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报告题目：美式期权定价中分数阶Black-Scholes变分不等式数值解

报告人：汪松

主持人：吴至友

时间：2016年4月21日下午2：30

地点：汇贤楼122教室

摘要：

期权是定义在金融资产上的衍生产品。当某金融资产的价格满足利维（Levy）随机过程时，定义在其上的期权的价格通常满足分数阶Black-Scholes方程或分数阶偏微分线性变分不等式。在讲座中我们将给大家介绍我们最近在分数阶偏微分变分不等式数值解方向做的一些工作及得到的结果。这些工作包括分数阶偏微分不等式的法函数方法，分数阶微分算子的离散方法，及这些算法的稳定性及收敛性分析。数值实验结果也会用来支持我们得到的算法收敛理论。

个人简介：

Song Wang received aB.Sc. from Wuhan University of Hydraulic and Electric Engineering, Wuhan (nowWuhan University), China, in 1982 and a Ph.D. in numerical analysis fromTrinity College Dublin, Ireland, in 1989. He was with a Dublin-based hi-techcompany -Tritech Ltd., The University of New South Wales, Curtin University ofTechnology and The University of Western Australia where he wasa professor ofapplied mathematics. From July 2014 he has been a professor and Head ofDepartment of Mathematics & Statistics, Curtin University. His researchinterests include numerical solution of PDEs, numerical optimization andoptimal control, optimum design and computational finance. He has authored andco-authored over 100 research papers in these areas and many of them have beenpublished in well-established international journals. He has also been a memberof the editorial boards of several international journals.