Seminars_raw

Numerical Methods of Higher Accuracy for Option Pricing Problems

2018-12-13 00:00

Speaker: Prof. Shuhua ZHANG

unit:

Time: 2018-11-30 15:00-16:00

Venue: The Wei Jin Road No. 6 Building 111 campus teaching

starttime: 2018-11-30 15:00-16:00

Profile:


Theme:
Numerical Methods of Higher Accuracy for Option Pricing Problems
Time:
2018-11-30 15:00-16:00
Venue:
The Wei Jin Road No. 6 Building 111 campus teaching
Speaker:
Prof. Shuhua ZHANG

Abstract

      In this talk, we will discuss option pricing problems for vanilla options, options with regime switching, and CO_2 allowance options. Also, we investigate numerical methods of higher accuracy, including finite element methods, front-fixing finite element methods, and fitted finite volume methods, for the above option pricing problems.


Contact us

Add:Building 58, The School of Mathematics, Tianjin University Beiyangyuan Campus,

        No. 135, Ya Guan Road, Jinnan District, Tianjin, PRC 

Tel:022-60787827   Mail:math@tju.edu.cn