MS-Tu-E-31
Improving convergence of (quasi-)Monte Carlo in financial engineering applications

Date: August 11
Time: 16:00--18:00
Room: 405

(Note: Click title to show the abstract.)

Organizer:
Baldeaux, Jan (Danske Bank)
Reisinger, Christoph (Oxford Univ.)

Abstract: The talks in this mini-symposium shown how Monte Carlo methods can be improved to achieve better accuracy in financial applications. The techniques discussed involve a combination of multilevel simulation, quasi-Monte Carlo samples, variable transformations to deal with discontinuities, and hybrid methods.


MS-Tu-E-31-1
16:00--16:30
Multilevel quasi-Monte Carlo path simulation
Giles, Michael (Univ. of Oxford)


MS-Tu-E-31-2
16:30--17:00
Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries
Jentzen, Arnulf (ETH Zurich)


MS-Tu-E-31-3
17:00--17:30
Simulation of SDEs with discontinuous drift
Leobacher, Gunther (Johannes Kepler Univ. Linz)


MS-Tu-E-31-4
17:30--18:00
Variance reduction via simulation of analytic conditional expectations
Reisinger, Christoph (Oxford Univ.)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA