Section: Contracts and Grants with Industry

Contract with Natixis: adaptive Monte Carlo methods

Participants : Madalina Deaconu, Antoine Lejay, Numa Lescot, 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 where the importance sampling technique is coupled with stochastic algorithms to perform variance reduction. The aim is to combine this technique and Malliavin calculus in order to reduce the variance of Monte Carlo approximations of the Greeks.