学术报告报告题目一：SensitivityAnalysis for American Options
报告人：刘彦初 教授 （中山大学岭南(大学)学院）
报告时间：2016年5月27日（周五）下午15:00-16:00
报告题目二：DiscreteSum of Geometric Brownian Motions and Asian Options
报告人：朱凌炯 教授 (佛罗里达州立大学)
报告时间：2016年5月27日（周五）下午16:10-17:10
报告地点：4号楼4141室
欢迎广大师生前往！
数学学院
2016年05月25日
报告一摘要：
In this paper, we develop efficient Monte Carlo methods forestimating American option sensitivities. The problem can bereformulated as how to perform sensitivity analysis for a stochasticoptimization problem with model uncertainty. We introduce ageneralized infinitesimal perturbation analysis (IPA) approach toresolve the difficulty caused by discontinuity of the optimaldecision with respect to the underlying parameter. The IPA estimatorsare unbiased if the optimal decisions are explicitly known. Toquantify the estimation bias caused by intractable exercisingpolicies in the case of pricing American options, we also provide anapproximation guarantee that relates the sensitivity under theoptimal exercise policy to that computed under a sub-optimal policy.The price-sensitivity estimators yielded from this approachdemonstrate significant advantages numerically in bothhigh-dimensional environments and various process settings. We caneasily embed them into many of the most popular pricing algorithmswithout extra simulation effort to obtain sensitivities as aby-product of the option price. Our generalized approach also castsnew insights on how to perform sensitivity analysis using IPA: we donot need path-wise continuity to apply it. (This paper has beenpublished on Operations Research and it is a joint work with Prof.Nan Chen from Chinese University of Hong Kong.)
报告人简介：
刘彦初，男，四川眉山人。现就职于中山大学岭南（大学）学院，担任金融学助理教授。香港中文大学金融工程博士，中国科学技术大学理学硕士与理学学士。持有金融风险管理师（FinancialRisk Manager,简称FRM）证书。主要研究兴趣为金融经济学以及金融工程中的计算方法与相关应用。已发表SSCI/SCI/EI收录论文5篇。目前主持国家自然科学基金青年项目一项，以及中央高校基本科研业务费项目一项。
报告二摘要:
The time average of geometric Brownian motion plays a crucial role inthe pricing of Asian options in finance. We consider the asymptoticsof the discrete time average of a geometric Brownian motion sampledon uniformly spaced times in the limit of a very large number ofaveraging time steps. We derive the asymptotics for the price ofAsian options in the Black-Scholes model and numerically test ourresults and compare with the existing results in the literature. Thisis based on the joint work with Dan Pirjol.