题?: Lévy processes, variance swaps, and applications in financial markets
摘要: In this presentation, at first, I provide some background on the basic building block ofmy research- Lévy processes. After that, a number of aspects of the variance swap in connection to the Barndorff-Nielsen and Shephard model are studied. Finally, Barndorff-Nielsen and Shephard model is implemented to find an optimal hedging strategy for the oil commodity from the Bakken, a new region of oil extraction that is benefiting from fracking technology. The model is analyzed in connectiontothequadratichedgingproblemandsomerelatedanalyticalresultsaredeveloped.
报告?概况：Dr. Indranil SenGupta received his M.S. degree in Mathematics from the University
of Texas at Rio Grande Valley in 2006. After that he completed his Ph.D. from the Department of Mathematics, Texas A&M University in 2010. He finished his postdoctoral research in financial mathematics from the University of Texas at El Paso. In 2012 he joined the Department of Mathematics at the North Dakota State University (NDSU) as an Assistant Professor. At present he is an Associate Professor and the Graduate Program Director of Mathematics department at NDSU. His area of research is financial mathematics and stochastic processes. He is the Associate Editor in Chief of the journal /Mathematics/ and an Associate Editor in the area of finance and risk management of /Journal of Modelling in Management/. He is in the editorial board for various otherjournals.