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Department of Statistical and Actuarial Sciences
Center of Actuarial Excellence (CAE)
Convocation June 2014
Convocation June 2014

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  • Faculty of Science Dean's Homecoming Celebration (September 12, 2014)

    Faculty of Science Dean's Homecoming Celebration

    Saturday, September 20, 2014
    11:00 a.m. - 1:00 p.m.

    Grad Club, Lower Level, Middlesex College, Western University
     

    Join Faculty of Science alumni, friends, family, faculty, staff and students at this popular annual event.

    This year's celebration will kick-off the 50th anniversary of the Department of Computer Science.

    Tickets are $5 per person (to be paid at the door), and include your lunch, non-alcoholic beverages and door prizes. Entertainment will be provided by Rick McGhie.

    There is always so much to do when you come home! For a full list of Homecoming activities and events, visit the website.

     

  • DSAS Professor Mark Reesor's work showcased in Globe and Mail (July 25, 2014)
Events Events
  • Colloquium (Thursday, October 02, 2014)
    Time: 3:30pm-4:30pm and Room: WSC 248
    Speaker: Dr. Marianito Rodrigo - University of Wollongong, New South Wales, Australia
    Title: Valuation of American options with general payoffs

    In this talk we consider the valuation of American options with general payoffs, which can be formulated as a free boundary problem for the Black-Scholes partial differential equation with time-varying parameters.

    We provide an analytical valuation formula, that is, an exact formula for the option price and an exact first-order ordinary differential equation for the optimal exercise boundary. As special cases, we give valuation formulas for the American put and call options. Although analytically intractable, the ordinary differential equation can easily be solved numerically. Numerical simulations yield excellent agreement with the results via the binomial method. Our approach makes use of the Mellin transform for the option price and the Laplace transform for the ordinary differential equation.

    This is joint work with Rogemar Mamon (Western University).

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