主题：“数学与金融”讲坛系列讲座

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4月19日星期五 10:30-11:30

报告地点：知新楼B-1238

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. 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 root-mean-square-error is O(n^-2).

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