学术报告

讲座:Pricing Real Options of European and American Types

时间:2022-07-23浏览:118来源:数理外国语联合党委作者:李倩摄影:

讲座题目:Pricing Real Options of European and American Types

主讲人:Song Wang (汪崧)

主讲人简介:Song Wang(汪崧)教授,澳大利亚科廷大学Curtin University数学与统计系教授。1982年在武汉大学获得学士学位,1989年在爱尔兰都柏林圣三一学院(Trinity College Dublin)获得博士学位,曾在爱尔兰都柏林的高科技公司--Tritech金沙城娱乐最新官方网站工作,先后任澳大利亚新南威尔士大学,科廷科技大学和西澳大利亚大学教授。主要从事偏微分方程的数值解,数值优化和最优控制,金融衍生品定价模型的理论和数值算法等研究。在SIAM Journal of Optimization, SIAM Journal of Numerical Analysis, Numerische Mathmatik, Automatica, IEEE Transactions on Neural Networks, IMA Journal of Numerical Analysis, Reports on Progress in Physics, Journal of Computational Physics, Biomaterial, Journal of Optimization Theory and Applications, Journal of Global Optimization等国际SCI知名杂志上发表学术论文150余篇。同时,汪教授还担任多个国际知名SCI杂志的主编,副主编以及编委。

讲座时间:2022年72819:00-20:00

讲座地点:腾讯会议(会议号:381189972

主办单位:数理与统计学院

协办单位:统计与数据计算系

讲座内容简介:In this talk we present our recent advances in developing PDE-based mathematical models for valuing real options on investment project expansions and contraction, as well as project ownership transfer, when the underlying asset price follows a geometric Brownian motion. The models developed are of a similar form as the Black-Scholes model for pricing conventional European options or the linear complementarity problem for valuing conventional American options, but, unlike the standard models, the payoff conditions are determined by a PDE system. A finite volume scheme coupled with a penalty method is used for solving the models and a convergence analysis is performed for the penalty approach. We also deduce a mathematical model for pricing real options when both of their underlying stock price and volatility follow their respective Brownian motion, and propose a finite difference scheme for solving the problem.

Numerical experiments have been performed using model problems in pricing options on   project expansion, contraction and ownership transfer in the mining industry to demonstrate that our models and numerical method are able to produce financially meaningful numerical results for the non-trivial test problems.


澳大利亚科廷大学汪崧教授在线为金沙城娱乐最新官方网站-【金沙国际官网】师生作学术报告

进一步推进学院国际合作与交流工作,不断提升学院人才培养、教学科研水平,数理与统计学院邀请澳大利亚科廷大学汪崧教授于728日通过腾讯会议在线为学院广大师生作了题为“Pricing Real Options of European and American Types”的学术报告。学院相关专业领域教师和研究生参加报告会,报告会由数理与统计学院副院长王国强教授主持。

汪崧教授介绍了欧式和美式期权的有关基本概念,重点讲解了扩展的期权定价模型。汪崧教授详细讲解了复合期权定价模型、欧式期权定价以及求解偏微分方程的有限体积法。给出了看涨和看跌期权定价模型的数值实验结果,并就该领域的进一步研究作了探讨和展望。汪崧教授的报告风趣幽默、通俗易懂,为广大师生带来了金融衍生品定价模型的理论和数值算法的最新研究成果,开阔了大家的视野和思路。报告结束后,汪教授与参加讲座的教师和研究生就金融统计与最优化交叉领域的热点问题做了深入的交流与探讨。

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