教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

讲座题目：Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

摘要：Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal（2012）the Black and Scholes framework seems to be inappropriate for such a long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black-Scholes model with stochastic interest rate (Hull White model). For this purpose we present four numerical methods for pricing GLWB variables annuities: a hybrid tree-finite difference method and a Hybrid Monte Carlo method, an ADI finite difference scheme, and a Standard Monte Carlo method. These methods are used to determine the no-arbitrage fee for the most popular versions of the GLWB contract, and to calculate the Greeks used in hedging. Both constant withdrawal and optimal withdrawal (including lapsation) strategies are considered. Numerical results are presented which demonstrate the sensitivity of the no-arbitrage fee to economic, contractual and longevity assumptions.

主讲人：Antonino Zanette意大利乌迪内大学经济与统计学院教授，法国国家信息与自动化研究院（INRIA）创办的金融衍生品定价与风险管理平台PREMIA的学术主管。他的研究领域是数量金融，主要从事二叉树方法等数值方法的设计与优化。他最近提出的混合树方法（Hybrid tree method）解决了很多复杂结构的金融衍生品和保险产品的定价问题，在Insurance：Mathematics and Economics和 Quantitative Finance等期刊发表了关于该方法及其应用的一系列成果。

时间：2017年5月10日下午2:00-3:00

地点：学术会堂北楼606

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