主讲人： Wilfrid Laurier University 赖永增教授
主 题：Some exotic options pricing under subordinated Brownian motions - a biased control variate reduction approach
主持人：经济数学学院 马敬堂教授
时 间：2014年12月22日（星期一）下午：3:00
地 点：柳林校区通博楼B412
主 办：经济数学学院、科研处
主讲人介绍：
赖教授于2000年在美国Claremont Graduate University获得博士学位，从事金融数学研究，主要研究方向是蒙特卡罗方法和拟蒙特卡罗方法研究。在Insurance: Mathematics and Economics, North American Actuarial Journal, Journal of Computational Finance, Journal of Computational and Applied Mathematics等SSCI、SCI杂志上发表论文20余篇。
讲座内容：
Due to the growing importance and complexity of pricing problems for financial derivatives, various pricing models and methods have been developed over the last few decades. The Monte Carlo and quasi Monte Carlo simulation methods have wide applications in financial derivative pricing and risk management. The main drawback of the crude Monte Carlo method is its slow convergence. The application of variance reduction methods to option pricing problems are discussed in this talk. Two types of subordinated Brownian motion models for asset prices – variance gamma and normal inverse Gaussian are considered. For single asset path-dependent options, biased control variates are constructed based on the option payoff functions and the counterpart geometric Brownian motion process. In addition, randomized quasi-Monte Carlo methods are also applied. Significant variance reductions are achieved.
