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

地点：西大楼108

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