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Section: Contracts and Grants with Industry

Contract with Natixis: adaptative Monte Carlo methods

Participants : Madalina Deaconu, Antoine Lejay, Denis Talay.

The Ph.D. thesis of Numa Lescot started in September 2006 with a CIFRE grant from Natixis. This thesis concerns adaptive Monte Carlo methods in the continuation of the works of O. Bardou [38] and B. Arouna [37] , where the importance sampling technique is coupled with stochastic algorithms to perform variance reduction. The aim is to apply this technique together with Malliavin calculus in order to perform variance reduction on the computation of the Greeks.


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