International Conference on Monte Carlo techniques
Closing conference of thematic cycle

Paris July 5-8th 2016 
Campus les cordeliers
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Planning (including Slides) (Update: July 14th)

Tuesday, July 5, 2016

Time Event  
9:00 am - 10:00 am Coffee welcome (Room Marie Curie)  
10:00 am - 10:50 am Plenary talk: Peter Glynn (Amphiteater Pasquier) - Chair: Gilles Pages  
10:00 - 10:50 › Recent Developments in Randomized MLMC - Peter Glynn, Stanford University  
10:50 am - 11:40 am Plenary talk: Tong Zhang (Amphiteater Pasquier) - Chair: Gilles Pages  
10:50 - 11:40 › Monte Carlo Techniques in Modern Stochastic Optimization for Big Data Machine Learning - Tong Zhang, Rutgers University  
11:40 am - 11:55 am Break  
11:55 am - 12:45 pm Plenary talk: Bruno Tuffin (Amphiteater Pasquier) - Chair: Stefano De Marco  
11:55 - 12:45 › Some applications of importance sampling to dependability analysis - Bruno Tuffin, Inria  
12:45 pm - 2:45 pm Lunch (buffet for registered participants) (Room Marie Curie)  
2:45 pm - 4:15 pm Unbiased simulation of SDEs (Amphiteater Pasquier) - Organizer: Aurélien Alfonsi  
14:45 - 15:15 › A stochastic parametrix method - Vlad Bally, Université Paris-Est Marne-la-Vallée  
15:15 - 15:45 › Unbiased simulation of stochastic differential equations using parametrix expansions - Patrik Andersson, Uppsala University  
15:45 - 16:15 › Unbiased simulation of stochastic differential equations - Xiaolu Tan, Ceremade Univ. Paris-Dauphine  
2:45 pm - 4:15 pm Particle methods (Amphiteater Roussy) - Organizer: Robin Ryder  
14:45 - 15:15 › Anytime Monte Carlo - Lawrence Murray, Department of Statistics, University of Oxford  
15:15 - 15:45 › On the two-filter approximations of marginal smoothing distributions in general state space models - Sylvain Le Corff, Laboratoire de Mathématiques d'Orsay, Univ. Paris-Sud, CNRS, Université Paris-Saclay.  
15:45 - 16:15 › Variance estimation in the particle filter - Nick Whiteley, University of Bristol  
4:15 pm - 4:45 pm Refreshment (Room Marie Curie)  
4:45 pm - 6:15 pm Quasi Monte-Carlo (Amphiteater Pasquier) - Organizer: Nicolas Chopin  
16:45 - 17:15 › Hermite spaces and QMC methods in quantitative finance - Leobacher Gunther, Johannes Kepler University Linz  
17:15 - 17:45 › Fast QMC matrix vector multiplication in option pricing - Josef Dick, The University of New South Wales  
17:45 - 18:15 › Sequential quasi-Monte Carlo - Nicolas Chopin, ENSAE  
4:45 pm - 6:15 pm Model risk and uncertainty (Amphiteater Roussy) - Organizer: Claude Martini  
16:45 - 17:15 › Volatility derivatives and model-free implied leverage - Masaaki Fukasawa, Osaka University  
17:15 - 17:45 › Consistency and model uncertainty in affine interest rate models - Philipp Harms, Freiburg University  
17:45 - 18:15 › Kriging of financial term-structures - Areski Cousin, Institut des Science Financière et d'Assurances  

