A Martingale Approach for Fractional Brownian Motions and Related Path Dependent PDEs

2017-07-17

学术报告


A Martingale Approach for Fractional Brownian Motions and Related Path            Dependent PDEs


报告人:Prof Jianfeng Zhang

(University of Southern California)


时间:2017727日上午10:00-11:00


地点:数学科学学院第二报告厅


Abstract

Empirical studies show that the volatilities could be rough, which typically go beyond the semimartinagle framework and the fractional Brownian Motion (fBM) becomes a natural tool. Compared with BM, fBM has two features: (i) non-Markoivan; (ii) non-semimar- tingale (when the Hurst parameter $H< {1\over 2}$). We shall show that the recent development of path dependent PDEs provides a convenient tool to extend the standard literature of pricing/hedging derivatives to an fBM fram- work. The talk is based on a joint work with Frederi Viens.                    

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