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BEGIN:VEVENT
UID:Baylor_CMS_Event-107596
DTSTAMP:20190419T023251Z
SUMMARY:CASPER Seminar Series Presents - Chong Sun, Doctoral Candidate, Department of Mathematics, Baylor University
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:=0D=0A=
Chong Sun=0D=0A=
Doctoral Candidate, Department of Mathematics, Baylor University=0D=0A=
=0D=0A=
=0D=0A=
Title:=0D=0A=
Stable Computations for Solving Black-Scholes Model Equations with=0D=0A=
Cross Derivative Terms via Matrix Exponential Approximations=0D=0A=
=0D=0A=
=0D=0A=
Abstract: =0D=0A=
Partial differential equations of the Black-Scholes type have been used frequently for=0D=0A=
modeling American, European options and other financial derivative products. This is based on the=0D=0A=
fact that the price of a underlying asset follows a Brownian motion with a positive drift term. Black-=0D=0A=
Scholes model partial differential equations are anti-diffusive. They can be derived via an application=0D=0A=
of the Feymann-Kac formula to stochastic differential equations. Our study concerns highly effective=0D=0A=
finite difference methods involving matrix exponential function approximations. We are particularly=0D=0A=
interested in the stability of the schemes when cross partial derivative terms are present. Cross=0D=0A=
derivative terms have been challenging issues in the stability analysis. Traditional studies often rely=0D=0A=
on a von Neumann analysis which seriously imports a limit in broad applications, especially to partial=0D=0A=
differential problems possessing cross derivative terms or equipped more sophisticated boundary=0D=0A=
conditions. We investigate a new way of finite difference approximations to the matrix exponentials=0D=0A=
involved in aforementioned computational procedures. Different types of boundary conditions will be=0D=0A=
considered. This is a preliminary study together with Professor Q. Sheng, member of the Baylor=0D=0A=
CASPER and Department of Mathematics.=0D=0A=
=0D=0A=
=0D=0A=
Download Flyer=0D=0A=
LOCATION:Baylor Research & Innovation Collaborative (BRIC) Room 3160
DTSTART;TZID=US_Central:20170407T143000
DTEND;TZID=US_Central:20170407T153000
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