教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

短期课程

(2025年5月13-15日)

课程题目：Monte Carlo Methods for Levy Processes

摘要：This course explores the application of Monte Carlo simulation techniques to Lévy processes in quantitative finance. The theoretical part covers:

Definition and key properties of Lévy processes

Examples of Lévy processes (Brownian motion, compound Poisson, Variance Gamma).

Option pricing framework under exponential Lévy models.

Risk measure computation (risk of hitting a price barrier, Value-at-Risk, intra-horizon Value-at-Risk).

Foundations of Monte Carlo methods for estimating expectations and probabilities.

The practical component focuses on numerical implementation, including:

Simulating paths of Lévy processes (Brownian motion, compound Poisson, Variance Gamma).

Pricing options via Monte Carlo.

Estimating risk measures using simulated scenarios.

Students will gain hands-on experience in C++, combining theory with computational techniques for financial modeling.

主讲人：Oleg Kudriavtsev

Dr. Kudriavtsev is the Head of the Department of Computer Science and Customs Technologies at the Rostov Branch of Russian Customs Academy and Professor at the Institute of Mathematics, Mechanics and Computer Science of Southern Federal University and Research Director at InWise Systems, LLC. He is an expert in Computational Finance and Applied Mathematics, a member of the international research group MathRisk. Oleg Kudriavtsev holds a Degree of Doctor of Science in Physics and Mathematics (Russian analog of Habilitation Degree) from Central Economics and Mathematics Institute of Russian Academy of Science, (Moscow, Russia). The field of his research interests includes the development of fast and efficient computational algorithms for pricing path-dependent options and risk estimation in models admitting jumps (numerical Wiener-Hopf factorization, Monte Carlo methods, finite difference schemes, integral transform methods).

上课时间、地点：

2025年5月13日（周二）下午16:00-18:00学院楼6号楼106

2025年5月14日（周三）上午09:00-12:00学院楼6号楼302

2025年5月15日（周四）上午09:00-12:00学院楼6号楼302

邀 请 人：韦晓