报告题目：
Option Pricing by the Frequency Domain Simulation 

报告人:
Dr. Yiwei Wang,The Chinese University of Hong Kong 

报告时间:
2018年11月26日（周一）9:40-10:40 

地点：
行健楼学术活动室665

邀请人：
米辉副教授
 
摘要：
In this talk, we propose an importance-sampling based method of option pricing under two broad classes of L\’evy-driven processes and affine-jump processes whose transition probability density functions are explicitly known only through the corresponding characteristic functions. A key relationship known as the Parseval identity is used to transform a problem of simulating from the original probability space to a task of simulating in its frequency domain. This overcomes the shortcomings of the conventional inversion-based method and resolve the difficulties encountered in high dimensional applications. We provide a general principle for selecting appropriate importance sampling density under various L\’evy processes and affine processes to conduct the importance-sampling based simulation. Numerical experiments demonstrated the accuracy and efficiency of the proposed approach.
 
个人简介：
Yiwei Wang received her PhD degree in Systems Engineering and Engineering Management at The Chinese University of Hong Kong in 2017. Currently she is a lecturer in School of Economics & Management at Southeast University. Her recent research focuses on the quantitative methods in derivative pricing and risk management, Monte Carlo simulation, and applied probability