報告題目：An efficient sequential quadratic programming methods with finite element for American and swing option pricing

報告人：馬敬堂

報告時間：2023年11月18日10:00-11:00

報告地點：數(shù)學與統(tǒng)計學院四樓會議室

報告摘要：In this talk, we present the recent work on the sequential quadratic programming method (SQPM) for American option pricing based on the variational inequality formulation. The variational inequality is discretized using the theta method in time and the finite element method in space. The resulting system of algebraic inequalities at each time step is solved through a sequence of box-constrained quadratic programming problems, with the latter being solved by a globally and quadratically convergent, large-scale suitable reflective Newton method. It is proved that the sequence of quadratic programming problems converges with a constant rate under a mild condition on the time step size. The method is general in solving the variational inequalities for the option pricing with many styles of optimal stopping and complex underlying asset models. In particular, swing options and stochastic volatility and jump diffusion models are studied. Numerical examples are presented to confirm the effectiveness of the method. (This is joint work with Weizhang Huang and Jinye Shen.)

報告人簡介：馬敬堂，西南財經(jīng)大學數(shù)學學院、光華英才杰出學者特聘教授、博士生導師、院長，教育部新世紀優(yōu)秀人才。現(xiàn)任四川省數(shù)學會副理事長，中國運籌學會金融工程與金融風險管理分會副理事長，SCI期刊East Asian Journal on Applied Mathematics編委。主要研究方向為：計算數(shù)學與金融數(shù)學（期權定價模型、最優(yōu)投資算法、隨機控制計算、HJB方程數(shù)值解）。在SIAM Journal on Control and Optimization, European Journal of Operational Research, Insurance: Mathematics and Economics，Journal of Computational Physics等金融數(shù)學及計算數(shù)學領域期刊發(fā)表論文70余篇。