報告題目：A PDE approach for weather derivative pricing
報 告 人：Dr. Xiaoping Lu 伍倫貢大學
報告時間：2019年6月4日 10：00-11：00
報告地點：數學樓一樓第二報告廳
報告摘要：
We propose a partial differential equation (PDE) based approach to price weather derivatives with the market price of risk (MPR) extracted from the utility indifference valuation. The PDE system is solved numerically using a one-sided finite difference scheme. The solution procedure is validated by comparing the numerical results calculated using our approach with those from the utility indifference future prices, and then applied to price more complicated weather derivatives such as options.
報告人簡介：
Xiaoping Lu博士現于澳大利亞伍倫貢大學數學與統計學院工作，研究方向為量化金融。在Quant. Finance、Comput. Math. Appl.、European J. Appl. Math.、Appl. Math. Lett.等著名學術期刊上發表了多篇關于奇異期權定價與計算研究論文。
