学术报告

报告人:张强教授(香港城市大学数学系)

题目：Options Prices under Stochastic Volatility

时间：2015年4月8日(星期三)

上午10：00—11：00

地点：致远楼102

报告摘要

The well-known Heston model for stochastic volatility captures the reality of the movement of stock prices in our financial market. However, the solutions for option prices under the stochastic volatility model are expressed in terms of integrals in the complex plane. There are difficulties in evaluating these expressions numerically. We present closed-form solutions for option prices and implied volatility under Heston model of stochastic volatility. We method is based on a multiple-scale analysis in singular perturbation theory. Our theoretical predictions are in excellent agreement with numerical solutions of the Heston model of stochastic volatility. We also show that our approximate solution is valid not only in the fast-mean-reverting regime, but also in the slow mean-reverting regime. This means that the solutions in these two different regions can be approximated by the same function. We further apply our new approach of multiple-scale analysis to pricing Asian options with stochastic volatility. The results are also in excellent agreement with the exact numerical solutions.

张强教授的简介

张强教授本科毕业于复旦大学，于美国纽约大学获得硕士和博士学位。在香港城市大学就任教授之前，张强教授曾在纽约州立大学石溪分校获得终身教授。张强教授的研究兴趣包括流体动力学，粒状材料学，近代物理学和金融数学。他的文章发表于同领域顶尖杂志，如物理评论快报（Physical Review Letters），流体力学杂志（Journal of Fluid Mechanics），流体物理（Physics of Fluids），数学物理通讯（Communications in Mathematical Physics），统计年刊（Annal of Statistics），商业杂志（Journal of Business）等。以其名字命名的杨-张波动性估计量被纳入各大商学院如芝加哥大学的教材，同时也被众多金融投资家所使用。张教授同时也兼任香港城市大学经济金融系教授，并在此系担任金融工程硕士学位的项目负责人近十年。作为发起人和项目负责人，张强教授创建了香港城市大学和巴黎第九大学联合培养金融数学和精算学硕士学位点。

欢迎各位老师和同学参加！