報 告 人： 廖仲威，北京師范大學 副教授
報告時間： 2025年6月16號18:30-19:30
報告地點：#騰訊會議：362-683-9628
報告摘要：
This paper proposes a novel closed-form pricing framework for autocallable reverse convertible (ACRC) structured products by employing a complete path decomposition approach. In addition, we derive an analytical expression for the equilibrium coupon rate based on the principle of return risk fairness. Our method avoids the high computational cost and potential inaccuracies associated with Monte Carlo simulations, The resulting formulas are fully explicit with respect to key model parameters, including the risk-free interest rate, volatility, and knock-in/knock-out barriers, offering direct insight into the valuation and pricing of ACRCs. Furthermore, we conduct a comprehensive sensitivity analysis to quantitatively assess how variations in these parameters affect, both the ACRCs value and the equilibrium coupon rate, We also provide an in-depth discussion of the underlying economic and mathematical drivers. These findings offer both theoretical and practical guidance for understanding and managing risks associated with autocallable structures and for designing more effective hedging strategies.
報告人簡介：
廖仲威，畢業于北京師范大學，曾先后工作于中山大學和華南師范大學，并于澳大利亞The University of Melbourne和加拿大Toronto Metropolitan University擔任博士后/訪問學者。現為北京師范大學文理學院數學系副教授。研究領域包括：隨機過程穩定性；Lévy過程；馬氏決策過程與最優化理論；Stein方法；金融數學；經濟增長模型；不確定性度量等領域。主持國家自然科學基金，廣東省基礎與應用基礎基金，廣東省本科高校教學質量與教學改革工程建設等科研與教學項目多項。研究工作發表于《SIAM J. Control Optim.》,《J. Optim. Theory Appl.》,《J. Math. Econom.》,《J. Theoret. Probab.》,《Adv. Nonlinear Stud.》,《Internat. J. Control.》等期刊。
