SCIENTIFIC PROGRAMS AND ACTIVITIES

November 27, 2014

Actuarial Science and Mathematical Finance Group Meetings 2009-10
at the Fields Institute

The Actuarial Science and Mathematical Finance research group meets on a regular basis to discuss various problems and methods that arise in Finance and Actuarial Science. These informal meetings are held at the Fields Institute for Mathematical Sciences and are open to the public. Talks range from original research to reviews of classical papers and overviews of new and interesting mathematical and statistical techniques/frameworks that arise in the context of Finance and Actuarial Science.

Meetings are normally held on Wednesdays from 2pm to 3:30pm in the Stewart Library, but check calendar for exceptions. If you are interested in presenting in this series please contact the seminar organizer: Prof. Sebastian Jaimungal (sebastian [dot] jaimungal [at] utoronto [dot] ca).

As part of the six month thematic program on Quantitative Finance at the Fields Institute, the Actuarial Science and Mathematical Finance seminar series will be merged with the program’s visitor seminar series. Please visit the visitor’s seminar series here: http://www.fields.utoronto.ca/programs/scientific/09-10/finance/seminars/index.html

PAST SEMINARS
Nov. 18, 2009
Room 210

Marianito Rocha Rodrigo, Instituto Tecnologico Autonomo de Mexico (ITAM), University of Western Ontario (on sabbatical leave)
American options with time-varying parameters via Mellin transforms

We use a Mellin transform approach to solve the American option valuation problem under a time-dependent Black-Scholes modeling framework. We first obtain the exact form for the price of a put. Then we establish a put-call parity relation for American options and employ this to determine the explicit price of the corresponding call. For both put and call options, the solution of the integral equation governing the optimal exercise price is determined analytically.

This is joint work with Rogemar Mamon, University of Western Ontario.

Past Seminars 2008-09