报告人：Jiling Cao （曹继岭）

报告时间：2025 年 4 月 18  日下午 16:00

报告地点：数学与信息（软件）学院 201 报告厅

报告摘要：Volatility modeling is a cornerstone of modern quantitative finance, especially when it comes to pricing European derivatives accurately. The Heston model, introduced by S.Heston in 1993, revolutionized the field by addressing a key limitation of the Black-Scholes model: its assumption of constant volatility. Since then, many other stochastic volatility models have been proposed. For example, in 1997, S. Heston and E. Platen independently introduced the 3/2 stochastic volatility model. In 2017, M. Grasselli introduced the 4/2 stochastic volatility model by combining the Heston model and the 3/2 model of Heston and Platen.

Even if these stochastic volatility models can capture successfully the important properties of volatility, in many cases, they do not allow a closed-form expression for derivative prices and thus their practical application in financial industry is still limited. In this talk, I will discuss a powerful asymptotic method which can be applied to derive closed-form approximation formulas for valuing European derivatives under stochastic volatility models. I will also present some recent work of Cao et al. To demonstrate how this method is applied to some particular models, e.g. SVCEV or the 4/2 stochastic volatility model.

报告人简介：Jiling Cao is a Professor of Mathematics and the Head of the Department of Mathematical Science at Auckland University of Technology, New Zealand. He received his BSc from Tianjin University in 1986 and PhD from The University of Auckland in 1999. He held a JSPS Research Fellowship and a New Zealand Science and Techology Research Fellowship. Until now, he has published one book and 120  research articles in the areas of general topology, functional analysis, mathematical economics and financial mathematics, and supervised 16 doctoral students and many master ’s students. He is a Fellow of the New  Zealand Mathematical Society and holds visiting professorship positions at several universities in Brazil, China and India.

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