Closing international conference of Thematic Cycle on Monte-Carlo techniques

Plenary talk: Michael Giles

Amphiteater Pasquier

Chair: Benjamin Jourdain

› Two new MLMC applications - Michael Giles, University of Oxford 09:00-09:50 (50min)

Plenary talk: Arnulf Jentzen

Amphiteater Pasquier

Chair: Benjamin Jourdain

› Nonlinear stochastic ordinary and partial differential equations: regularity properties and numerical approximations - Arnulf Jentzen, Department Mathematics ETHZ 09:50-10:40 (50min)

Coffee break

Room Marie Curie

Plenary Talk: Barak Pearlmutter

Amphiteater Pasquier

Chair: Charles-Albert Lehalle

› Automatic Differentiation in Machine Learning: Survey and Revisionist History - Barak Pearlmutter, Maynooth University 11:10-12:00 (50min)

Lunch (buffet for registered participants)

Room Marie Curie

Poster session

Room Marie Curie

› 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 (1h)

› Error Analysis of a Multi-Index Monte Carlo Estimator for a Class of Zakai SPDEs - Zhenru Wang, Mathematical Institute [Oxford] 13:30-14:30 (1h)

› Local volatility models enhanced with jumps. - Hamza GUENNOUN, Société Générale 13:30-14:30 (1h)

› Orientational ordering of Janus colloids in cholesteric liquid crystals - Vladimir Rudyak, Lomonosov Moscow State University - MSU (RUSSIA) 13:30-14:30 (1h)

› Projected adaptive biasing force method: Variance reduction by Helmholtz projection - Houssam Alrachid, Université Paris-Est Créteil Val-de-Marne - Paris 12 13:30-14:30 (1h)

Efficient computations of sensitivities

Amphiteater Pasquier

Organizer: Charles-Albert Lehalle

› Automatic Differentiation for Complex options and algorithms - Olivier Pironneau, Laboratoire Jacques-Louis Lions 14:30-15:00 (30min)

› Practical implementation of adjoint algorithmic differentiation (AAD) - Sébastien Geeraert, Murex Analytics 15:00-15:30 (30min)

› AAD applications in Finance - Adil Reghai, Natixis 15:30-16:00 (30min)

SDE approximation

Amphiteater Roussy

Organizer: Emmanuelle Clément

› Rate of convergence of the Euler scheme for SDE with discontinuous drift - Antoine Lejay, Tosca, Inria Nancy Grand Est / Institut Elie Cartan de Lorraine 14:30-15:00 (30min)

› Trajectorial coupling between one-dimensional diffusions with linear diffusion coefficient and their Euler scheme - Arnaud Gloter, Laboratoire de Mathématiques et Modélisation d'Évry 15:00-15:30 (30min)

› A Symmetrized Milstein scheme with strong rate of convergence for some CEV-like SDEs - Mireille Bossy, INRIA 15:30-16:00 (30min)

Refreshment

Room Marie Curie

Multilevel Monte Carlo

Amphiteater Pasquier

Organizer: Ahmed Kebaier

› General multilevel adaptations for stochastic approximation algorithms - Steffen Dereich, Westfälische Wilhelms-Universität Münster 16:30-17:00 (30min)

› Multilevel Monte Carlo for McKean-Vlasov SDEs - Lukasz Szpruch, University of Edinburgh 17:00-17:30 (30min)

› Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators - Anis AL GERBI, CERMICS 17:30-18:00 (30min)

Rare events and stress tests

Amphiteater Roussy

Organizer: Ludovic Goudenège

› Fluctuation Analysis of Adaptive Multilevel Splitting - Arnaud Guyader, Laboratoire de Statistique Théorique et Appliquée 16:30-17:00 (30min)

› Rare event simulation related to financial risks: efficient estimation and sensitivity analysis - Ankush Agarwal, Ecole Polytechnique 17:00-17:30 (30min)

› Rare event probability estimation in the presence of epistemic uncertainty - Mathieu Balesdent, ONERA - The French Aerospace Lab 17:30-18:00 (30min)

Banquet (invitation only)

Restaurant Georges (Centre Georges Pompidou)

UEFA EURO 2016 semi-final

In your favorite bar with large TV screen

Planning (including Slides) (Update: July 14th)