题目: An Brief Introduction of PREMIA and Hybrid tree-finite difference methods for the Heston, Bates and Heston Hull-White model.

主讲人简介：Antonino Zanette 意大利乌迪内大学经济与统计学院副教授，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。

摘要：In the first part of the talk, the platform of financial derivatives: PREMIA is introduced, four questions will be answered: what is PREMIA, how PREMIA works, what it can do and how to use it. Then the second part of the talk is about a novel method to price financial derivatives combining the tree method and the finite difference methods in the Heston, Bates and Heston Hull-White model. Numerical experiment will show the efficiency of the method.

时间：2015年5月11日（周一）下午14:00－15:30

地点：学术会堂702

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