讲座题目： American-style Parisian options – a typical nexus example between financial engineering and financial mathematics
主讲嘉宾： Professor Song-Ping ZHU
Dr. Song-Ping Zhu is a Senior Professor of Applied Mathematics at the University of Wollongong, Australia. His PhD degree was awarded by the University of Michigan (Ann Arbor, Michigan, USA) in December, 1987. Over the past 30 years, Professor Zhu has established an outstanding research track record and his work has been recognized internationally. In terms of quantity, he has published over 150 papers in international journals and conference proceedings. In terms of quality, he has papers published in the most prestigious journals such as Mathematical Finance and Journal of Banking and Finance. In terms of citations, his publications have attracted over 1000 citations (H-index 19) according to the ISI Web of Science and over 2000 (H-index 25) according to the Google Scholar. Finally, in terms of research grants, he has been awarded over $1.9M in total from Australia Research Council and private industry. As a result, he has been invited to give keynote speeches and seminars at many international conferences, various prestigious universities and the Wall Street. Professor Zhu is currently on the editorial board of three international journals.
While financial engineers design financial products, financial mathematicians develop various mathematical solution approaches to provide fair price of those products. In this talk, I shall use various barrier options, particularly Parisian/Parasian options, as an example to illustrate the nexus between the two appearing-to-be confusing concepts. As a special type of exotic options that are widely used in corporate finance, Parisian/Parasian options have some interesting features that have mathematically posed some challenges in their pricing. In this talk, I shall present a series of recent research results in the area of pricing American-style Parisian options. Plenty of background information will be provided, before I show an elegant PDE approach to price these complicated exotic options.