讲座题目

Numerical solution of optimization problems arising in financial engineering

主办单位

数理与统计学院

协办单位

应用统计系

讲座时间

10月12日13:30

主讲人

Song Wang

讲座地点

松江区龙腾路333号行政楼1308室

主讲人简介

Song Wang（汪崧）教授，澳大利亚科廷大学（Curtin University）数学与统计系教授。1982年在武汉大学获得学士学位，1989年在爱尔兰都柏林圣三一学院（Trinity College Dublin）获得博士学位，曾在爱尔兰都柏林的高科技公司--Tritech有限公司工作，先后任澳大利亚新南威尔士大学，科廷科技大学和西澳大利亚大学教授。主要从事偏微分方程的数值解，数值优化和最优控制，金融衍生品定价模型的理论和数值算法等研究。在SIAM Journal of Optimization, SIAM Journal of Numerical Analysis, Numerische Mathmatik, Automatica, IEEE Transactions on Neural Networks, IMA Journal of Numerical Analysis, Reports on Progress in Physics, Journal of Computational Physics, Biomaterial, Journal of Optimization Theory and Applications, Journal of Global Optimization等国际SCI知名杂志上发表学术论文150余篇。同时，汪教授还担任多个国际知名SCI杂志的主编、副主编以及编委。

讲座内容简介

In this talk I will present some of our results in the numerical solution of linear and nonlinear of complementarity problems appearing in pricing financial options, as well as from classic engineering. These include various penalty methods for the complementarity problems in both infinite and finite dimensions.  We will also present our theoretical results on the rates of convergence of these methods.  Computational results using non-trivial test problems will be presented to support the theoretical rates of convergence.