MSRI- Conference on Randomized Algorithms in Finance

  1. Title:
    Numerical solution of stochastic differential equations with applications in finance
    Speaker:
    Eckhard Platen

    Link:
    https://www.msri.org/workshops/30/schedules/412

  2. Title:
    Early stopping in financial simulations
    Speaker:
    Jeremy Staum

    Link:
    https://www.msri.org/workshops/30/schedules/410

  3. Title:
    Wavelet-based PDE and fast Monte Carlo valuation of complex derivatives
    Speaker:
    Michael Dempster

    Link:
    https://www.msri.org/workshops/30/schedules/409

  4. Title:
    Risk premium and pricing of derivatives in complete markets
    Speaker:
    Jin-Chuan Duan

    Link:
    https://www.msri.org/workshops/30/schedules/408

  5. Title:
    Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
    Speaker:
    Pedro Santa Clara

    Link:
    https://www.msri.org/workshops/30/schedules/407

  6. Title:
    Arbitrage pricing of equity basket options
    Speaker:
    Marco Avellaneda

    Link:
    https://www.msri.org/workshops/30/schedules/405

  7. Title:
    Markov Chain Monte Carlo methods
    Speaker:
    Alistair Sinclair

    Link:
    https://www.msri.org/workshops/30/schedules/404

  8. Title:
    Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm
    Speaker:
    Francis Longstaff

    Link:
    https://www.msri.org/workshops/30/schedules/403

  9. Title:
    Extreme value statistics in finance
    Speaker:
    Claudia Kluppelberg

    Link:
    https://www.msri.org/workshops/30/schedules/402

  10. Title:
    Applications of the Monte Carlo method in finance
    Speaker:
    Phelim Boyle

    Link:
    https://www.msri.org/workshops/30/schedules/401