主 题: welcome欢迎光临威尼斯公司数量经济与数理金融教育部重点实验室学术报告——The Skew diffusion processes and their applications in financial engineering
报告人: Prof. Yongjin Wang (Nankai University)
时 间: 2018-04-12 14:00-15:00
地 点: Room 1560, Sciences Building No. 1
Abstract: In this talk, we begin with the Ito & McKean[1965]'s construction of Skew B.M. (via the Brownian excursions), and introduce a class of the so-called Skew diffusion processes. Specifically, our considerations are limited on the Skew O-U processes and the Skew Feller-branching processes (the latter are also called Skew CIR processes). For those two processes we first give the explicit expressions on the transition densities, in term of Special Functions. Next we study the hitting times of the processes up (or down) crossing some given levels, and we obtained the Laplace Transforms expressions of those random stopping times. These results are fundamental for the quantitative analysis of the processes. On the other hand, some observations from the FX market data show that, the special structures of Skew O-U processes can capture the important "sticky" phenomena, which frequently appeared in the market while the FX prices go up (down) to some specific levels. Whereas the usual Geometric BM or Geometric O-U processes fails to do. So with the nice tractable characters the Skew O-U procesess can be significantly introduced to model some FX and other assets price dynamics, alternatively we can proceed to the derivative securities pricing with those models.
报告人介绍: 王永进， 南开大学数学学院教授 和 商学院（管理学院）财务管理与金融工程教授。其主要研究兴趣包括：（概率论）马尔可夫过程与位势分析、随机偏微分方程与随机场；（财务管理）公司财务与风险管理、期货与期权市场、金融衍生品与结构化金融产品。 到目前为止已先后在（数学）学术期刊如Stoch. Proc. Appl., Stochastics, J. Theo. Prob., J. Diff. Eq., Stoch. & Dynamics 等发表论文30余篇, 以及在（金融与财务）学术期刊如J. Futures Markets, Rev. Derivatives Research, Quantitative Finance, J. Real Estate Finance & Economics，Inter. J. Theo. & Appl. Finance, J. Econ. Dyn. & Control 发表论文近20篇。
