时 间：2025年4月24 日（周四）9：30 – 11：00
地 点：普陀校区理科大楼A1714室
报告人：张帅琪 中国矿业大学副教授
主持人：李丹萍 华东师范大学教授
主 办：保险精算与风险管理青年跨学科学术创新团队
摘 要：
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by a sub-diffusion.The new framework can capture the less financial activity phenomenon during the bear markets while having the classical Black-Scholes model as its special case. We study the pricing and replicating portfolio problems for European-style contingent claims with consumptions under this new model. For this, we study Girsanov transform for sub-diffusions and use it to find risk-neutral probability measure for the new Black-Scholes model. Finally we derive the explicit formula for price of the European call option and show that it can be determined by a partial differential equation (PDE) involving fractional derivative in time, which we coin a time-fractional Black-Scholes PDE.
报告人简介：
张帅琪，中国矿业大学数学学院副教授，2012年毕业于中南大学，澳门大学博士后，新加坡国立大学博士后。主要从事随机分析，随机控制，保险精算领域的研究。迄今在 SIAM Journal on Control and Optimization, Stochastic Processes and their Applications，Journal of Differential Equations，Scandinavian Actuarial Journal, System Control Letters,中国科学:数学等刊物发表论文二十余篇，出版“十四五”国家重点出版物《随机分析与控制简明教程》，主持国家自然科学基金，教育部人文社科基金规划项目，江苏省基金等。