报告题目：Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives

报 告 人：薛军工教授（复旦大学）

报告时间：2019年6月24日  16:00

报告地点：数统院307学术报告厅

报告摘要：

Building on the LIBOR market models, this paper considers some path-dependent barrier interest rate derivatives whose barrier events are monitored at a set of reset dates. Amultilevel Monte Carlomethod is developed to compute their prices. With incorporation of the conditioning on one-step survival technique, the multilevel estimator is carefully constructed such that the computational cost for the resulting 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。