金融工程研究中心学术报告:Continuous-Time Markov Chain Approximation and Its Applications in Finance

报 告 人:张功球 香港中文大学(深圳)理工学院助理教授


报告地点: 腾讯会议:868-125-414

报告摘要:Continuous-time Markov chain (CTMC) approximation has become a popular numerical method for financial computation. It features high flexibility and efficiency and has been applied to a large class of important financial problems, including but not limited to the pricing of European, barrier, loopback, Asian, Parisian, American and drawdown options, portfolio selection and simulation under stochastic financial models with jumps, regime-switching, stochastic volatility and complex boundary behaviors. In this talk, I will introduce the construction of CTMC approximation followed by an exposition of various applications and considerations of algorithm design. Moreover, several methods for the development of convergence and convergence theories of CTMC approximation will be presented.


报告人简介:张功球,现任香港中文大学(深圳)理工学院助理教授。本科毕业于北京大学物理学院,博士毕业于香港中文大学系统工程与工程管理学系。主要从事金融数学、金融工程、计算金融等领域的研究,论文发表于Operations Research, Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, SIAM Journal on Scientific Computing, Journal of Economic Dynamics and Control等学术刊物,主持多项国家自然科学基金及深圳市科创委项目。





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