Using Monte Carlo and Malliavin Calculus to sove problems in Finance.

Lecture Computational Finance / Numerical Methods 22: Partial Derivative of Monte-Carlo Values (1/2)

Lecture 2021 Numerical Methods: 39: Partial Derivatives of Monte-Carlo Valuations (1)

Applications of the Integration by Parts Formula Involving Malliavin Derivative of the Solution Proc

Recent Developments in Malliavin Calculus

Don't Solve Stochastic Differential Equations (Solve a PDE Instead!) | Fokker-Planck Equation

Plamen Turkedjiev: Least squares regression Monte Carlo for approximating BSDES and semilinear PDES

Some applications of Stein's method

Mathematical Finance: L12 - Pricing and hedging of claims

Monte Carlo Geometry Processing

Research in Options 2019 - Lane Hughston - Lévy-Ito Models in Finance

Self-intersections for projections of Brownian motions on stratified Lie group. Rudenko A.

Olivier Menoukeu Pamen - Piecewise Binomial Lattices for Interest Rates (Skew CEV and Vasicek Model)

Strong approximations for stochastic processes driven by Levy processes, Guanting Liu

Reinhold Schneider: "Solving Backward Stochastic Differential Equation & HJB equations with Tree..."

Integration by Parts and The KPZ Two-Point Function

Research in Options 2017 - Nizar Touzi (École Polythechnique, France)

Research in Options 2016 - Yuri Saporito | Uwe Schmock | Rodrigo Targino

Toronto Geometry Colloquium - Mirela Ben-Chen & Rohan Sawhney

Research in Options 2020 - Emmanuel Gobet - Weak Approximations and Vix Option Prices Expansions...