Closing international conference of Thematic Cycle on Monte-Carlo techniques

Plenary talk: Raul Tempone

Amphiteater Pasquier

Chair: Idriss Kharroubi

› Multi-level and Multi-index Monte Carlo - Raul Tempone, King Abdullah University of Science and Technology 09:00-09:50 (50min)

Plenary talk: Denis Belomestny

Amphiteater Pasquier

Chair: Idriss Kharroubi

› Higher oder variance reduction for nonlinear Monte Carlo problems - Denis Belomestny, Duisburg-Essen University 09:50-10:40 (50min)

Coffee break

Room Marie Curie

Plenary talk: Robert Scheichl

Amphiteater Pasquier

Chair: Noufel Frikha

› Multilevel Markov Chain Monte Carlo Methods - Robert Scheichl, University of Bath (UK) 11:10-12:00 (50min)

Lunch (buffet for registered participants)

Room Marie Curie

Bayesian computation statistics

Amphiteater Pasquier

Organizer: Christian Robert

› Lossless Bayesian inference in infinite dimension without discretisation or truncation: a case study on Lambda-coalescents - Jere Koskela, University of Warwick 13:30-14:00 (30min)

› Adaptive, delayed-acceptance MCMC for targets with expensive likelihoods - Chris Sherlock, Lancaster University 14:00-14:30 (30min)

› Sequential Monte Carlo with estimated likelihoods - Richard Everitt, University of Reading 14:30-15:00 (30min)

Mean-fields simulations

Amphiteater Roussy

Organizer: Francois Delarue

› An Augmented Lagrangian Method for Mean Field Type Control with Congestion - Mathieu LAURIERE, Laboratoire Jacques-Louis Lions 13:30-14:00 (30min)

› Capital distribution in the mean-field Atlas model - Julien Reygner, CERMICS 14:00-14:30 (30min)

› Cross-Dependent Volatility - Julien Guyon, Bloomberg, Columbia University, NYU Courant 14:30-15:00 (30min)

Refreshment

Room Marie Curie

Stochastic algorithms

Amphiteater Pasquier

Organizer: Jerome Lelong

› Optimism and randomness in linear multi-armed bandit - Alessandro Lazaric, SEQUEL 15:30-16:00 (30min)

› Sampling from a strongly log-concave distribution with the Unadjusted Langevin Algorithm - Alain Durmus, Telecom ParisTech 16:00-16:30 (30min)

› Pricing American options using martingale bases - Jérome Lelong, Laboratoire Jean Kuntzmann 16:30-17:00 (30min)

Non linear finance and Nested Monte Carlo

Amphiteater Roussy

Organizer: Stephane Crepey

› Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives - Tuyet Mai Nguyen, Université d'Evry 15:30-16:00 (30min)

› 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 16:00-16:30 (30min)

› A Dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA - Pierre Henry-Labordère, Société Générale 16:30-17:00 (30min)