主 题：Approximate Basket Options Valuation for Local Volatility Jump-Diffusion Models
主讲人：Harry Zheng教授
主持人：经济数学学院 马敬堂教授
时 间：2014年4月25日（星期五）下午4:00
地 点：柳林校区通博楼B412
主办单位：经济数学学院 科研处
主讲人简介：
Harry Zheng，英国帝国理工学院教授，2013-2014 QS世界大学排名第5。Professor Zheng从事金融数学领域研究，在Finance and Stochastics，Journal of Banking and Finance等外A期刊及Quantitative Finance，Annals of Operations Research等外B期刊发表多篇论文。
内容提要：
In this talk we discuss the basket options valuation for jump-diffusion local volatility models. We suggest several approximation methods when underlying asset prices follow some correlated diffusion processes with idiosyncratic and systematic jumps. The methods used for valuation include the partial exact approximation with some conditioning random variables and the asymptotic expansion of the first and the second order. The numerical tests show that the suggested methods are fast and accurate in comparison with the Monte Carloand other methods in most cases.
