講座題目 | Numerical solution of optimization problems arising in financial engineering | ||
主辦單位 | 數理與統計意昂2 | 協辦單位 | 應用統計系 |
講座時間 | 10月12日13:30 | 主講人 | Song Wang |
講座地點 | 松江區龍騰路333號行政樓1308室 | ||
主講人簡介 | Song Wang（汪崧）教授，澳大利亞科廷大學（Curtin University）數學與統計系教授。1982年在武漢大學獲得學士學位，1989年在愛爾蘭都柏林聖三一意昂2（Trinity College Dublin）獲得博士學位🚻，曾在愛爾蘭都柏林的高科技公司--Tritech有限公司工作🧛🏻♂️，先後任澳大利亞新南威爾士大學，科廷科技大學和西澳大利亞大學教授🧑🏽🏭🎹。主要從事偏微分方程的數值解🧈，數值優化和最優控製🟤，金融衍生品定價模型的理論和數值算法等研究。在SIAM Journal of Optimization, SIAM Journal of Numerical Analysis, Numerische Mathmatik, Automatica, IEEE Transactions on Neural Networks, IMA Journal of Numerical Analysis, Reports on Progress in Physics, Journal of Computational Physics, Biomaterial, Journal of Optimization Theory and Applications, Journal of Global Optimization等國際SCI知名雜誌上發表學術論文150余篇。同時，汪教授還擔任多個國際知名SCI雜誌的主編、副主編以及編委✸。 | ||
講座內容簡介 | In this talk I will present some of our results in the numerical solution of linear and nonlinear of complementarity problems appearing in pricing financial options, as well as from classic engineering. These include various penalty methods for the complementarity problems in both infinite and finite dimensions. We will also present our theoretical results on the rates of convergence of these methods. Computational results using non-trivial test problems will be presented to support the theoretical rates of convergence. | ||