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
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
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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
Stochastic Differential Equation - 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
- Robert Tichy (TU Graz / Aix-Marseille Université)
Optimizing dividends and capital injections limited by bankrupcy, and practical approximations for the Cramér-Lundberg process - VIDEO
- Florin Avram (Université de Pau et des Pays de l'Adour)
- Gerhard Larcher (JKU Linz)
Stochastic Differential Equation - VIDEO
- Gunther Leobacher (KFU Graz)
Number sequences for simulation (Part 2) - VIDEO
Derivative pricing: simulation from non-uniform distributions - VIDEO
- Giray Ökten (Florida State University)
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
- Stefan Thonhauser (TU Graz)
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 2) - VIDEO
On the estimation of conditional quantiles (Part 3)- VIDEO
- Christian P. Robert (Université Paris-Dauphine)
Probabilistic models for selfish blockchain mining - (NB: There is no recording of this talk.)
- Hansjoerg Albrecher (Université de Lausanne)
On the estimation of conditional quantiles (Part 2) - VIDEO
On the estimation of conditional quantiles (Part 3)- VIDEO
- Véronique Maume-Deschamps (Université de Lyon 1)