学术报告通知
报告题目:Multilevel Monte Carlo Method for Path-Dependent Barrer
Interest Rate Derivatives
报告人:薛军工(复旦大学数学科学学院教授)
报告时间:6月24日下午4:00
报告地点:数统院307
红世一足666814
2019.6.19
报告摘要:Building on the LIBORmarket models, this paper considers some path-dependent barrier interest ratederivatives whose barrier events are monitored at a set of reset dates. Amultilevel Monte Carlomethod is developed to compute their prices. Withincorporation of the conditioning on one-step survival technique, themultilevel estimator is carefully constructed such that the computational costfor theresulting multilevel algorithm to achieve an \epsilon root-mean-square-erroris O(\epsilon^-2).
报告人简介:薛军工,复旦大学数学科学学院教授,博士生导师,复旦大学数学科学学院副院长。德国洪堡基金获得者,入选“教育部新世纪优秀人才计划”、上海市浦江计划等,主要从事数值代数、排队论、随机微分方程数值解、计算金融等方向研究。成果主要发表在计算数学顶尖刊物Math. Comp., SIAM J. Matrix Anal. Appl., Numer. Math.以及运筹学重要刊物 INFORMS J. Computing、 QueueingSystem,、J Appl. Prob.上。