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2021年bat365在线平台“bat365中文官方网站学子全球胜任力提升计划”研究生系列短课程(12)

发表于: 2021-07-08   点击: 

报告题目:Pricing financial derivatives - one of the best examples of mathematics being applied to social sciences

报 告 人:SONGPING ZHU,University of Wollongong

报告地点:Zoom会议 会议 ID:819 7300 4367

校内联系人:韩月才 hanyc@jlu.edu.cn


Abstract: This course will introduce one of the most important research areas in the financial mathematics——pricing financial derivatives. First of all, this course will introduce the fundamental pricing framework and describe two main approaches. Secondly ,some exotic options will be introduced.The diversity of factors that affect the price of exotic options leads to its extremely complex pricing, so the pricing problem is one of the core issues in the theory of exotic options. In the end, professor Zhu will give students some time to understand the knowledge and give some small questions about the lecture to inspire students’ creative motivation.


授课日期

Date of Lecture

课程名称(讲座题目)

Name (Title) of Lecture

授课时间

Duration (Beijing Time)

参与人数

Number of Participants

July 12, 2021

A   brief history and fundamental pricing framework

13:00-14:00

30

July 12, 2021

Fundamental   pricing framework (two main approaches)

14:10-15:10

30

July 14, 2021

Exotic   options (e.g., barrier options)

13:00-14:00

30

July 14,

2021

More   exotic options (e.g., Parisian/Parasian options)

14:10-15:10

30

Aug 16, 2021

D   & I with students on their short group assignments

13:00-14:00

30

Lecture 1: A brief history and fundamental pricing framework

The history of pricing financial derivatives and the basic notions of fundamental pricing framework.

Lecture 2: Fundamental pricing framework

This lecture will introduce two main approaches about pricing.

Lecture 3: Exotic options (e.g., barrier options)

Introduce some exotic options and the classification and characteristics of options. Barrier options and Asian options will be mainly introduced.

Lecture 4: More exotic options (e.g., Parisian/Parasian options)

Lecture 5: D & I with students on their short group assignments


报告人简介:

SONGPING ZHU,澳大利亚卧龙岗大学教授、博导、金融数学研究中心主任、数学与应用研究所所长。从事金融数学与金融工程,非线性波动理论等研究。担任国际学术期刊《International Journal of Computer Mathematics》的特聘 杂志主编,在世界顶级杂志上发表多篇高水平论文。