{"43883":{"#nid":"43883","#data":{"type":"event","title":"Faculty Candidate Seminar:  Ning Cai","body":[{"value":"\u003Cp\u003E\u003Cem\u003EJump Diffusion Processes in Financial Modeling\u003C\/em\u003E: The talk includes two parts. The first part is about a hyper-exponential jump diffusion model for option pricing. The main objective is to extend the analytical tractability of the Black-Scholes model to alternative models with jumps, no matter whether the jump sizes have exponential-type tails or power-type tails. More precisely, we study a jump diffusion model for asset prices whose jump sizes are hyper-exponentially distributed. The hyper-exponential distribution can approximate most heavy-tail distributions as closely as possible, including both power- and exponential-type distributions. We demonstrate the hyper-exponential jump diffusion model can lead to analytical solutions for popular path-dependent options such as lookback, barrier, quantile, and perpetual American options. Numerical examples indicate that the formulae are easy to implement and accurate. These analytical solutions are made possible mainly because we solve several high-order integro-differential equations explicitly related to first passage time problems and optimal stopping problems.\n\u003C\/p\u003E\n\u003Cp\u003EIn the second part, we propose a two-factor equilibrium model for electricity spot and futures prices. Not only does our model capture features such as spikes and seasonality, but it also has some other properties. First, it can incorporate oligopoly. Second, the spot prices have infinite expectations, but the futures prices have finite expectations. \n\u003C\/p\u003E\n\u003Cp\u003E\u003Cstrong\u003ECai\u0027s Research Interests\u003C\/strong\u003E\u003Cbr \/\u003E\n\u003Cem\u003EFinancial Engineering\u003C\/em\u003E\u003Cbr \/\u003E\n  -Asset pricing, electricity derivatives pricing, computational finance\u003Cbr \/\u003E\n  -Jump diffusion models for asset pricing, modeling electricity market\u003Cbr \/\u003E\n  -Numerical inversion of Laplace transform\u003Cbr \/\u003E\n\u003Cem\u003EApplied Probability in Operations Research and Finance \u003C\/em\u003E\n\u003C\/p\u003E\n\u003Cp\u003E\u003Cstrong\u003EEducation\u003C\/strong\u003E\u003Cbr \/\u003E\n2008 (Expected) Ph.D. in Operations Research, Columbia University, New York, NY\u003Cbr \/\u003E\nAdvisor: Steven Kou\u003Cbr \/\u003E\n2005 M.S. in Operations Research, Columbia University, New York, NY\u003Cbr \/\u003E\n2003 M.S. in Probability and Statistics, Peking University, Beijing, P. R. China\u003Cbr \/\u003E\n2000 B.S. in Probability and Statistics, Peking University, Beijing, P. R. China\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"Stewart School of ISyE is having a faculty candidate seminar on Thursday, February 21 at 11:00 AM featuring Ning Cai.  Cai is completing his Ph.D. in Operations Research at Columbia University in New York, expected completion in 2008.","format":"limited_html"}],"field_summary_sentence":[{"value":"Faculty Candidate Seminar:  Ning Cai"}],"uid":"27216","created_gmt":"2009-10-12 21:20:39","changed_gmt":"2016-10-08 01:47:58","author":"Ruth Gregory","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2008-02-21T10:00:00-05:00","event_time_end":"2008-02-21T11:00:00-05:00","event_time_end_last":"2008-02-21T11:00:00-05:00","gmt_time_start":"2008-02-21 15:00:00","gmt_time_end":"2008-02-21 16:00:00","gmt_time_end_last":"2008-02-21 16:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"related_links":[{"url":"http:\/\/www.columbia.edu\/~nc2118\/","title":"Home Page for Ning Cai"}],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[{"id":"6040","name":"Ning Cai"},{"id":"167200","name":"Stewart School faculty candidate seminar"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cstrong\u003EJennifer  Harris\u003C\/strong\u003E\u003Cbr \/\u003EISyE\u003Cbr \/\u003E\u003Ca href=\u0022mailto:jharris@isye.gatech.edu\u0022\u003EContact Jennifer  Harris\u003C\/a\u003E\u003Cbr \/\u003E\u003Cstrong\u003E404-894-2300\u003C\/strong\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}