报告人 ：曾萍萍（南方科技大学）

时间：2023年04月07日 14:30-

腾讯会议ID：329 484 895

摘要：We investigate analytical solvability of models with affine stochastic volatility and Levy jumps by deriving a unified formula for the conditional moment generating function of the log-asset price and providing the condition under which this new formula is explicit. The results lay a foundation for a range of valuation, calibration, and econometric problems. We then combine our theoretical results, the Hilbert transform method, various interpolation techniques, with the dimension reduction technique to propose unified simulation schemes for solvable models with affine stochastic volatility and Levy jumps. In contrast to traditional exact simulation methods, our approach is applicable to a broad class of models, maintains good accuracy, and enables efficient pricing of discretely monitored path-dependent derivatives. We analyze various sources of errors arising from the simulation approach and present error bounds. Finally, extensive numerical results demonstrate that our method is highly accurate, efficient, simple to implement, and widely applicable.

简介：曾萍萍现任南方科技大学助理教授（副研究员、博导），主要从事金融衍生品、计算金融以及蒙特卡洛方法的研究，主持国家自然科学基金项目2项，在Mathematical Finance、SIAM Journal on Scientific Computing和SIAM Journal on Financial Mathematics等期刊发表过论文。

邀请人：张志民

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