October - 2019
M T W T F S S
  01 02 03 04 05 06
07 08 09 10 11 12 13
14 16 17 18 19 20
21 22 23 24 25 26 27
28 29 30 31  

Péter Medvegyev

is an associate professor at the Department of Mathematics, Corvinus University of Budapest. After graduating at the Budapest University of Economics in 1977 Péter Medvegyev became a researcher at the Planning Office and in National Centre of Managers (Országos Vezetőképző Központ) from 1979 to 1993. In 1993, he joined to the Department of Mathematics. His main interests are Stochastic Analysis and Financial Mathematics. Previously, he analysed the mathematical aspects of general equilibrium theory. He is an author of several books in mathematics, such as Stochastic Integration Theory and Probability Theory.

Personal webpage

Ákos Horváth

has a BA in Finance and Accounting from the Corvinus University. After working for Morgan Stanley as an Equity Derivative Analyst, he earned an MSc in Finance and an MSc in Actuarial and Financial Mathematics from the Corvinus University. Currently, he is doing a PhD in Finance at the Vienna Graduate School of Finance.

Back to speakers

Calculation of Asian option prices, twenty years after

In the lecture we will discuss the numerical problems of the calculation of Asian options. The basic question is that what type of methods one can use to calculate the option price. There are two types of methods: The simulation and the inversion of the Laplace transform. The basic question is that is there any development in the last twenty years based on the software and hardware development of these period.

Last modified: 2018.11.30.