Apr 2012- Mar 2013

Math-Fi seminar on 18 Jan.

2013.01.15 Tue up
This seminar is co-hosted with the Analysis Seminar.
  • Date: 18 Jan. ( Fri )
  • Place: W.W. 7th-floor
  • Time: 16:30 — 18:00
  • Speaker: Toshihiro Yamada
  • Title: A Closed-form approximation method for computational finance
  • Abstract:
​This presentation reviews a closed-form approximation approach to numerical problems for pricing derivatives.
We derive tractable pricing formulas in stochastic volatility models and show the validity of our method through numerical examples.

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