Quasi-Monte Carlo Methods and Applications (Chaire Morlet-Tichy)

RESEARCH SCHOOL GDAC
CIRM
https://www.chairejeanmorlet.com/2255.html

Date(s) : 02/11/2020 - 06/11/2020   iCal
0 h 00 min

​CIRM – Jean-Morlet Chair
Robert Tichy & Joël Rivat

Diophantine Problems: Determinism, Randomness, Applications

Problèmes diophantiens: Déterminisme, aléatoire, applications

VIRTUAL EVENT
RESEARCH SCHOOL

Quasi-Monte Carlo Methods and Applications (2255)
NB: This event will take place in a two formats. The first 3 days will be virtual featuring pre-recorded talks. The next 2 days will feature live talks and discussion sessions. Interested participants and designated speakers are requested to register, in order to receive all information to connect to the event.

 

 


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
MAIN GUEST SPEAKERS
  • Hansjoerg Albrecher (Université de Lausanne)
    Probabilistic models for selfish blockchain mining
  • Florin Avram (Université de Pau et des Pays de l’Adour)
    Optimizing dividends and limited capital injections via exponential approximations
  • Giray Ökten(Florida State University)​
    1. Number sequences for simulation
    2. Derivative pricing
  • Gerhard Larcher (JKU Linz)
    Two concrete FinTech applications of QMC
  • 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

Picture

Emplacement
CIRM, Luminy

Catégories



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