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.

题目：Using gap options as a protection against market crash : application to CPPI.

主讲人简介：Ludovic Goudenege法国国家科学研究院（CNRS）副研究员，巴黎中央理工大学（École Centrale Paris）副教授。从事的研究领域主要包括随机过程、遍历理论、金融衍生品及保险产品定价、随机偏微分方程、数值模拟方法等。除此之外，Ludovic Goudenege 副研究员也致力于将学术研究应用于保险金融业界，他兼职于法国安盛保险集团AXA，为其提供风险管理咨询，同时也是法国国家信息与自动化研究院创办的金融软件平台PREMIA的研发团队成员。

摘要: The Constant Proportion Portfolio Insurance product is a strategy to ensure a guaranty benefit at the maturity. In its continuous version (and in a liquid market), it appears to be a very efficient strategy.But in practice, the product does not provide a full protection against market crash. Furthermore very big losses can appear in a low frequency re-balancing strategy.

In this talk, we will present the gap options which provide protection against market crash. Coupled to the CPPI, they offer a complementary protection against big losses. Finally we will discuss few other strategies about the CPPI and their impact on P&L.

时间：2015年4月23日（周四）上午9:30－12:00

地点：学术会堂702

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