RESEARCH SCHOOL - ECOLE DE RECHERCHE
Quasi-Monte Carlo Methods and Applications (2255)
​Méthode de quasi-Monte Carlo et applications
NEW DATES: 2-6 NOVEMBER 2020
Place: CIRM (Marseille Luminy, France)

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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.
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In particular, the following speakers will give survey lectures:

• Hansjörg Albrecher (Université de Lausanne)
• Gerhard Larcher (JKU Linz)
• Véronique Maume-Deschamps (Université de Lyon 1)

SCIENTIFIC COMMITTEE

• Hansjoerg Albrecher (Université de Lausanne)
• Gunther Leobacher (University of Graz)
• Giray Ökten (Florida State University)

ORGANIZING COMMITTEE

• Joël Rivat (Aix-Marseille Université)
• Stefan Thonhauser (TU Graz)
• ​Robert Tichy (TU Graz / Aix-Marseille Université)

TENTATIVE MAIN GUEST SPEAKERS

• Hansjoerg Albrecher (Université de Lausanne)
  Probabilistic models for selfish blockchain mining
  
• Giray Ökten (Florida State University)​
  1. Number sequences for simulation
  2. Derivative pricing
  
• Frances Kuo (UNSW Sydney)
• Gerhard Larcher (JKU Linz)
• Gunther Leobacher (University of Graz)
  Simulation of stochastic differential equations with regular and irregular coefficients
• Véronique Maume-Deschamps (Université de Lyon 1)
  On the estimation of conditional quantiles
• Stefan Thonhauser (TU Graz)
  PDMPs in risk theory and QMC integration

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