Mathematics talks at ICTP - Tuesday, 4 June, at 14:00 (Kyong Hui Kim and Ri Un Gyong)

[ICTP Math Section]

M A T H E M A T I C S   S E M I N A R S  2019


Tuesday, 4 June, at 14:00


Venue: Luigi Stasi Seminar Room, ICTP Leonardo da Vinci Building, first 
floor


14:00 - 14:30    Kyong Hui Kim (Kim Il Sung University, Pyongyang, DPR 
Korea)


Title: Option pricing in a generalized jump mixed fractional Brownian motion


Abstract: I will present a new framework for pricing the European 
currency option in the case where the spot exchange rate follows a 
generalized mixed fractional Brownian motion with jumps (hereafter 
GJMFBM). To capture the behaviors of exchange rate, the combination of 
Poisson jumps and generalized mixed fractional Brownian motion is 
introduced. To derive the pricing formula for some options, we firstly 
derive a generalized mixed fractional Girsanov theorem and some results 
regarding the quasi-conditional expectation that we will need for the 
rest of the paper. Then analytic pricing formulas for European currency 
option and exchange option are obtained using the equivalent martingale 
measure.
Finally, through some numerical experiments and discussion we show that 
the GJMFBM model is different with the other previous ones.


14:30 - 14:45    Ri Un Gyong (Kim Il Sung University, Pyongyang, DPR Korea)


Title: Presentation of Kim Il Sung University, Pyongyang, DPR Korea, and 
its educational programs in Mathematics.


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Koutou Mabilo
ICTP Mathematics Group
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