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(Apr. 3) Option Pricing via Fractional Partial Differential Equations

Last updated :2018-03-30

Topic: Option Pricing via Fractional Partial Differential Equations
Speaker: Prof. Deng DING
(Department of Mathematics, University of Macau)
Time: 4:00-5:00 pm, Tuesday, April 3, 2018
Venue: Room 415, New Mathematics Building, Guangzhou South Campus, SYSU

Abstract:
In this talk, we first review the relationship between partial differential equations and option pricing. Then we give some fractional diffusions and the definition of fractional derivatives. Finally, we introduce new option pricing methods via fractional partial differential equations, and our recent results on this area.