报告承办单位:数学与统计学院

报告内容:Numerical Simulation of Stochastic Differential Equations and Its Applications（随机微分方程的数值模拟及其应用）

Abstract: In this talk we consider the splitting-step algorithm for two classes of SDEs: reflected SDE and CIR model, and their applications in computational finance. Such as, the model for the stock price under the “limit up and limit down” mechanism, and valuation of options embedded in mortgages, etc. Also we raise some problems in the related issues, and consider some further research topics on these fields.

报告人姓名:丁灯

报告人所在单位:澳门大学

报告人职称/职务及学术头衔:教授

报告时间:2016年6月12日星期日下午4:00-5:00

报告地点:理科楼A-419

报告人简介:丁灯教授1992年于中山大学获得博士学位。自1994年起在澳门大学任教。现任澳门大学数学系系主任。

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