)资深教授,博导,数学研究部(FOR 01 码)主任。2009- 2013 任卧龙岗大学金融数学研究中心主任,2014-2018任卧龙岗大学数学与统计学院院长。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 Banking and Finance》、《Journal of Economic Dynamics and Control》、《Quantitative Finance》、《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 Google Scholar 已超过 2800 多次 (H 指数 30) 、在 Scopus 则已超过 1700 多次 (H 指数 22) 、在最权威的 ISI Web of Science 也有超过1600 多次 (H 指数 21)。他的总研究经费已超过200万澳元。诸教授至今为止已经成功地培养了15位博士研究生。他在国际学术界享有盛誉, 现担任多个国际学术期刊的编辑委员会委员,也曾多次在国际会议上做主旨或受邀演讲报告。