报告题目：A PDE approach for weather derivative pricing

报 告 人：Dr. Xiaoping Lu 伍伦贡尊龙凯时

报告时间：2019年6月4日10：00-11：00

报告地点：数学楼一楼第二报告厅

报告摘要：

We propose a partial differential equation (PDE) based approachto price weather derivatives with the market price of risk (MPR) extracted fromthe utility indifference valuation. The PDE system is solved numerically usinga one-sided finite difference scheme. The solution procedure is validated bycomparing the numerical results calculated using our approach with those fromthe utility indifference future prices, and then applied to price morecomplicated weather derivatives such as options.

报告人简介：

Xiaoping Lu博士现于澳大利亚伍伦贡尊龙凯时数学与统计学院工作，研究方向为量化金融。在Quant.Finance、Comput. Math. Appl.、EuropeanJ. Appl. Math.、Appl. Math. Lett.等著名学术期刊上发表了多篇关于奇异期权定价与计算研究论文。