教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
(2024年3月26、27日)
课程题目Title：Numerical Probabilistic Methods for Option Pricing
内容摘要Abstract：Algorithms for option pricing in discrete models. Convergence orders of binomial methods. Estimating sensitivities.Tree methods and Monte Carlo methods for Exotic options (barrier options, Asian options, lookback options, rainbow options). Monte Carlo Methods for European options. Simulation methods of classical law. Inverse transform method. Computation of expectation. Variance reduction techniques. Monte Carlo methods for Exotic options. The Longstaff-Schwartz method for American options.
主讲人Speaker：Antonino Zanette, University of Udine, Italy意大利乌迪内大学
AntoninoZanette is a Full Professor in Mathematics for Economics at Udine University (Italy). Author of numerous publications in leading journals of mathematical finance. Scientific leader from 1998 to now of the software project Premia (a computational platform designed to set up a technology watch for numerical problems related to the evaluation of financial derivative) of the INRIA Paris MathRisk project (www.premia.fr\rm). His mainly research activity is in Computational Finance. The main topics are: Tree methods for Exotic American options, insurance derivatives in Black-Scholes, stochastic volatility and jumps models. Variables Annuities. Finite Difference Methods for pricing American options on two stocks, American lookback options, Swing options. Monte Carlo Methods for Pricing and Hedging American Option in High Dimension. Machine Learning for finance and insurance.
课程时间及地点安排Time and Venue：
1、Tuesday March 26 10:00–14:40am （Venue：沙河校区 学院楼7号115）
2、Wednesday March 27 14:00–15:40pm （Venue：沙河校区 学院楼7号115）
课程参考资料Additional material:
• J. Hull. Options, Futures, and Other Derivatives. Prentice Hall, 2011.
• N. H. Bingham, R. Kiesel. Risk-Neutral Valuation: Pricing and Hedging of Financial
Derivatives. Springer Finance, 2004.
• P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003.
主持人：郑敏
