报告题目： 
Dual control Monte Carlo method for tight bounds of value function under Hestonstochastic volatility model 

报 告 人：Professor Harry Zheng fromImperial College 

报告时间：2018年6月4日下午3:30 - 4:30 

报告地点：苏州大学金融工程研究中心105学术报告厅 

摘    要：The aim of this paper is tostudy the fast computation of the lower and upper bounds on the value functionfor utility maximization under the Heston stochastic volatility model withgeneral utility functions. It is well known there is a closed form solution ofthe HJB equation for power utility due to its homothetic property. It is notpossible to get closed form solution for general utilities and there is littleliterature on the numerical scheme to solve the HJB equation for the Hestonmodel. In this paper we propose an efficient dual control Monte Carlo methodfor computing tight lower and upper bounds of the value function. We identify aparticular form of the dual control which leads to the closed form upper boundfor a class of utility functions, including power, non-HARA and Yarriutilities. Finally, we perform some numerical tests to see the efficiency,accuracy, and robustness of the method. The numerical results support stronglyour proposed scheme. (Joint work with J.T. Ma and W.Y. Li) 

报告人简介: Harry Zheng，英国帝国理工学院教授，Professor Zheng从事随机控制、金融数学领域研究，在Mathematics of Operations Research, SIAM Journal onControl and Optimization, Finance and Stochastics, SIAM Journal on FinancialMathematics, Journal of Economic Dynamics and Control, Quantitative Finance等top期刊（SCI或SSCI）发表数十篇论文。