Multilevel Monte Carlo methods using approximate distributions

Nested expectations

Online seminar at CERFACS, April 14, 2021.

Multilevel Monte Carlo methods using approximate distributions

28th Biennial Conference on Numerical Analysis, Glasgow, June 28, 2019Financial risk estimation using nested MLMC and portfolio sub-sampling

ICIAM 2019, Valencia, July 19, 2019MLMC 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, 2018Multilevel Monte Carlo for Estimating Risk Measures

MCFG seminar, Oxford, June 1, 2018Multilevel Monte Carlo for ergodic SDEs without contractivity

MCQMC 2018, Rennes, July 3, 2018Multilevel Monte Carlo methods

LMS/CRISM Summer School in Computational Stochastics, University of Warwick, July 11, 2018Multilevel Monte Carlo methods

ICM 2018, Rio de Janeiro, August 3, 2018Two 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, 2017Using Multilevel Monte Carlo to estimate Expected Value of Partial Perfect Information

Seminar at Bristol University, January 20, 2017Multilevel Monte Carlo methods

Seminar at University of Manchester, March 15, 2017Multilevel Monte Carlo for VaR

Global Derivatives, Barcelona, May 10, 2017

Seminar at University of Pierre and Marie Curie, Paris, June 1, 2017Expected Value of Partial Perfect Information

IMACS Symposium on Monte Carlo Methods, Montreal, July 4, 2017Multilevel Monte Carlo methods

Symposium on Stochastic Analysis, Durham, July 11, 2017QMC and Thinning for Empirical Datasets

Workshop on QMC and High-Dimensional Sampling Methods, SAMSI, Durham NC, Aug 28-Sept 1, 2017QMC 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, 2016Multilevel Monte Carlo methods

Colloquium at TU Kaiserslautern, Jan 26, 2016MLMC for inaccurate SDE calculations

Rhein-Main Arbeitskreis, Frankfurt, Feb 5, 2016MLMC for reflected diffusions

MCFG internal seminar, March 4, 2016Multilevel Monte Carlo methods for finance

HPCFinance conference, London, March 14, 2016Adaptive timestepping for SDEs with non-globally Lipschitz drift

Seminar at Imperial College, March 22, 2016Multilevel Monte Carlo methods

MLMC for multi-dimensional reflected diffusions

SIAM Conference on Uncertainty Quantification, April 5-8, 2016Multilevel Monte Carlo methods

SIAM Student Conference, Oxford, April 27, 2016Adaptive timestepping for SDEs with non-globally Lipschitz drift

Workshop on Numerical Schemes for SDEs and SPDEs, Lille, June 2, 2016Two new MLMC applications

International Conference on Monte Carlo Techniques, Paris, July 7, 2016MLMC for multi-dimensional reflected Brownian diffusions

MCQMC'16, Stanford, August 15, 2016Multilevel Monte Carlo methods

ICES Seminar, UT Austin, November 15, 2016

Multilevel Monte Carlo methods

ETH Zurich, Feb 25, 2015Multilevel Monte Carlo methods

Seminar at Reading University, March 3, 2015Multilevel Simulation of Mean Exit Times

SIAM CSE conference, Salt Lake City, March 16, 2015Multilevel Monte Carlo methods

Multilevel Monte Carlo for the simulation of dilute polymers

London Probability Seminar, April 24, 2015Multilevel Monte Carlo methods

Global Derivatives, Amsterdam, May 19, 2015Multilevel Monte Carlo methods

BIRS workshop on Applied Probability Frontiers: Computational and Modeling Challenges, Banff, June 1-5, 2015Multilevel Monte Carlo methods

AR Mitchell Lecture, 26th Biennial Numerical Analysis Conference, Glasgow, June 23, 2015MLMC for Parabolic PDEs

IMACS Symposium on Monte Carlo Methods, Linz, July 6, 2015Multilevel 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, 2015Multilevel Monte Carlo method for SPDEs and PDEs with uncertain data

IMA Conference on Numerical Methods for Simulation, Oxford, Sept 1-4, 2015MLMC for reflected diffusions

SciCADE conference, Potsdam, Sept 14-18, 2015Ideas, 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, 2014Multilevel Monte Carlo methods

OMI internal seminar, April 30, 2014Application of multilevel Monte Carlo to the simulation of dilute polymers

Workshop on Stochastic and Multiscale Problems, Oxford, Sept 1-2, 2014Multilevel Monte Carlo methods

SPPEXA Workshop on Numerical Methods on High-Performance Computers, Heidelberg, Dec 1, 2014Multilevel 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, 2013From CFD to computational finance (and back again)

MIT Center for Computational Engineering, March 14, 2013Multilevel Monte Carlo methods

Caltech, California, May 21, 2013Monte Carlo for Uncertainty Quantification

Part of a Summer School on Computational Aspects of Uncertainty Quantification at KU Leuven, May 30-31, 2013Multilevel Monte Carlo for computing mean exit times

Fast evaluation of the inverse Poisson CDF

IMACS Seminar on Monte Carlo Methods, Annecy, July 15-19, 2013Monte 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, 2012Multilevel Monte Carlo methods

Numerical analysis of the multilevel Milstein discretisation

MCQMC12 conference, Sydney, Feb 13-17, 2012Multilevel estimation of a CDF or probability density

Workshop on Computational Stochastics, Annweiler am Trifels, March 26-30, 2012Adjoint 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, 2011Analysis of multilevel Milstein scheme without Lévy areas

FoCM 2011, Budapest, July 8-10, 2011Numerical analysis of multilevel Milstein scheme without Lévy areas

IMACS Seminar on Monte Carlo Methods, Borovets, Aug 29 - Sept 2, 2011Two 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, 2010From CFD to computational finance (and back again?)

Bill Morton's 80th birthday conference, Oxford University, May 29, 2010Multilevel Monte Carlo for elliptic SPDEs

Symposium on Numerical Analysis of Multiscale Problems, Durham, July 8, 2010Multilevel Monte Carlo for multi-dimensional SDEs

MCQMC10 conference, Warsaw, August 16-20, 2010Multilevel Monte Carlo method

EMG 2010, Isola d'Ischia, Italy, Sept 19-23, 2010Multilevel 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, 2009Multilevel Monte Carlo simulation

SPA 2009, Berlin, July 27, 2009Multilevel Monte Carlo simulation

Workshop on Computational Finance, Kyoto, August 11, 2009Research on Monte Carlo methods

Nomura, Tokyo, August 13, 2009Multilevel Monte Carlo path simulation

University of Trier, Sept 9, 2009Numerical analysis of multilevel Monte Carlo path simulation

IMACS seminar on Monte Carlo methods, Brussels, Sept 10, 2009Multilevel Monte Carlo for discontinuous payoffs

University of Warwick, Nov 6th, 2009From CFD to computational finance (and back again?)

Antony Jameson 75th birthday symposium, Princeton University, Nov 19-21, 2009Multilevel 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.