报告专家：聂天洋 教授（山东大学）

报告题目：Game options and doubly reflected BSDEs

报告地点：J9-425

报告时间：2020年11月28日14:30

报告简介：

       Dumitrescu et al. 2017 studied game options in a model with a single jump using the nonlinear arbitrage-free pricing approach developed by El Karoui and Quene 1997. We extend their findings by providing a comprehensive theoretical study of unilateral pricing, hedging and exercising problems for the counterparties within a general nonlinear setup with discontinuous assets prices. We also present a BSDE approach, which allows us to obtain more explicit results. To this end, we employ results on BSDEs and doubly reflected BSDEs driven by RCLL martingales established in our recent paper. This is a joint work with Prof. Marek Rutkowski and Edward Kim, University of Sydney, Australia.

       聂天洋，山东大学数学学院教授，博士生导师，国家优秀青年基金获得者，山东大学齐鲁青年学者。学术研究涉及倒向随机微分方程、随机控制、金融数学等领域，在Math. Finance, Finance Stoch., SIAM J. Control Optim.等数理金融和随机控制领域的权威期刊发表SCI论文十余篇。研究成果曾被法国科学院院士A. Bensoussan教授、俄罗斯科学院院士A. Shiryaev教授等公开引用和评述，产生了一定的学术影响。主持国家级项目多项，曾获山东省高等学校科学技术奖二等奖（第二位）。