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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title	:	A Non-parametric Approach to Gamma Calculation
Speaker	:	Prof. Wanmo Kang
		Department of Mathematical Sciences
		KAIST, Korea
Date	:	Aug 26th, 2010 (Thursday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

To hedge financial derivatives, it is very important to have
reliable Greek values. There exists several ways to estimate
sensitivities including delta and gamma under the restriction of
payoff structures or with some tractable distributional assumptions.
Then, what can we do if the derivative contracts at hand are not
qualified for any existing efficient computation techniques? We
suggest a new non-parametric approach for the calculation of a gamma
curve (which is a bulk of gamma values at a given price range of
underlying assets). If we do not know any sophisticated method for the
gamma estimation, we obtain just confidence intervals for the price of
derivatives from the simulation runs. By fairing this price
information, we can reduce the fluctuation of gamma values and get a
better gamma curve. We demonstrate the performance of the new
algorithm numerically and provide a partial convergence result.

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Biography:
　

Wanmo Kang is an assistant professor in the department of
mathematical sciences at KAIST in Korea. His main research interests
are applied probability and mathematical finance. He got his Ph.D in
Operations Research at Columbia University in the City of New York. He
did his undergraduate studies in industrial engineering and
mathematics at Seoul National University in South Korea.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seg5810
Email	:	seg5810@se.cuhk.edu.hk

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