Option Pricing: Theory, Models, and Computations
Dr. Yutian LI
Department of Mathematics, Hong Kong Baptist University
Dr. Yutian Li obtained his BSc degree from Jilin University in 2005, he then went to City University of Hong Kong, where he got both his MPhil and PhD degrees in 2007 and 2010 respectively. He is currently a Research Assistant Professor at Department of Mathematics of Hong Kong Baptist University. His research interests include partial differential equations, applied analysis, singular perturbation theory, mathematical finance, engineering and computational mathematics. He has published about 20 papers in peer-reviewed journals.
Options are commonly used derivative products in financial industry. The mathematical theory of valuing an option was initiated by Black--Scholes (1973), several other models have been proposed and applied in practice since then. In this talk we shall briefly review the popular models for pricing options, then discuss these models from both analytical and computational points of view. For the analytical part, the heat kernel approach, the decomposition formula for American style options and the analytical approximation for Hestons stochastic volatility model will be mentioned. For the computation part, we shall discuss the finite element (discontinuous Galerkin) method for computing American options and the fast algorithm for the jump-diffusion models.
All are welcome！