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제목 [학술세미나] SEED 세미나 안내(18.12.14)
작성일 2018-12-13 11:21:52
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SEED Seminar Announcement

 
We cordially invite you to attend the SEED seminar by Dr. Guido Germano on Friday, 14 Dec 2018@9:30-10:30 AM (UTC note time difference).   
 
* Title: Integral transform methods and spectral filters for the pricing of exotic options 
* Speaker: Guido Germano, UCL
* Time: 9:30-10:30 (U.K. time), Friday,  14 Dec 2018 
* Venue: UCL, U.K.
* Virtual seminar roomwebconf.vc.dfn.de/optimization  
* Room Passcode: seed

Abstract:
We present numerical methods to calculate fluctuation identities for exponential Lévy processes with discrete and continuous monitoring. This includes the Spitzer identities which give the distribution of the maximum or the minimum of a random path, the joint distribution at maturity with the extrema staying below or above a barrier, and the more difficult case of the two-barriers exit problem. These identities are given in the Fourier-z or Fourier-Laplace domain and require numerical inverse z and Laplace transforms as well as, for the required Wiener-Hopf factorisations, numerical Hilbert transforms based on a sinc function expansion and thus ultimately on the fast Fourier transform. In most cases we achieve exponential convergence with respect to the number of grid points, in some cases improving the rate of convergence with spectral filters to mitigate the Gibbs phenomenon for discrete Fourier transforms. As motivating applications we price barrier, lookback, quantile and Bermudan options. 

 
References:
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano, (2018) "Hilbert transform, spectral filters and option pricing”, Annals of Operations Research, 26 pages, in press, DOI 10.1007/s10 479-018-2881-4, arXiv:1706.09755 [q-fin.CP], SSRN 2995391.

Carolyn E.\ Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano (2018), "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options, European Journal of Operational Research 271 (1), 210-223, DOI 10.1016/j.ejor.2018.04.016, arXiv:1712.00077 [q-fin.CP], SSRN 3080495.

Gianluca Fusai, Guido Germano, Daniele Marazzina (2016), "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options, European Journal of Operational Research 251 (1), 124-134, DOI 10.1016/j.ejor.2015.11.027, SSRN 2781434.
 
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The SEED seminar series is jointly organized by researchers from National University of Singapore, Zuse Institute Berlin, The Institute of Statistical Mathematics, Academia Sinica, University College London, Seoul National University and the Hong Kong University of Science and Technology. SEED stands for Statistics maschinElEarning Datascience. Motivated by the availability of big complex data and the fast development of new techniques in machine learning and data science, SEED aims to provide an online research platform for seminars focusing on important and timely interdisciplinary research topics on Statistics, Machine learning, Data Science, Mathematics, Operation Research, Computer Science, and Engineering. The online seminar series are co-hosted and organised by several research institutes in different countries. The mission is to exchange research ideas, educate young researchers, and promote international research and education collaborations.For more information, please visit the SEED website https://seed.stat.nus.edu.sg/index.php 
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We look forward to seeing you at the events!
Best regards
 
SEED Organisation Committee
  
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Confirmed seminars will be given by the following researchers:
 
 
Speaker Title Date and Time Host
Hong Kong, Singapore and Taiwan (UTC +8) Japan and Korea 
(UTC +9)
Germany 
(UTC +1)
U.K. 
(UTC)
Hideitsu Hino Current Dipole Localization from EEG with Birth-Death Process Wed, 9 Jan 2019
16:00 - 17:00
Wed, 9 Jan 2019
17:00 - 18:00
Wed, 9 Jan 2019
09:00 - 10:00
Wed, 9 Jan 2019
08:00 - 09:00
ISM
Guido Germano Integral transform methods and spectral filters for the pricing of exotic options Fri, 14 Dec 2018
17:30 - 18:30
Fri, 14 Dec 2018
18:30 - 19:30
Fri, 14 Dec 2018
10:30 - 11:30
Fri, 14 Dec 2018
09:30 - 10:30
UCL 
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