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报告人：陈恕行教授（复旦大学）题目： Mixed Type Equations in Gas Dynamics时间：2011年12月2日，星期五下午4：00—5：00地点：数学系致远楼107欢迎各位参加

报告人：陈增敬教授（山东大学）题目： 概率论的最新发展时间：2011年11月29日，星期二下午4：00—5：00地点：数学系致远楼107欢迎各位参加

报 告 人：王友德 教授（中国科学院数学与系统科学研究院）报告题目：Schrödinger KDV Geometric Flow报告时间：2011年11月23日（周三）下午4:00-5:00报告地点：致远楼107室欢迎广大师生参加！2011-11-2

题目：Kernel Smoothing for Nested Estimation withApplications in Portfolio Risk Measurement报告人：洪流 (L. Jeff Hong)单位：香港科技大学工业工程与物流管理系时间：11月3日下午3：30地点：同济大学数学系（致远楼）107室欢迎教师和研究生参

题目：集合竞价的股市交易实验研究报告人：王铎 教授单位：北京大学金融数学系，华南师范大学数学学院时间：10月27日下午3：30地点：数学系107室欢迎广大教师和研究生参

We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, that involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse grid approach, that turns out to be accurate and efficient. In addition we study the corresponding Monte Carlo simulation, which is fast since the distribution of the state variables can be calculated explicitly. The results obtained from both methodologies are compared to the analytical solution existing for bonds and caplets. Keywords: Cheyette Model, Gaussian HJM, Multi-Factor Model, PDE Valuation, Sparse Grid, Monte Carlo Simulation

报告人：尹景学教授（华南师范大学）题目： 渗流方程解的渐近复杂性时间：2011年10月21日，星期五下午4：00—5：00地点：数学系致远楼107欢迎各位参加

We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, that involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse grid approach, that turns out to be accurate and efficient. In addition we study the corresponding Monte Carlo simulation, which is fast since the distribution of the state variables can be calculated explicitly. The results obtained from both methodologies are compared to the analytical solution existing for bonds and caplets. Keywords: Cheyette Model, Gaussian HJM, Multi-Factor Model, PDE Valuation, Sparse Grid, Monte Carlo Simulation