金融工程研究中心学术报告: Analysis of Markov Chain Approximation for Regime Switching Jump Diffusions with Nonsmooth Coefficients: Deformed Contour Integration Approach

   人: 香港中文大学(深圳),  张功球 助理教授

报告时间202577 上午 930-1030

报告地点:览秀楼105学术报告厅

 

报告摘要:  Continuous-time Markov chain (CTMC) approximation is a popular computational approach which has been successfully applied to the pricing of a large class of financial products, especially exotic ones, under very general stochastic financial models. Despite its broad applicability, existing convergence rate analyses of CTMC approximation are either limited to models with relatively simple structures (eg, diffusion and Levy models) or rely on strong smoothness assumptions on model coefficients and payoff function which often fail to hold in financial applications. In this paper, we propose a novel technique to analyze the convergence rate of CTMC approximation. Our approach is based on a representation of the approximate option price using deformed contour integration of its Laplace transform with respect to the maturity. We illustrate the deformed contour integration approach by analyzing the convergence rate of CTMC approximation for double-barrier option pricing under general regime-switching jump-diffusion models with nonsmooth coefficients. Our proposed approach exhibits flexibility and has the potential to be extended for handling more complex financial derivatives and models. Our theoretical findings are supported by numerical experiments.

 

主讲人简介张功球,香港中文大学(深圳)助理教授、博士生导师、金融数学理学硕士项目主任,深圳市大数据研究院研究科学家。主要研究金融数学、金融科技、计算金融等方向。研究成果发表于 Operations Research, Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, SIAM Journal on Scientific Computing等期刊,主持多项国家自然科学基金与深圳市科创委项目。中国运筹学会金融工程与风险管理分会理事。

 

 

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