SDE Numerical Analysis for Multilevel
Function Approximation
Workshop on Stochastic Numerics and Statistical Learning,
KAUST, May 30, 2024
Strong convergence of path sensitivities
Stochastic Numerics and Inverse Problems, online, June 19, 2024
Approximation of an inverse of the incomplete
beta function
International Congress on Mathematical Software, July 24, 2024
SDE Numerical Analysis for Multilevel Function Approximation
MCQMC'24, Waterloo, Canada, August 19-23, 2024
Optimisation of MLMC on FPGAs
International Seminar on Monte Carlo methods, online, Oct 8, 2024
An introduction to Multilevel Monte Carlo methods
Multilevel Monte Carlo methods: extra bits
UNSW masterclass, April 18, 2023
Multilevel Function Approximation
UNSW seminar, April 27, 2023
TU Munich seminar, June 22, 2023
Univ. Heidelberg seminar, July 3, 2023
Multilevel Function Approximation
FoCM (Foundations of Computational Mathematics), June 20, 2023
Multilevel Function Approximation
Dagstuhl seminar, August 28 - Sept 1, 2023
MLMC techniques for discontinuous functions
(Very limited) Progress on MATLAB and C/C++ implementations of an MLMC package
MCQMC 2022, July 18-22, 2022
Multilevel Monte Carlo methods using approximate distributions
Oden Institute seminar, UT Austin, September 13, 2022
MLMC techniques for discontinuous functions
RWTH Aachen UQ hybrid seminar series, November 8, 2022
Multilevel Monte Carlo methods
using approximate distributions
Nested expectations
Online seminar at CERFACS, April 14, 2021
MLMC for multi-dimensional reflected Brownian diffusions
MCM 21, August 17, 2021
MLMC tricks for discontinuous functionals
MCM 21, August 18, 2021
Multilevel Monte Carlo methods for financial applications
NAG Webinar, November 17, 2021
Multilevel Monte Carlo methods
using approximate distributions
28th Biennial Conference on Numerical Analysis, Glasgow, June 28, 2019
Financial risk estimation using nested MLMC and
portfolio sub-sampling
ICIAM 2019, Valencia, July 19, 2019
MLMC methods using approximate distributions
Algorithms and Complexity for Continuous Problems, Dagstuhl, Germany, August 23, 2019
Multilevel Monte Carlo for VaR
Seminar at BAML, London, March 19, 2018
Multilevel Monte Carlo for Estimating Risk Measures
MCFG seminar, Oxford, June 1, 2018
Multilevel Monte Carlo for ergodic SDEs without contractivity
MCQMC 2018, Rennes, July 3, 2018
Multilevel Monte Carlo methods
LMS/CRISM Summer School in Computational Stochastics,
University of Warwick, July 11, 2018
Multilevel Monte Carlo methods
ICM 2018, Rio de Janeiro, August 3, 2018
Two new developments in Multilevel Monte Carlo methods
Rob Scheichl's farewell conference, Bath, November 13, 2018
Multilevel Monte Carlo for VaR
Conference on Advances in Financial Mathematics, Paris, January 12, 2017
Using Multilevel Monte Carlo to estimate
Expected Value of Partial Perfect Information
Seminar at Bristol University, January 20, 2017
Multilevel Monte Carlo methods
Seminar at University of Manchester, March 15, 2017
Multilevel Monte Carlo for VaR
Global Derivatives, Barcelona, May 10, 2017
Seminar at University of Pierre and Marie Curie, Paris, June 1, 2017
Expected Value of Partial Perfect Information
IMACS Symposium on Monte Carlo Methods, Montreal, July 4, 2017
Multilevel Monte Carlo methods
Symposium on Stochastic Analysis, Durham, July 11, 2017
QMC and Thinning for Empirical Datasets
Workshop on QMC and High-Dimensional Sampling Methods, SAMSI,
Durham NC, Aug 28-Sept 1, 2017
QMC and Thinning for Empirical Datasets
Workshop on Tractability of High Dimensional Problems and Discrepancy,
ESI, Vienna, Sept 25-29, 2017
New directions with Multilevel Monte Carlo methods
Bath/RAL Numerical Analysis Day, Jan 11, 2016
Multilevel Monte Carlo methods
Colloquium at TU Kaiserslautern, Jan 26, 2016
MLMC for inaccurate SDE calculations
Rhein-Main Arbeitskreis, Frankfurt, Feb 5, 2016
MLMC for reflected diffusions
MCFG internal seminar, March 4, 2016
Multilevel Monte Carlo methods for finance
HPCFinance conference, London, March 14, 2016
Adaptive timestepping for SDEs with non-globally Lipschitz drift
Seminar at Imperial College, March 22, 2016
Multilevel Monte Carlo methods
MLMC for multi-dimensional reflected diffusions
SIAM Conference on Uncertainty Quantification, April 5-8, 2016
Multilevel Monte Carlo methods
SIAM Student Conference, Oxford, April 27, 2016
