报告人：吴平 

报告题目：Pricing Interest Rate Exotic Products 

报告摘要 

How to price interest rate exotic products is a very popular topic in the industry and academic. LIBOR Market Model is a very popular model which is widely used in industry to price interest rate exotic products. In this presentation, we will discuss how to implement and calibrate the multi-factor LIBOR market model and use Longstaff-Schwartz Monte Carlo (LSMC) method to price interest rate exotic products such as Bermudan swaption. The numerical results show the LCMC method to price Bermudan swaption is robust and convergent. 

吴平简介 

PHD，加拿大蒙特利尔银行模型风险部高级研究员，York University兼职教授，南京信息工程大学非全时教授。吴平教授毕业于McMaster University金融数学专业，目前领导研究团队主要负责蒙特利尔银行资本市场金融衍生产品风险评估和风险控制。吴平教授长期以来一直与国际金融数学权威Robert J. Elliott教授合作，在国际著名期刊共同发表了多篇高水准研究论文。 

时间：2016年9月12日 14:00-15:30 

地点： 尚贤楼108报告厅 

欢迎大家踊跃参加！ 

数学与统计学院 

2016年9月9日