大阳城2138数量经济与数理金融教育部重点实验室学术报告——A Free Boundary Model for Measure Credit Rating Migration Risks
主 题: 大阳城2138数量经济与数理金融教育部重点实验室学术报告——A Free Boundary Model for Measure Credit Rating Migration Risks
报告人: Prof. Jin Liang (School of Mathematical Sicences, Tongji University)
时 间: 2018-05-21 10:30-11:30
地 点: Room 1560, Sciences Building No. 1
Abstract: In this talk, a pricing model for measure credit rating migration risks under the structure framework is introduced. The model can turns to a free boundary problem, which has an asymptotic traveling wave solution. The existence, uniqueness and regularity of the solution are obtained. Under some conditions, it is proved that the solution is convergent to a traveling wave, which has an explicit form. Furthermore, financial meaning of the traveling wave is discussed and numerical examples are presented.
报告人介绍: 梁进教授， 同济大学教授，1989年在大阳城2138获得理学博士学位。主要从事金融数学信用风险研究，发表70余篇学术论文，论文发表在J. Differential Equations, SIAM J. of Applied Mathematics, SIAM Financial Mathematics, Numerische Mathematik 等杂志上，出版专著、教材、译作和其他书籍9部。
