数学学院、所系列学术报告(817场):Liang Gechun 教授 英国华威大学-数学学院
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数学学院、所系列学术报告(817场):Liang Gechun 教授 英国华威大学

发表于: 2018-07-13 07:52  点击:

报告题目:Exponential utility maximization and indifference valuation with unbounded payoffs
报告人:Liang Gechun 教授 英国华威大学
报告地点:数学楼三楼会议室
报告时间:7月16日上午9:30-10:30
报告摘要:We solve an exponential utility maximization problem with unbounded
payoffs under general portfolio constraints, via the theory of
quadratic backward stochastic differential equations with unbounded
terminal data. This generalizes the previous work of Hu et al.
(2005) [Ann. Appl. Probab. 15, 1691--1712] from the bounded to an unbounded framework. Furthermore, we study utility indifference valuation of financial derivatives with unbounded
payoffs,  and derive a novel convex dual representation of the
prices. In particular, we obtain new asymptotic behavior as the risk
aversion parameter tends to either zero or infinity. Joint work with Ying Hu and Shanjian Tang.