Second School of CREMMA, 19 March - 06 April 2012, Tunisia

Mar 19 2012 - 08:00
Apr 6 2012 - 18:00

The school will take place in "la Cité des Sciences", Tunis, for three weeks.

Short description of the event: 

The school will include two courses each week (ten hours per course, e.g. from Monday to Friday: 10h-12h+13h-15h). The lectures are devoted to numerical applications of theoretical methods. Some preliminary simulations will be done to motivate the problems to be solved.

Program : • March 19-23 : Numerical methods
- Lecture 1: Bruno BOUCHARD (Paris Dauphine). Monte Carlo methods, stochastic algorithms (e.g. MCMC, EM....)
- Lecture 2: Jean-François CHASSAGNEUX (Imperial college London). Numerical schemes for BSDE's.
• March 26-30 :
- Lecture 3: Mohamed BEN ALAYA (Univ. Paris 13). Statistical inference for stochastic processes and applications in finance,
- Lecture 4: Ahmed KEBAIER (Univ. Paris 13). Numerical methods for finance and insurance.
• April 02-06 :
- Lecture 5: Dan CRISAN (Imperial College London). Cubature methods applied to Stochastic Filtering.
- Lecture 6: Stefano IACUS (Univ. Milano). Learning free software R.

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