?報告人：薛軍工 教授
報告題目：Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
報告時間：2026年5月14日（周四）下午4：00
報告地點：云龍校區6號樓304報告廳
主辦單位：數學與統計學院、數學研究院、科學技術研究院
報告人簡介：
薛軍工, 男, 1968年生于上海, 1996年于復旦大學獲理學博士學位,專業為計算數學, 目前為復旦大學數學科學學院教授, 博士生導師. 主要研究方向為計算金融、數值代數和排隊論. 1998年獲德國洪堡基金, 2004年入選教育部新世紀優秀人才支持計劃,2006年入選上海市浦江計劃. 在計算數學、金融數學和運籌學等領域國際上有影響的雜志, 如 Numer. Math., Math. Comp., SIAM Finan. Math, SIAM J. Matrix Anal. Appl. , IMA Numer. Anal., Quantitative Finance, INFORMS J. Computing, Queueing System, J. Appl. Prob.等發表多篇論文.
報告摘要：
Based on the conditional on one-step survival technique, in this paper we design a path-wise differentiation method to compute the first-order Greeks of multi-asset worst-of-all autocallables. The resulting estimators are unbiased and a number of Greeks can be computed simultaneously with common sampled paths. Taking advantage of the payoff structure and some special structures of involved matrices, we carry out the path-wise differentiation in a backward manner, which significantly reduces the running time of the method. The estimators resulting from the path-wise differentiation method are not limited to the computation of the first-order Greeks, we also use them to compute the second-order Greeks by taking finite difference of them. Numerical examples are presented to demonstrate the efficiency of the proposed methods.