2008年度第2回「数理ファイナンスセミナー」を次のように開催します。
日時： ９月２５日（木）１３：３０－１６：００
会場： 名古屋市立大学山の畑キャンパス３号館（経済学部棟）
１階大学院第３教室
第一講演（１３：３０－１４：３０）
講師：Gerald Hock Lye Cheang (Nanyang Business School, Nanyang Technological University, Singapore)
タイトル： Option Pricing under Stochastic Volatility and Jump-Diffusion Dynamics: A Martingale Approach.
Abstract: We consider the problem of pricing European and American options when the dynamics of the underlying are driven by both stochastic volatility following the Heston (1993) model and a compound Poisson process as introduced by Merton (1976). We consider conditions that constrain volatility explosions in our model and provide a martingale approach to the derivation of the integro-partial differential equation for the European option price. We also provide a probabilistic representation of the American option price in the form of an early exercise premium that is due both to dividends earned less interest rate loss after the early exercise as well as jumps that push the stock price back into the continuation region.
第二講演（１４：４５－１５：４５）
講師：Takahiko FUJITA (Graduate School of Hitotsubashi University, Faculty of Commerce and Management)
タイトル： On the distributions of Brownian and Random Walk fragments: explicit calculations, infinite divisibilities and pricing exotic options.
Abstract: We consider the Brownian and Random Walk fragments like excursions, meander and comeander straddling independent exponential. First we give the explicit calculations of probality distributions of related random variable ｓ like maxima and times. As their applications, we discuss infinite divisibilities, self-decomposabilities and stochastic affinities of their distributions. Lastly we define some new exotic options written on fragments of stock values and discuss their prices.
連絡先：宮原研究室（E-mail y-miya(at)econ.nagoya-cu.ac.jp）
