报告题目：Analytical pricing discretely sampled variance swaps under stochastic volatility

报告人：诸颂平 教授 澳大利亚伍伦贡大学数学和应用统计学院

照片：

邀请人：薄立军 教授

报告时间：7月15日下午2:30—3:30

报告地点：信远楼II 206报告厅

报告人简介：诸颂平教授是澳大利亚卧龙岗大学金融数学中心主任, 数学与应用研究所所长, 数学和应用统计学院经理，1987年获美国密歇根大学博士学位，主要从事金融数学（美式期权、可转换债券、波动率互换等衍生产品定价）和计算数学的研究工作，已在Math. Finan.、Quantitative Finance、JEDC、J.Fluid Mechanics、Proceedings Royal Soc. London、Physica A等国际著名期刊发表过90余篇学术论文。诸颂平教授解决了美式看涨期权定价的显式解问题，因其具有里程碑的意义已被载入维基百科。

报告摘要：

In this talk, a highly efficient approach to price variance swaps with discretely sampling time is presented. Our work is based on the Heston’s (1993) two-factor stochastic volatility model imbedded in the framework proposed by Little and Pant (2001). Some key features of our new solution approach are: (i) A closed-form exact solution has been found for the associated PDE system, and thus all the hedging ratios of a variance swap can also be analytically derived; (ii) The numerical values of the newly found solution can be very easily and efficiently computed; (iii) In comparison to approximation models based on the assumption of continuous sampling time, our discrete model shows substantial improvement in accuracy for variance swaps of low sampling frequencies or long tenors. To further demonstrate the numerical supremacy of our new solution, we have compared our results with those obtained through the Monte Carlo simulations. It is envisaged that our approach can be extended to price other types of variance derivatives.

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