Academic Report of School of Mathematical Sciences [2025] No. 134

(Series Report for High-Level University Construction No. 1236)

Title: Exact Simulation of the Non-Affine Stochastic Volatility Models

Speaker: Associate Professor Jiang Pingping (Soochow University)

Time: 10:30–11:30, November 24, 2025 (Monday)

Location: Room 2433, Huiwen Building, Yuehai Campus, Shenzhen University

Abstract:

We investigate the analytical solvability of non-affine stochastic volatility (SV) models by deriving the conditional moment generating function of the log-asset price. The model nests several well-known SV models, including the GARCH SV model, the XGBM SV model, the Hull-White SV model, and the SABR SV model. We then combine our theoretical results with the Hilbert transform method, various interpolation techniques, and a dimension reduction technique to propose exact simulation schemes for non-affine SV models. Numerical results demonstrate that our approach maintains high accuracy and enables efficient pricing for both path-independent and path-dependent options.

Speaker Biography:

Jiang Pingping is an Associate Professor and Master's Supervisor at the Financial Engineering Research Center of Soochow University. She received her Ph.D. in Science from Nankai University, participated in a joint Ph.D. program at the University of Illinois, USA, and conducted postdoctoral research at the School of Management and Economics, The Chinese University of Hong Kong (Shenzhen). Her research interests include financial engineering, stochastic models, derivative pricing, and simulation computation. She has published multiple papers in academic journals such as Mathematical Finance and Stochastic and Dynamics. She has presided over one Young Scientists Fund project of the National Natural Science Foundation of China and one project from the China Postdoctoral Science Foundation, and has participated as a key member in one General Program of the National Natural Science Foundation of China.

All faculty and students are welcome!

Host: Li Jingchao

School of Mathematical Sciences

November 24, 2025