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Hilbert Transform Methods for Options Valuation
Speaker Information: Prof. Liming Feng, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, USA
Date: November 1, 2013 (Friday)
Time: 4:30 PM to 5:30 PM
Venue: Room 513,
William M.W. Mong Engineering Building (ERB),
(Engineering Building Complex Phase 2)
The Chinese University of Hong Kong.
Brief Summary of the talk:
Transform methods have been widely used for options valuation in models with explicit characteristic functions. We explore the analyticity of the characteristic functions and propose Hilbert transform based schemes for the valuation of European, American and path dependent options and Monte Carlo simulation from such characteristic functions. The schemes are easy to implement. One does not need to rely on commercial numerical packages. Despite the simplicity, they are highly accurate, with exponentially decaying errors. Numerical examples illustrate the effectiveness of these schemes.
Short Biography of the speaker:
Liming Feng is an Associate Professor in the Department of Industrial and Enterprise Systems Engineering at the University of Illinois at Urbana-Champaign. He obtained his B.S. in Mathematics from Beijing Normal University in 1997, M.S. in Mathematics from Northwestern University in 2000, and Ph.D. in Industrial Engineering and Management Sciences from Northwestern University in 2006. His main research interests are in quantitative finance. He is currently interested in developing theory and efficient algorithms for solving various quantitative finance problems. He helped build the Master of Science in Financial Engineering program at the University of Illinois at Urbana-Champaign and is involved in many aspects of the program.
Everyone is invited to attend the talk.
The talk will be hosted by:
Prof. Lingfei Li,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: lfli@se.cuhk.edu.hk
Telephone Number: (852) 3943-8329
Homepage: http://www1.se.cuhk.edu.hk/~lfli/
For general enquiries, please contact the student coordinator:
Shoaib Jameel,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: msjameel@se.cuhk.edu.hk
Internet Presence: http://www1.se.cuhk.edu.hk/~msjameel/index.html
SEEM-5201 Website: http://seminar.se.cuhk.edu.hk
Email: seem5201@se.cuhk.edu.hk (for a quick response, kindly write to msjameel@se.cuhk.edu.hk)
Date:
Friday, November 1, 2013 - 08:30 to 09:30