The registration is closed! Please notice that the registered participants have priority to buffets, the conference room and other facilities. As the capacity of the conference room is limited, entrance for non-registered colleagues is not guaranteed.

This workshop will be held in Ecole Polytechnique in Palaiseau (20km south from Paris) from October 10th to October 12th, 2012. 

This three days conference focuses on advanced Monte Carlo models and methods, and their applications in mathematical finance. Topics will include, particle methods, Sequential Monte Carlo, and exact simulation techniques, as well as financial risk analysis, option pricing, stochastic volatility calibration and filtering, and sensitivity analysis. The goals are to foster collaborations among applied mathematicians, statisticians, computer scientists, practitioners, and experts in finance and economics, with the goal of deepening cooperation and promoting the cross-fertilization of ideas.

Organizing Committee (Click on Name to Send Email) :

Themes :

  • Exact Monte Carlo methods
  • Particle models and algorithms
  • Sequential Monte Carlo
  • Numerical finance
  • Risk analysis
  • Rare event simulation
  • Discretization schemes
  • Filtering and stochastic control

The meeting is supported by the CMAP in Polytechnique and the ALEA INRIA team project.