Wednesday, July 6, 2016

Time Event  
9:00 am - 9:50 am Plenary talk: Terry Lyons (Amphiteater Pasquier) - Chair: Francois Delarue  
09:00 - 09:50 › Making high order methods effective - Terry Lyons, Mathematical Institute [Oxford]  
9:50 am - 10:40 am Plenary talk: Jean-François Chassagneux (Amphiteater Pasquier) - Chair: Francois Delarue  
09:50 - 10:40 › Numerical solution of the master equation arising in large population stochastic control - Jean-François Chassagneux, Laboratoire de Probabilités et Modèles Aléatoires  
10:40 am - 11:10 am Coffee break (Room Marie Curie)  
11:10 am - 12:00 pm Plenary talk: Michael Ludkovski (Amphiteater Pasquier) - Chair: Peter Tankov  
11:10 - 12:00 › Stochastic Kriging for Bermudan Option Pricing - Michael Ludkovski, UC Santa Barbara  
12:00 pm - 2:30 pm Lunch (buffet for registered participants) (Room Marie Curie)  
1:30 pm - 2:30 pm Poster session (Room Marie Curie)  
13:30 - 14:30 › A Study of the Application of Chaos to the Global Optimization. - Tayeb HAMAIZIA, Département de Mathématiques, Université des Frères Mentouri Constantine 1  
13:30 - 14:30 › Hamiltonian Monte Carlo sampling for Wishart distributions with eigenvalue constraints - Alexander Buchholz, Centre de Recherche en Économie et Statistique  
13:30 - 14:30 › Heterogeneous Risk Preferences in Financial Markets - Tyler ABBOT, Sciences Po Paris - Institut d'études politiques de Paris  
13:30 - 14:30 › Improved adaptive Multilevel Monte Carlo and applications to finance - Kaouther Hadji, University of Paris 13  
13:30 - 14:30 › Parareal methods and applications in finance - Guillaume SALL, Laboratoire Probabilités et Modèles Aléatoires  
2:30 pm - 4:00 pm Simulation of BSDEs (Amphiteater Pasquier) - Organizer: Plamen Turkedjiev  
14:30 - 15:00 › Simulation of BSDEs with jumps by Wiener chaos expansion - Céline Labart, Laboratoire de Mathématiques  
15:00 - 15:30 › Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations - Plamen Turkedjiev, King's College London  
15:30 - 16:00 › Numerical approximation of switching problems - Adrien Richou, Institut de Mathématiques de Bordeaux  
2:30 pm - 4:00 pm Simulation of stochastic graphs and applications (Amphiteater Roussy) - Organizer: Florent Benaych-Georges  
14:30 - 15:00 › Community Detection with the Non-Backtracking Operator - Marc Lelarge, Inria  
15:00 - 15:30 › Default Cascades in Inhomogeneous Financial Networks - Hamed Amini, University of Miami  
15:30 - 16:00 › Optimal Control for financial system with default contagion - Agnes Sulem, MATHRISK  
4:00 pm - 4:30 pm Refreshment (Room Marie Curie)  
4:30 pm - 6:00 pm HPC and GPU (Amphiteater Pasquier) - Organizer: Lokmane Abbas-Turki  
16:30 - 17:00 › Resolution of a large number of small random symmetric linear systems in single precision arithmetic on GPUs - Stef Graillat, Université Pierre et Marie Curie - LIP6  
17:00 - 17:30 › Stratified Nested Regression Monte-Carlo scheme with large scale parallelization - Emmanuel Gobet, Ecole Polytechnique  
17:30 - 18:00 › Toward a benchmark GPU platform to simulate XVA - Babacar Diallo, INRIA  
4:30 pm - 6:00 pm Optimal trading (Amphiteater Roussy) - Organizer: Sophie Laruelle  
16:30 - 17:00 › Probability of Fill Estimation Using Trading Signals - Aymen JEDIDI, HSBC  
17:00 - 17:30 › Optimal Execution with Statistical Learning - Sophie LARUELLE, Laboratoire d'Analyse et de Mathématiques Appliquées, Centre de Mathématiques Appliquées - Ecole Polytechnique  
17:30 - 18:00 › Quants at work: testing prototypes via Monte Carlo simulations - Mauricio Labadie, Credit Suisse  

