报告时间：2023年6月6日 上午10:00开始
报 告 人：庞葳洁（美国温特沃斯理工学院 助理教授）
报告地点：包玉书9号楼113报告厅
报告题目：A BSDE Approach to Derivatives Valuation with Regime Switching
报告摘要：Before the 2008 financial crisis, most research in financial mathematics focused on pricing derivatives without considering the effects of counter parties' default, illiquidity problems, and the role of the repurchase agreement (Repo) market. In our research, we apply an alternating renewal process to describe the switching between different financial regimes and develop a framework for pricing a European claim. The price is characterized as a solution to a backward stochastic differential equation (BSDE), and we prove the existence and uniqueness of this solution. In a numerical study based on a deep learning algorithm for BSDEs, we compare the effect of different parameters on the valuation of it.
报告人简介：庞葳洁，美国伍斯特理工学院博士，加拿大麦克马斯特大学博士后，现为美国温特沃斯理工学院计算与数据科学学院助理教授（Tenure-tracking Assistant Professor）。主要研究领域：随机分析，金融数学，金融风险，及流行病传染模型。于顶尖期刊发表多篇学术论文，担任金融数学相关期刊审稿人，多次参与国际学术会议并发表学术报告。
