PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Becky Halpenny.

Title:"Approximate solutions to second order parabolic equations, with application to finance"
Seminar:Ph.D. Thesis Defense
Speaker:Chao Liang, Adviser: Xiantao Li and Victor Nistor
Abstract Link:http://
We further develop the Dyson-Taylor method, which aims to get a series expansion approximation to the solution of second parabolic equations, with variable coefficients. I will explain how to use a slightly different way to construct the approximate solution, and show algorithms to compute the approximation to arbitrarily high order. Time-dependent coefficients and higher order parabolic PDEs will also be considered. For the application, I will present the result for the implied volatility approximation for CEV/SABR/Heston models.

Room Reservation Information

Room Number:113 Osmond Laboratory
Date:04 / 18 / 2014
Time:09:00am - 11:00am