Thursday, July 7, 2016

Time Event  
9:00 am - 9:50 am Plenary talk: Michael Giles (Amphiteater Pasquier) - Chair: Benjamin Jourdain  
09:00 - 09:50 › Two new MLMC applications - Michael Giles, University of Oxford  
9:50 am - 10:40 am Plenary talk: Arnulf Jentzen (Amphiteater Pasquier) - Chair: Benjamin Jourdain  
09:50 - 10:40 › Nonlinear stochastic ordinary and partial differential equations: regularity properties and numerical approximations - Arnulf Jentzen, Department Mathematics ETHZ  
10:40 am - 11:10 am Coffee break (Room Marie Curie)  
11:10 am - 12:00 pm Plenary Talk: Barak Pearlmutter (Amphiteater Pasquier) - Chair: Charles-Albert Lehalle  
11:10 - 12:00 › Automatic Differentiation in Machine Learning: Survey and Revisionist History - Barak Pearlmutter, Maynooth University  
12:00 pm - 2:30 pm Lunch (buffet for registered participants) (Room Marie Curie)  
1:30 pm - 2:30 pm Poster session (Room Marie Curie)  
13:30 - 14:30 › A strong order 1/2 method for SDEs with discontinuous drift and degenerate diffusion - Michaela Szölgyenyi, Vienna University of Economics and Business  
13:30 - 14:30 › Error Analysis of a Multi-Index Monte Carlo Estimator for a Class of Zakai SPDEs - Zhenru Wang, Mathematical Institute [Oxford]  
13:30 - 14:30 › Local volatility models enhanced with jumps. - Hamza GUENNOUN, Société Générale  
13:30 - 14:30 › Orientational ordering of Janus colloids in cholesteric liquid crystals - Vladimir Rudyak, Lomonosov Moscow State University - MSU (RUSSIA)  
13:30 - 14:30 › Projected adaptive biasing force method: Variance reduction by Helmholtz projection - Houssam Alrachid, Université Paris-Est Créteil Val-de-Marne - Paris 12  
2:30 pm - 4:00 pm Efficient computations of sensitivities (Amphiteater Pasquier) - Organizer: Charles-Albert Lehalle  
14:30 - 15:00 › Automatic Differentiation for Complex options and algorithms - Olivier Pironneau, Laboratoire Jacques-Louis Lions  
15:00 - 15:30 › Practical implementation of adjoint algorithmic differentiation (AAD) - Sébastien Geeraert, Murex Analytics  
15:30 - 16:00 › AAD applications in Finance - Adil Reghai, Natixis  
2:30 pm - 4:00 pm SDE approximation (Amphiteater Roussy) - Organizer: Emmanuelle Clément  
14:30 - 15:00 › Rate of convergence of the Euler scheme for SDE with discontinuous drift - Antoine Lejay, Tosca, Inria Nancy Grand Est / Institut Elie Cartan de Lorraine  
15:00 - 15:30 › Trajectorial coupling between one-dimensional diffusions with linear diffusion coefficient and their Euler scheme - Arnaud Gloter, Laboratoire de Mathématiques et Modélisation d'Évry  
15:30 - 16:00 › A Symmetrized Milstein scheme with strong rate of convergence for some CEV-like SDEs - Mireille Bossy, INRIA  
4:00 pm - 4:30 pm Refreshment (Room Marie Curie)  
4:30 pm - 6:00 pm Multilevel Monte Carlo (Amphiteater Pasquier) - Organizer: Ahmed Kebaier  
16:30 - 17:00 › General multilevel adaptations for stochastic approximation algorithms - Steffen Dereich, Westfälische Wilhelms-Universität Münster  
17:00 - 17:30 › Multilevel Monte Carlo for McKean-Vlasov SDEs - Lukasz Szpruch, University of Edinburgh  
17:30 - 18:00 › Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators - Anis AL GERBI, CERMICS  
4:30 pm - 6:00 pm Rare events and stress tests (Amphiteater Roussy) - Organizer: Ludovic Goudenège  
16:30 - 17:00 › Fluctuation Analysis of Adaptive Multilevel Splitting - Arnaud Guyader, Laboratoire de Statistique Théorique et Appliquée  
17:00 - 17:30 › Rare event simulation related to financial risks: efficient estimation and sensitivity analysis - Ankush Agarwal, Ecole Polytechnique  
17:30 - 18:00 › Rare event probability estimation in the presence of epistemic uncertainty - Mathieu Balesdent, ONERA - The French Aerospace Lab  
6:45 pm - 8:45 pm Banquet (invitation only) (Restaurant Georges (Centre Georges Pompidou))  
9:00 pm - 11:30 pm UEFA EURO 2016 semi-final (In your favorite bar with large TV screen)  

