報(bào)告時(shí)間：2026年1月26日（星期一）15:00-16:00

報(bào)告地點(diǎn)：科教樓B座1710室

報(bào) 告 人：Song-Ping Zhu 教授

工作單位：University of Wollongong

舉辦單位：數(shù)學(xué)學(xué)院

報(bào)告簡(jiǎn)介：

As exotic options, Parisian and Parasian options can be very useful in determining if a bankruptcy protection should be sought. This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected “fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in finance, particularly corporate finance, as well as potentially for other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.

報(bào)告人簡(jiǎn)介：

Song-Ping Zhu教授是澳大利亞伍倫貢大學(xué)應(yīng)用數(shù)學(xué)專(zhuān)業(yè)的資深教授。他于1987年12月畢業(yè)于美國(guó)密歇根大學(xué)安娜堡分校，獲得博士學(xué)位。他在國(guó)際期刊及會(huì)議論文集上發(fā)表論文200余篇，并獲得澳大利亞研究理事會(huì)及工業(yè)界超過(guò)200萬(wàn)澳元的研究資助。其研究工作在國(guó)內(nèi)外均獲得廣泛認(rèn)可（ISI Web of Science 顯示其總引用次數(shù)超過(guò)2000次，H指數(shù)為30）。在他的教學(xué)與研究生涯中，已成功指導(dǎo)18名博士生及多名博士后。他還曾組織兩場(chǎng)國(guó)際會(huì)議，并多次受邀在國(guó)際會(huì)議上作特邀報(bào)告。