报 告 人： 廖仲威，北京师范大学 副教授

报告时间： 2025年6月16号18:30-19:30

报告地点：#腾讯会议：362-683-9628

报告摘要：

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.

报告人简介：

廖仲威，毕业于北京师范大学，曾先后工作于中山大学和华南师范大学，并于澳大利亚The University of Melbourne和加拿大Toronto Metropolitan University担任博士后/访问学者。现为北京师范大学文理学院数学系副教授。研究领域包括：随机过程稳定性；Lévy过程；马氏决策过程与最优化理论；Stein方法；金融数学；经济增长模型；不确定性度量等领域。主持国家自然科学基金，广东省基础与应用基础基金，广东省本科高校教学质量与教学改革工程建设等科研与教学项目多项。研究工作发表于《SIAM J. Control Optim.》,《J. Optim. Theory Appl.》,《J. Math. Econom.》,《J. Theoret. Probab.》,《Adv. Nonlinear Stud.》,《Internat. J. Control.》等期刊。