科学研究
A simplified Analytical Approach for Pricing Discretely-Sampled Gamma Swaps in the Heston Stochastic Volatility Model and its Application
发布时间:2020-12-21        浏览次数:10

题目:A simplified Analytical Approach for Pricing Discretely-Sampled Gamma Swaps in the Heston Stochastic Volatility Model and its Application

报告人:Dr. Sanae Rujivan (Walailak University)

地点:致远楼103室

时间:2020年12月24日(星期四)上午9:00—10:00

摘要: In this talk, we study a Boltzmann-type Mean Field Game model proposed in Achdou et al. (2014) for knowledge diffusion and economic growth, where knowledge diffusion results from imitation by searching and learning and from innovation subject to Brownian noises. Largely inspired by Dai et al. (2009), where the marginal value function has been used directly to study portfolio selection with transaction costs, we transform the original partial integro-differential equation system into an equivalent one by also studying a representative agent's marginal value function. We show a necessary condition to generate a sustained growth is that innovation cannot dominate imitation. In particular, when learning technology is sufficiently inefficient or discount rate is sufficiently low, either of which leads individuals to put no effort in imitation, sustained economic growth then disappears. Further, if there exists a balanced growth path solution, a continuum of such solutions indeed exist and there is a special one with the form conjectured in Achdou et al. (2014). Finally, we propose a new method to conduct an extensive numerical analysis. 

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