报告人：Gunter H. Meyer，Professor Emeritus
School of Mathematics, Georgia Tech
报告摘要：The aim of the talk is to illustrate how the tools of partial differential equations and of numerical analysis can be applied to analyze and solve approximately the diffusion equations for pricing financial options and bonds. Special emphasis will be placed on nonlinear extensions of the Black Scholes and the bond equation, on the correct formulation of boundary and initial conditions, and on the numerical challenges raised by discontinuous initial/boundary data.
The talk is meant to convey why a mathematician might become interested in the topic of quantitative finance. It will be descriptive and does not require prior exposure to the topic.
报告人简介：Gunter H. Meyer received a PhD in Mathematics in 1967 from the University of Maryland. He worked for four years in the oil industry on reservoir and thermal problems before joining in 1971 the School of Mathematics of the Georgia Institute of Technology.
Over the years his interest has centered on the numerical analysis of boundary value problems for differential equations, with special emphasis on free boundary problems associated with phase change problems. He is the author of a monograph: Initial Value Methods for Boundary Value Problems, Academic Press, 1973 and co-author of a text/reference book: Separation of Variables for PDEs - An Eigenfunction Approach, CRC, 2006.
Before his retirement in 2002 he held a joint appointment in Mathematics and Mechanical Engineering. He maintains an office at Georgia Tech, teaches the occasional course and is at work on a monograph: Pricing Options and Bonds with the Method of Lines, http://people.math.gatech.edu/~meyer/MOL-notes/ The talk will be based on these notes.