Manuscript entitled "Pricing American options by exercise rate optimization" accepted in Quantitative Finance, and will be run as a feature (News)
Marco Iglesias will be visiting the SRI Uncertainty Quantification Center during the period April 14 - 23, 2015 (News)
Marco Iglesias will be visiting the SRI Uncertainty Quantification Center during the period Jan. 14 - 20, 2015 (News)
Marco Iglesias will be visiting the Stochastic Numerics Research Group during the period 1-11 Sep. 2015 (News)
Mike Giles will be visiting the SRI Uncertainty Quantification Center during the period Jan. 12-17, 2014 (News)
MS-Thesis Defense: Bayesian Optimal Experimental Design Using Multilevel Monte Carlo By Chaouki ben Issaid (Master Student of Prof. Raul Tempone, KAUST) (News)
MS-Thesis Defense: Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks By Chiheb Ben Hammouda (Master Student of Prof. Raul Tempone, KAUST) (News)
MS-Thesis Defense: Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of It ô Stochastic Differential Equations by Nadhir Ben Rached (News)