Seminar series
Date
Thu, 30 May 2013
Time
13:00 -
14:00
Location
DH 1st floor SR
Speaker
Peng Hu
The aim of this lecture is to give a general introduction to
the interacting particle system and applications in finance, especially
in the pricing of American options. We survey the main techniques and
results on Snell envelope, and provide a general framework to analyse
these numerical methods. New algorithms are introduced and analysed
theoretically and numerically.