学术讲座|曹继岭教授| Asymptotics for Pricing European Derivatives-保险与精算研究院

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学术讲座|曹继岭教授| Asymptotics for Pricing European Derivatives

发布日期：2025-04-03

南开保险精算学术讲座是南开保险与精算研究院主办的系列讲座，旨在搭建保险精算领域学术交流平台、推动相关领域的研究与合作。讲座主题涵盖保险精算、风险管理、随机过程、大数据等多个领域，欢迎校内外师生积极参加！

本期南开保险精算学术讲座活动安排如下：

讲座题目

Asymptotics for Pricing European Derivatives

主讲人：曹继岭 ‍‍‍

Jiling Cao is a Professor of Mathematics and the Head of the Department of Mathematical Science at Auckland University of Technology, New Zealand. He received his BSc from Tianjin University in 1986 and PhD from The University of Auckland in 1999. He held a JSPS Research Fellowship and a New Zealand Science and Techology Research Fellowship. Until now, he has published one book and 120 research articles in the areas of general topology, functional analysis, mathematical economics and financial mathematics, and supervised 16 doctoral students and many master’s students. He is a Fellow of the New Zealand Mathematical Society and holds visiting professorship positions at several universities in Brazil, China and India.

讲座时间

2025年4月8日（周二）

15：00

讲座地点

金融学院 434

Volatility modeling is a cornerstone of modern quantitative finance, especially when it comes to pricing European derivatives accurately. The Heston model, introduced by S. Heston in 1993, revolutionized the field by addressing a key limitation of the Black-Scholes model: its assumption of constant volatility. Since then, many other stochastic volatility models have been proposed. For example, in 1997, S. Heston and E. Platen independently introduced the 3/2 stochastic volatility model. In 2017, M. Grasselli introduced the 4/2 stochastic volatility model by combining the Heston model and the 3/2 model of Heston and Platen. Even if these stochastic volatility models can capture successfully the important properties of volatility, in many cases, they do not allow a closed-form expression for derivative prices and thus their practical application in financial industry is still limited. In this talk, I will discuss a powerful asymptotic method which can be applied to derive closed-form approximation formulas for valuing European derivatives under stochastic volatility models. I will also present some recent work of Cao et al. to demonstrate how this method is applied to some particular models, e.g. SVCEV or the 4/2 stochastic volatility model.

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