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                                                     Seminar

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

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Title

:

Classical, Forward, and Marginal Indifference Pricing

　

　

　

Speaker

:

Prof. Tim Siu-Tang Leung

　

　

Department of Applied Mathematics & Statistics

　

　

Johns Hopkins University

　

　

　

Date

:

May 30th, 2011 (Monday)

　

　

　

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:
　

The indifference pricing mechanisms under three different approaches are discussed.  We will first summarize the classical, forward, and marginal indifference valuation of European and American options in general incomplete diffusion markets. This leads to the analytic and numerical studies of some stochastic control and optimal stopping problems and their associated variational inequalities. We show the mathematical connections among these approaches.  Moreover, we also show that the marginal forward indifference price is independent of the investor's wealth and risk preferences, and is equivalent to pricing under the minimal martingale measure (MMM).


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Biography:
　

Tim Leung is an Assistant Professor of Applied Mathematics & Statistics at Johns Hopkins University, where he has been since September 2008.  He received a Ph.D. in Operations Research & Financial Engineering from Princeton Univeristy in 2008, and a B.S. in Operations Research & industrial Engineering at Cornell University in 2003. During 2003-2004, he was a consultant associate at Novantas, a Manhattan-based management consulting firm. He is also a graduate from Wah Yan College, Hong Kong.


************************* 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/~seem5201

Email

:

seem5201@se.cuhk.edu.hk

　

　

　

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