Adaptive timestepping for SDEs with non-globally Lipschitz drift
Workshop on Numerical Schemes for SDEs and SPDEs, Lille, June 2, 2016
Two new MLMC applications
International Conference on Monte Carlo Techniques, Paris, July 7, 2016
MLMC for multi-dimensional reflected Brownian diffusions
MCQMC'16, Stanford, August 15, 2016
Multilevel Monte Carlo methods
ICES Seminar, UT Austin, November 15, 2016
Multilevel Monte Carlo methods
ETH Zurich, Feb 25, 2015
Multilevel Monte Carlo methods
Seminar at Reading University, March 3, 2015
Multilevel Simulation of Mean Exit Times
SIAM CSE conference, Salt Lake City, March 16, 2015
Multilevel Monte Carlo methods
Multilevel Monte Carlo for the simulation of dilute polymers
London Probability Seminar, April 24, 2015
Multilevel Monte Carlo methods
Global Derivatives, Amsterdam, May 19, 2015
Multilevel Monte Carlo methods
BIRS workshop on Applied Probability Frontiers: Computational and
Modeling Challenges, Banff, June 1-5, 2015
Multilevel Monte Carlo methods
AR Mitchell Lecture, 26th Biennial Numerical Analysis Conference, Glasgow, June 23, 2015
MLMC for Parabolic PDEs
IMACS Symposium on Monte Carlo Methods, Linz, July 6, 2015
Multilevel Monte Carlo for PDE solutions
based on Feynman-Kac theorem
Multilevel quasi-Monte Carlo path simulation
Multilevel Monte Carlo method
for SPDEs and PDEs with uncertain data
ICIAM 2015, Beijing, August 10-14, 2015
Multilevel Monte Carlo method
for SPDEs and PDEs with uncertain data
IMA Conference on Numerical Methods for Simulation, Oxford,
Sept 1-4, 2015
MLMC for reflected diffusions
SciCADE conference, Potsdam, Sept 14-18, 2015
Ideas, tricks and techniques
for reduced MLMC variance
BIRS workshop on Approximation of High-Dimensional Numerical
Problems, Banff, Sept 27-Oct 2, 2015
Multilevel Monte Carlo methods (tutorial)
Optimal selection of levels for multilevel Monte Carlo
MCQMC14 conference, Leuven, April 6-11, 2014
Multilevel Monte Carlo methods
OMI internal seminar, April 30, 2014
Application of multilevel Monte Carlo
to the simulation of dilute polymers
Workshop on Stochastic and Multiscale Problems, Oxford, Sept 1-2, 2014
Multilevel Monte Carlo methods
SPPEXA Workshop on Numerical Methods on High-Performance Computers,
Heidelberg, Dec 1, 2014
Multilevel Monte Carlo
for the simulation of dilute polymers
FoCM'14 workshop on Stochastic Computation, Montevideo, Dec 18, 2014
Multilevel Monte Carlo methods
Tata Institute of Fundamental Research, Bangalore, Jan 4, 2013
From CFD to computational finance (and back again)
MIT Center for Computational Engineering, March 14, 2013
Multilevel Monte Carlo methods
Caltech, California, May 21, 2013
Monte Carlo for Uncertainty Quantification
Part of a
Summer School on Computational Aspects of Uncertainty Quantification
at KU Leuven, May 30-31, 2013
Multilevel Monte Carlo for computing
mean exit times
Fast evaluation of the inverse Poisson CDF
IMACS Seminar on Monte Carlo Methods, Annecy, July 15-19, 2013
Monte Carlo for Uncertainty Quantification:
Lecture 1: Introduction and Monte Carlo basics
Lecture 2: Variance reduction
Lecture 3: Multilevel Monte Carlo
Part of an ERCOFTAC Short Course on
Mathematical Methods and Tools in Uncertainty Management and Quantification
in Paris, October 24-25, 2013
Multilevel Monte Carlo methods
Seminar at Imperial College, Jan 17, 2012
Multilevel Monte Carlo methods
Numerical analysis of the multilevel Milstein discretisation
MCQMC12 conference, Sydney, Feb 13-17, 2012
Multilevel estimation of a CDF or probability density
Workshop on Computational Stochastics, Annweiler am Trifels, March 26-30, 2012
Adjoint methods for option pricing, Greeks and calibration using PDEs and SDEs
Lecture in Paris, April 13, 2012
Multilevel Monte Carlo method
EMMaPS workshop on Stochastic Models and Numerical Methods,
University of Leicester, May 11, 2011
Analysis of multilevel Milstein scheme
without Lévy areas
FoCM 2011, Budapest, July 8-10, 2011
Numerical analysis of multilevel Milstein
scheme without Lévy areas
IMACS Seminar on Monte Carlo Methods, Borovets, Aug 29 - Sept 2, 2011
Two SPDE applications using multilevel
Monte Carlo
NIM11 Workshop on Rough Paths and Numerical Integration Methods,
Marburg, Sept 21-23, 2011
Progress with multilevel Monte Carlo methods
Fields Institute Workshop on Computational Methods in Finance, Toronto, March 22-24, 2010
From CFD to computational finance (and back again?)
