报告题目：Price connection between Parasian options with a moving window and their “fixed window” counterparts
报告人：诸颂平 教授 伍伦贡大学
报告时间：2025年2月17日 10:00-11:00
报告地点：数学楼第一报告厅
校内联系人：韩月才 hanyc@jlu.edu.cn
报告摘要：This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected “fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in ffnance, particularly corporate finance, as well as an efficient approach to pricing other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.
报告人简介：诸颂平教授是澳大利亚伍伦贡大学应用数学系资深教授。他于1987年12月毕业于密歇根大学并获博士学位，累计在国际期刊和会议论文集上发表论文200 余篇，吸引了澳大利亚研究理事会（ARC）和私营企业超过 200 万美元的资金支持。此外，诸颂平教授共组织了两次国际会议，并应邀在多个国际会议上发言。诸颂平教授的研究工作得到了国内外的广泛认可，据ISI Web of Science 数据显示，他的论文总引用次数超过 2000 次，H指数为27。
