报告人：孙海卫（澳门大学）

报告时间：2025年7月5日（星期六）10:00-12:00    

报告地点：科技楼南楼706室

报告摘要：In this talk, we develop a fast Laplace transform method for solving a class of free-boundary fractional diffusion equations arising in the American option pricing. Instead of using the time stepping methods, we develop the Laplace transform method for solving the free-boundary fractional diffusion equations. By approximating the free boundary, the Laplace transform is taken on a fixed space region to replace discretizing the temporal variable. The hyperbola contour integral method is exploited to restore the option values. Meanwhile, the coefficient matrix has theoretically proven to be Toeplitz-like and sectorial. Therefore, the highly accurate approximation by the fast Laplace transform method is guaranteed. The numerical results confirm that the proposed method outperforms the full finite difference methods in regard to the accuracy and complexity

报告人简介：孙海卫，澳门大学数学系教授、博士生导师，1996年毕业于香港中文大学数学系获得博士学位。主要研究领域包括数值线性代数、偏微分方程数值解、和计算金融学等。在SISC，SINUM，SIMAX，JCP等计算数学杂志发表超过120篇高水平研究论文，担任过国际学术期刊EAJAM和IJCM编委于2018年获得澳门特区政府颁发的自然科学二等奖，在2019年第8届华人数学家大会(ICCM)作45分钟大会报告，共主持澳门科技发展基金6项。

邀请人：李东方