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