主题：Stock Loan Valuations with Stochastic Interest Rate
主讲人：Professor Song-Ping Zhu,University of Wollongong, Australia
主持人：经济数学学院 马敬堂教授
时间： 2015年11月13日（星期五）下午：4:00
地点：西南财经大学通博楼B412
主办单位：经济数学学院 科研处
主讲人简介：
诸教授现任澳洲卧龙岗大学数学系教授、系主任。诸教授主要从事金融衍生品定价数学模型的研究，在此领域发表论文数十篇包括金融数学顶级杂志《Mathematical Finance》、《Quantitative Finance》、《Journal of Futures Market》及其它SSCI、SCI杂志。
讲座简介：
Stock loans are loans collateralized by stocks. They are modern financial products designed for investors with large equity positions. This study focuses on stock loan valuations under a stochastic interest rate framework. Based on portfolio analysis, a partial differential equation (PDE) governing the value of stock loans is derived first. Boundary conditions are then imposed to properly close the PDE system. A predictor-corrector finite difference method is adopted to solve the proposed PDE system. Moreover, an alternating direction implicit (ADI) method is used to further improve the computational efficiency. Numerical results suggest that the current method is reliable and the stochastic interest rate leads to a higher optimal exercise price of the stock loan in comparison with that calculated from the Black-Scholes model.
