Wei Wei
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Title: "Optimal Switching at Poisson Random Intervention Times"
(joint work with Dr Gechun Liang)
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Abstract: The paper introduces a new class of optimal switching problems, where
the player is allowed to switch at a sequence of exogenous Poisson
arrival times, and the underlying switching system is governed by an
infinite horizon backward stochastic differential equation system. The
value function and the optimal switching strategy are characterized by
the solution of the underlying switching system. In a Markovian setting,
the paper gives a complete description of the structure of switching
regions by means of the comparison principle.
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Julen Rotaetxe
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Title: Applicability of interpolation based finite difference method to problems in finance
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Abstract:
I will present the joint work with Christoph Reisinger on
the applicability of a numerical scheme relying on finite differences
and monotone interpolation to discretize linear and non-linear diffusion
equations. We propose suitable transformations to the process modeling
the underlying variable in order to overcome issues stemming from the
width of the stencil near the boundaries of the discrete spatial domain.
Numerical results would be given for typical diffusion models used in
finance in both the linear and non-linear setting.