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

with Scientific Applications

　

 Speaker  :      Professor Chuan-Hsiang Han (NTHU)                                     

 Time       :       Dec. 22(Thu), 2005  PM 1:30~3:30

                              Dec. 29 (Thu), 2005  PM 1:30~3:30

                              Jan.  05 (Thu), 2006  PM 1:30~3:30

                              Dec. 12 (Thu), 2006  PM 1:30~3:30

                    

 Topic     :          Perturbation methods in financial mathematics (I), (II), (III), (IV)

Abstract :
 Within the last decade, there have been progresses made to unveil the characteristic “smile” phenomenon in financial derivatives market. Firstly, this short course introduces the celebrated Black-Scholes formula and the smile (or skew) effect in finance as an inverse problem.Then we utilize a perturbation method to tackle such problem based on some multiscale stochastic models. As a result, the derivatives price and its hedge strategy are consistent to the smile. In addition, we discuss the Monte Carlo pricing problem and its variance reduction byhedging portfolios in an incomplete market.
 Place     :  

Lecture Room A,

National Center for Theoretical Sciences,

4th Floor, The 3rd General Building

National Tsing Hua University