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

报告人:薛军工  教授(复旦大学数学科学学院)


时间:2019年4月26日(星期五) 10:30



摘要:Building on the LIBOR market models, this talk considers some path-dependent barrier interest rate derivatives whose barrier events are monitored at a set of reset dates. A multilevel Monte Carlo method 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-error is O(\epsilon^-2).


邀请人:郭朕臣  老师