演講者：邊保軍教授

單　位：上海同濟大學數學系

日　期：2009年6月17日　PM 14:30

地　點：國立高雄大學理學院408室

講　題：Some Partial Differential Equations in Mathematical Finance

摘　要：

In this talk, we will discuss some financial problems which can be modeled and treated by PDE approach. The first is claims pricing such as European option, American style option and credit derivatives pricing. These problems are related to well-known Black-Scholes equation and free boundary problem. We will review some mathematical theories for HJB equation and HJBI equation, and then discuss optimal portfolio selection and related risk management problem. Finally, we discuss jump diffusion model briefly.