Frontiers in Mathematical Sciences
University of Isfahan - January 1-3, 2020
From option pricing theory to radial basis function approximationSpeaker:
Ali Foroush Bastani, Institute for Advanced Studies in Basic Sciences
Date, Time, and Venue: Friday, January 3 | 10:30-11:15 | Hall 1Abstract:
In this talk, I will start from a basic problem in computational finance, namely the ''American Option Pricing Problem'' by stating the problem and presenting a brief overview of the available approaches to tackle the problem. In the remainder, I will present an asymptotic-numeric approach to approximate the solution which will lead naturally to a class of radial basis functions widely used in the literature of multidimensional scattered data interpolation and approximation. By pointing to some possible research directions in this area, I will close the presentation.