國家理論科學研究中心學術演講
NCTS Seminar on Probability Theory

　

  

  Speaker  :     韓傳祥 博士
                        (University of Minnesota and Ford Motor Company )

                     

  Time      :        December 30  (Thursday) AM  10:10 - 12:00

   

  Topic     :        Applications of Monte Carlo Methods on Financial Engineering

　

  Abstract :

    In this talk we addresses some efficient Monte Carlo methods with their applications

    in finance. Fundamental background of Monte Carlo methods is introduced and

    several numerical experiments for pricing and hedging financial derivatives are

    presented. We provide an insight in finance to understand variance reduction methods

    under the Black-Scholes's economics.
    In the end, we introduce recent generalizations beyond Black-Scholes and discuss

    some difficulties and opportunities arose from a new field - Financial Engineering.

 I. Basic Monte Carlo Methods
    a. Revision of probability theory
    b. Methods to reduce the variance
 II. Variance reduction for Monte Carlo under Black-Scholes
    c. Simulation of diffusion processes: the Euler scheme
    d. Importance sampling by twisting probability
    e. Control variates by hedging
 III. Extensions to Stochastic Volatility Models
    f. Why, how and what
    g. Other challenges in computational finance
               

  Place     :  

Room 223,

Science Building One

National Chiao Tung University