第502期岭南学术论坛(金融学系列Seminar)

Optimal Stopping at Random Intervention Times

发布人:管理员 发布日期:2018-09-03
主题
Optimal Stopping at Random Intervention Times
活动时间
-
活动地址
岭南堂汪道涵会议室
主讲人
Mick Schaefer(Hamburg University,Ph.D. Candidate)
主持人
Christian Hilpert(中山大学岭南学院 助理教授)

语 言            英文

 

Abstract:

We propose a Markovian model to value American-style complete contracts of agents who are temporarily inattentive. Exercise decisions maximizing the contract’s payoff are not admissible continuously but at random intervention times. Further, premature forced exercises events can occur randomly accounting for e.g. liquidity needs or mortality. Exercise events are modeled with possibly market and time dependent arrival intensities. We state the fair contract value in terms of an optimal stopping problem. It is converted to optimal control which, further, provides a characterization in terms of a partial integro differential equation. We suggest the three numerical approaches, forward improvement iteration, least squares Monte-Carlo and finite differences, each corresponding one particular characterization of the value. Our adapted least squares Monte-Carlo method can treat complex and possibly multi-dimensional settings.

 

报告人介绍

201809031456074347.pdf

https://www.wiso.uni-hamburg.de/fachbereich-sozoek/professuren/szimayer/team/schaefer-mick.html

 

 

 

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