Friday, July 8, 2016

Time Event  
9:00 am - 9:50 am Plenary talk: Raul Tempone (Amphiteater Pasquier) - Chair: Idriss Kharroubi  
09:00 - 09:50 › Multi-level and Multi-index Monte Carlo - Raul Tempone, King Abdullah University of Science and Technology  
9:50 am - 10:40 am Plenary talk: Denis Belomestny (Amphiteater Pasquier) - Chair: Idriss Kharroubi  
09:50 - 10:40 › Higher oder variance reduction for nonlinear Monte Carlo problems - Denis Belomestny, Duisburg-Essen University  
10:40 am - 11:10 am Coffee break (Room Marie Curie)  
11:10 am - 12:00 pm Plenary talk: Robert Scheichl (Amphiteater Pasquier) - Chair: Noufel Frikha  
11:10 - 12:00 › Multilevel Markov Chain Monte Carlo Methods - Robert Scheichl, University of Bath (UK)  
12:00 pm - 1:30 pm Lunch (buffet for registered participants) (Room Marie Curie)  
1:30 pm - 3:00 pm Bayesian computation statistics (Amphiteater Pasquier) - Organizer: Christian Robert  
13:30 - 14:00 › Lossless Bayesian inference in infinite dimension without discretisation or truncation: a case study on Lambda-coalescents - Jere Koskela, University of Warwick  
14:00 - 14:30 › Adaptive, delayed-acceptance MCMC for targets with expensive likelihoods - Chris Sherlock, Lancaster University  
14:30 - 15:00 › Sequential Monte Carlo with estimated likelihoods - Richard Everitt, University of Reading  
1:30 pm - 3:00 pm Mean-fields simulations (Amphiteater Roussy) - Organizer: Francois Delarue  
13:30 - 14:00 › An Augmented Lagrangian Method for Mean Field Type Control with Congestion - Mathieu LAURIERE, Laboratoire Jacques-Louis Lions  
14:00 - 14:30 › Capital distribution in the mean-field Atlas model - Julien Reygner, CERMICS  
14:30 - 15:00 › Cross-Dependent Volatility - Julien Guyon, Bloomberg, Columbia University, NYU Courant  
3:00 pm - 3:30 pm Refreshment (Room Marie Curie)  
3:30 pm - 5:00 pm Stochastic algorithms (Amphiteater Pasquier) - Organizer: Jerome Lelong  
15:30 - 16:00 › Optimism and randomness in linear multi-armed bandit - Alessandro Lazaric, SEQUEL  
16:00 - 16:30 › Sampling from a strongly log-concave distribution with the Unadjusted Langevin Algorithm - Alain Durmus, Telecom ParisTech  
16:30 - 17:00 › Pricing American options using martingale bases - Jérome Lelong, Laboratoire Jean Kuntzmann  
3:30 pm - 5:00 pm Non linear finance and Nested Monte Carlo (Amphiteater Roussy) - Organizer: Stephane Crepey  
15:30 - 16:00 › Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives - Tuyet Mai Nguyen, Université d'Evry  
16:00 - 16:30 › Non-parametric regression related to rare-event, using MCMC design, and application to nested risk computations - Gersende Fort, Laboratoire traitement et communication de l'information  
16:30 - 17:00 › A Dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA - Pierre Henry-Labordère, Société Générale  
  
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