精算论坛第279期讲座—OlegKudriavtsev（12月24日）

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精算论坛第279期讲座

(2025年12月24日)

讲座主题：Contemporary problems of computational finance

摘要：This report will examine a key problem in computational financial mathematics: option pricing. Lévy processes, which allow for the modeling of price shocks, will be considered as models of the underlying assets. Currently, there exist several large groups of relatively universal numerical methods for pricing option in exponential Lévy models. The report will provide an overview of these groups of numerical methods, including Monte Carlo methods, numerical methods for calculating expectations, and numerical methods for solving partialintegro-differential equations. Hybrid methods, which combine traditional numerical methods with machine learning algorithms, will be highlighted as a promising new direction in computational finance.

报告人：

Dr.KudriavtsevisProfessor at the Institute of Mathematics, Mechanics and Computer Science of Southern Federal University and Research Director atInWiseSystems, LLC. He is an expert in Computational Finance and Applied Mathematics, a member of the international research groupMathRisk. OlegKudriavtsevholds aDegree of Doctor of Science in Physics and Mathematics (Russian analog of Habilitation Degree) from Central Economics and Mathematics Institute of Russian Academy of Science, (Moscow, Russia). The field of his research interests includes the development of fast and efficient computational algorithms for pricing path-dependent options and risk estimation in models admitting jumps (numerical Wiener-Hopffactorization, Monte Carlo methods, finite difference schemes, integral transform methods).

讲座时间：2025年12月24日（周三） 下午15:00-16:30

报告地点：沙河校区学院楼13号209教室

邀 请 人：韦晓