​报告人：薛军工 教授

报告题目：Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model

报告时间：2026年5月14日（周四）下午4：00

报告地点：云龙校区6号楼304报告厅

主办单位：数学与统计学院、数学研究院、科学技术研究院

报告人简介：

薛军工, 男, 1968年生于上海, 1996年于复旦大学获理学博士学位,专业为计算数学, 目前为复旦大学数学科学学院教授, 博士生导师. 主要研究方向为计算金融、数值代数和排队论. 1998年获德国洪堡基金, 2004年入选教育部新世纪优秀人才支持计划,2006年入选上海市浦江计划. 在计算数学、金融数学和运筹学等领域国际上有影响的杂志, 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.等发表多篇论文.

报告摘要：

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.