会议时间：2023年11月8日（周三）19:00-21:00

会议地点：腾讯会议（212-266-726）

报告1：Pricing forward-start options under Heston-type stochastic volatility and Hawkes-type jump-diffusion model

报告人：王频

内容简介：In this talk, we consider the problem of pricing forward-start options in market model with the risky dynamics driven by a Hawkes jump diffusion process with stochastic volatility. Via change of numeraire and characteristic function, a semi-analytic closed-form pricing formula is derived. Through comparing Monte Carlo method and Fourier transform method , numerical illustrations are given .

报告2：半线性椭圆问题的扩展子空间算法

报告人：陈凡

内容简介：本报告介绍一种求解半线性椭圆问题的扩展子空间算法。首先通过在粗网格上的有限元空间来定义一个特殊的低维扩展子空间，将在细网格上的半线性问题的求解转化成在细网格上的线性边值问题的求解和在低维扩展子空间上的半线性问题的求解。通过这种方式将求解半线性问题的主要计算量转变成线性边值问题的计算，同时只需要在一个低维的空间内求解非线性问题，从而降低非线性问题的整体计算量。最后给出算法的具体构造和收敛性分析。

报告3：A numerical method for solving retrospective inverse problem of fractional parabolic equation

报告人：苏令德

内容简介：An effective numerical method for solving the inverse problem of time fractional parabolic equation is constructed in this paper. We use implicit finite difference method to discretize the problem and for the inverse problem we propose a conjugate gradient type regularization method to solve the discretized ill-posed linear systems. By comparing the different errors and the results with different perturbed data in several numerical experiments, our method is shown to solve the inverse problem, even with some noisy measurements, efficiently and stably.

数学与统计学院

2023年11月7日