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数学学院、所2019年系列学术活动(第83场):Dr. Xiaoping Lu 伍伦贡大学

发表于: 2019-06-03 16:30  点击:

报告题目:A PDE approach for weather derivative pricing

报 告 人:Dr. Xiaoping Lu  伍伦贡大学

报告时间:2019641000-1100

报告地点:数学楼一楼第二报告厅

报告摘要:

We propose a partial differential equation (PDE) based approach to price weather derivatives with the market price of risk (MPR) extracted from the utility indifference valuation. The PDE system is solved numerically using a one-sided finite difference scheme. The solution procedure is validated by comparing the numerical results calculated using our approach with those from the utility indifference future prices, and then applied to price more complicated weather derivatives such as options.

报告人简介:

Xiaoping Lu博士现于澳大利亚伍伦贡大学数学与统计学院工作,研究方向为量化金融。在Quant. FinanceComput. Math. Appl.European J. Appl. Math.Appl. Math. Lett.等著名学术期刊上发表了多篇关于奇异期权定价与计算研究论文。