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Due to Covid-19, this research school could not take place in residence, as originally intended.
RESEARCH SCHOOL – ECOLE DE RECHERCHE
Quasi-Monte Carlo Methods and Applications
Méthodes quasi Monte-Carlo et applications

Dates: 2-6 November 2021


KEY WORDS
Risk Modeling, Computational Finance, Simulation Techniques
DESCRIPTION
The focus lies on applications in numerical integration, risk modelling, computational finance, simulation techniques, and computational geometry.

Speakers will introduce basic terminology and methods and then discuss fundamental applications.

The research school is open to advanced master students in mathematics, statistics, and computer science as well as to PhD students.

SCIENTIFIC COMMITTEE
ORGANIZING COMMITTEE

PRE-RECORDED MINI COURSES
​Quasi-Monte Carlo Methods and Applications: Introduction – VIDEO

​Optimizing dividends and capital injections limited by bankrupcy, and practical approximations for the Cramér-Lundberg process – VIDEO

​Two concrete FinTech applications of QMC – VIDEO

​Brief Introduction of Quasi-Monte Carlo Methods and their applications – VIDEO
​Stochastic Differential Equation – VIDEO

​Number sequences for simulation (Part 1) VIDEO
​Number sequences for simulation (Part 2)VIDEO
Derivative pricing: simulation from non-uniform distributions VIDEO

​PDMPs in risk theory and QMC integration
​Part 1: Risk theory: models and objectives – VIDEO
​Part 2: PDMPs and Integrals – VIDEO
​Part 3: Two case studies – VIDEO


LIVE TALKS & DISCUSSION SESSIONS
​​The coordinate sampler: a non-reversible Gibbs-like MCMC sampler – VIDEO


Probabilistic models for selfish blockchain mining
​​ – (NB: There is no recording of this talk.)

On the estimation of conditional quantiles (Part 1) – VIDEO
On the estimation of conditional quantiles (Part 2) – VIDEO
On the estimation of conditional quantiles (Part 3)- VIDEO