Bill Morton's 80th birthday conference, Oxford University, May 29, 2010
Multilevel Monte Carlo for elliptic SPDEs
Symposium on Numerical Analysis of Multiscale Problems, Durham, July 8, 2010
Multilevel Monte Carlo for multi-dimensional SDEs
MCQMC10 conference, Warsaw, August 16-20, 2010
Multilevel Monte Carlo method
EMG 2010, Isola d'Ischia, Italy, Sept 19-23, 2010
Multilevel Monte Carlo for multi-dimensional SDEs
SIAM Conference on Financial Mathematics and Engineering, San Francisco, Nov 19-20, 2010
Multilevel Monte Carlo path simulation
Global Derivatives 2009, April 28, 2009
Multilevel Monte Carlo simulation
SPA 2009, Berlin, July 27, 2009
Multilevel Monte Carlo simulation
Workshop on Computational Finance, Kyoto, August 11, 2009
Research on Monte Carlo methods
Nomura, Tokyo, August 13, 2009
Multilevel Monte Carlo path simulation
University of Trier, Sept 9, 2009
Numerical analysis of multilevel Monte Carlo path simulation
IMACS seminar on Monte Carlo methods, Brussels, Sept 10, 2009
Multilevel Monte Carlo for discontinuous payoffs
University of Warwick, Nov 6th, 2009
From CFD to computational finance (and back again?)
Antony Jameson 75th birthday symposium, Princeton University, Nov 19-21, 2009
Multilevel Monte Carlo for basket options
Winter Simulation Conference, Austin, Texas, Dec 13-15, 2009
Multilevel Monte Carlo path simulation
Mathematics Colloquium, TU Darmstadt, May 7, 2008.
Vibrato Monte Carlo evaluation of Greeks
MCQMC08 conference, Montreal, July 7-11, 2008.
Multilevel Monte Carlo for discontinuous payoffs
CTAC'08 conference, Canberra, July 14-16, 2008.
Multilevel Monte Carlo path simulation
DqF workshop on Stochastic Differential Equations: Models and Numerics,
KTH, Stockholm, October 20-22, 2008.
Smoking adjoints, part II: fast Monte Carlo Greeks
Quant Congress '08, London, Nov 5-6, 2008.
Multilevel Monte Carlo path simulation
Workshop on Stochastic Computational Methods, RICAM, Linz, Nov 17-21, 2008
Multilevel Monte Carlo path simulation
First IMA Conference on Computational Finance, March 23, 2007.
Multilevel quasi-Monte Carlo method
RISK 07, London, June 11-14, 2007.
Multilevel quasi-Monte Carlo path simulation
Computational Methods in Finance conference, University of Waterloo, July 26-27, 2007.
Monte Carlo evaluation of sensitivities in
computational finance
HERCMA 2007 conference, Athens, Sept 20-22, 2007.
Multilevel Monte Carlo path simulation
Monte Carlo estimation of Greeks
lectures at Columbia University, New York, Oct 29, 2007.
Multilevel Monte Carlo path simulation
Numerics for Finance workshop, Frankfurt, Nov 5-6, 2007.
Multilevel quasi-Monte Carlo method
Quant Congress Europe, London, Nov 14-15, 2007.
Fast calculation of Greeks by
Monte Carlo using adjoint methods
OCCF seminar, London, Jan 28, 2006.
Multilevel Monte Carlo analysis
Numerical Methods for Finance conference, Dublin, June 7-9, 2006.
Variance reduction through multilevel Monte Carlo
path calculations
MCQMC06 conference, Ulm, August 14-18, 2006.
Multilevel Monte Carlo path simulation
15th Scottish Computational Mathematics Symposium, Sept 14, 2006.
Multilevel Monte Carlo path simulation
seminar at University of Strathclyde, Nov 15, 2006.
Fast calculation of Greeks by
Monte Carlo using adjoint methods
Quant Congress Europe, London, Oct 31 - Nov 1, 2005.
Quant Congress USA, New York, Nov 8-9, 2005.
AD in Monte Carlo for finance
European workshop on Automatic Differentiation, Shrivenham, Nov 17-18, 2005.