应数学与统计学院邓伟华教授的邀请，香港中文大学研究员郭旭于近期访问我校，期间将作学术报告。

报告题目：Model financial processes with jumps

时    间：2018年12月28日 11:00

地    点：齐云楼911室

报告摘要：

The celebrated Black-Scholes model is based on the assumption that the underlying asset price follows a geometric Brownian motion. However, empirical studies suggest that such assumption of Gaussian distribution with finite variance does not seem to describe the dynamics of asset price properly. A feasible approach is to adopt a Levy process extending Brownian motion for the description of the price.

In the present work, we concentrate on the analytical study of both European and American options under a typical temped Levy process, the CGMY process. The decomposition formula of the American option and the integral equation for the optimal-exercise boundary are established in explicit forms. Moreover, an analytical approximation formula is obtained for the American value. This approximation is valid when time to maturity is either very short or very long. Numerical simulations are provided for the European options, the optimal-exercise prices and the approximate values for American options.

欢迎各位老师和同学莅临指导！

报告人简介：

郭旭，香港中文大学研究员。2015年至今，先后在香港浸会大学，美国南卡罗来纳大学，香港中文大学担任研究助理、副研究员及研究员的工作。主要从事分数阶偏微分方程模型的建立、分析与快速高精度计算方面的研究。有8年的海外研究和工作经历，学术成果陆续发表在J. Comput. Phys., SIAM J. Sci. Comput., Quant. Finance, Commun Comput. Phys.等期刊。

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