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

精算论坛第210期讲座

(2022年11月9日)

讲座主题：Numerical methods for computing risk measures in Lévy models

摘要：The talk deals with numerical evaluating risk measures in Lévy models by reducing the problems to pricing options of a correspondent type. We consider the Value-at-Risk, the intra-horizon Value-at-Risk and the cost of illiquidity.The numerical method for computing the Value-at-Risk for infinitely divisible distributions is based on the Fourier Transform technique for pricing European digital options. The intra-horizon Value-at-Risk corresponds to the one-touch digital option pricing. The cost of illiquidity is related to pricing lookback options under Levy processes. The main ingredient of the two latter methods involves a construction of characteristic functions of supremum (infimum) processes under the Laplace transform based on approximate formulas for Wiener-Hopf factors. The Laplace transform inversion has been realized by using the Gaver-Stehfest algorithm.

报告人：Oleg Kudryavtsev

Oleg Kudryavtsev is Head of the Department of Computer Science and Customs Technologies at the Rostov Branch of Russian Customs Academy and Professor at the Institute of Mathematics, Mechanics and Computer Science of Southern Federal University. He is an expert in Computational Finance and Applied Mathematics, a member of the international research group MathRisk in INRIA (Institute Nationale de la Recherche en Informatique et Automatique). Oleg Kudryavtsev holds a Degree of Doctor of Science in Physics and Mathematics (Russian analog of Habilitation Degree) from Central Economics and Mathematics Institute of Russian Academy of Science (Moscow, Russia). The field of his research interests includes the development of fast and efficient computational algorithms for pricing path-dependent options and risk estimation in models admitting jumps (numerical Wiener-Hopf factorization, Monte Carlo methods, finite difference schemes, integral transform methods).

讲座时间：2022年11月9日 下午16:00-17:00

报告地点：Zoom会议    会议ID：939 3793 2379，密码：123456。

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邀 请 人：韦晓

欢迎各位老师和同学积极参加！