L.F. Li

We develop a new method based on spectral analysis to solve optimal decision problems including optimal stopping, optimal switching and stochastic games, and first passage problems for a rich class of Markov diffusions, jump-diffusions and pure jump processes, which are building blocks for empirically realistic financial models. These problems arise in a variety of applications in financial engineering, including evaluating financial contracts with early exercise rights or/and with barriers, such as American-style options, barrier options, callable and puttable bonds and convertible bonds, and real options arising in commodity extraction, power generation, optimal investment or divestment timing, and other irreversible decisions.

Department of Systems Engineering and Engineering Management, CUHK