大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

UQ-Osaka Seminar on Financial Mathematics and Economics (University of QueenslandとMMDS金融保険部門共催)

Qingyuan Zhang (University of Queensland) / Ryoji Takano (Osaka University)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. UQ-Osaka Seminar on Financial Mathematics and Economics (University of QueenslandとMMDS金融保険部門共催)

UQ-Osaka Seminar on Financial Mathematics and Economics 第1回

UQ-Osaka Seminar on Financial Mathematics and Economics (University of QueenslandとMMDS金融保険部門共催)

Qingyuan Zhang (University of Queensland) / Ryoji Takano (Osaka University)

[Talk 1] 1:00pm-1:40pm
Speaker: Qingyuan Zhang (University of Queensland)
Title: Optimal Periodic Double-Barrier Strategies for Spectrally Negative L'evy Processes
Abstract: We consider a stochastic inventory control problem where the underlying process follows a spectrally negative L'evy process. A controller can continuously increase the process but can only decrease it at independent Poisson arrival times. We show the optimality of the double-barrier strategy, which increases the process whenever it falls below some lower threshold and decreases it whenever it is observed above a higher threshold. The optimal strategy and the associated value function are written semi-explicitly using scale functions. Numerical results are also given.

[Talk 2] 1:50pm-2:30pm
Speaker: Ryoji Takano (Osaka University)
Title: Large deviation principle for rough volatility models
Abstract: A rough volatility model is a stochastic volatility model for an asset price process with volatility being rough, meaning that the Hölder regularity of the volatility path is less than half. In this talk, we will focus on the asymptotic behavior of implied volatility for short maturity under those models and show that the large deviation principle for rough volatility models provides the asymptotic behavior of implied volatility.