Seminar series
Date
Mon, 29 Apr 2013
Time
14:15 -
15:15
Location
Oxford-Man Institute
Speaker
PENG HU
Organisation
University of Oxford
Abstract: The aim of this lecture is to give a general introduction to the theory of interacting particle methods and an overview of its applications to numerical finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to deal with a variety of financial numerical problems such as: pricing complex path dependent European options, computing sensitivities, American option pricing or solving numerically partially observed control problems.