时 间：2017年12月20日（周三）14:00-15:30
地 点：南校区教学楼B座304室
承办单位：betway体育
“投资管理、期权定价和风险管理”科研创新团队
报告人：赖永增教授（加拿大Wilfrid Laurier University教授）
主 题：Applications of Malliavin Calculus in Finance
报告摘要：
In this talk, we will introduce applications of Malliavin Calculus in finance: simulation of sensitivities (or Greek letters) of financial derivatives; American style options and portfolio optimization, etc. Details of applications in simulating Greek letters of options will be presented. If time permits, formulas of conditional expectations expressed in terms of ratios of unconditional expectations will also be introduced. These formulas can be used in simulation of American style options and their sensitivities. Numerical results will be presented as well.
报告人介绍：
赖永增，加拿大Wilfrid Laurier University教授，2000年获美国Claremont Graduate University博士学位，之后在加拿大University of Waterloo做博士后。主要研究领域包括金融衍生品定价及风险管理、计算金融、投资组合优化、Monte Carlo模拟方法及应用等。在Automatica、Journal of Computational Finance、Insurance Mathematics and Economics、Economic Modeling等重要国际学术期刊及会议上发表论文40余篇。主持加拿大国家自然科学基金多项，获教育部科研优秀成果三等奖及广东省社科优秀成果一等奖。
