Mon, November 17, 2008
09:15-09:30	Opening
09:30-10:20	Mike Giles	Multilevel Monte Carlo path simulation
10:20-10:50	Break
10:50-11:40	Vlad Bally	Tubes estimates for Ito processes
11:40-15:00	Lunch Break
15:00-15:50	Cornelis Oosterlee	Efficient methods for pricing options with and without early exercise features
15:50-16:20	Break
16:20-17:10	Benjamin Jourdain	Robust adaptive variance reduction for normal random vectors
Tue, November 18, 2008
09:30-10:20	Christoph Schwab	Convergence Rates of sparse tensor approximations for elliptic sPDEs
10:20-10:50	Break
10:50-11:40	Gilles Pages	Optimal quantization for the pricing of American style derivatives
11:40-15:00	Lunch Break
15:00-15:50	Emmanuel Gobet	Approximate closed formulas in stochastic volatility models
15:50-16:20	Break
16:20-17:10	Stefan Geiss	Variational properties of BSDEs and fractional smoothness
Wed, November 19, 2008
09:30-10:20	Peter Forsyth	A Hamilton Jacobi Bellman Approach to Optimal Trade Execution
10:20-10:50	Break
10:50-11:40	Bruno Bouchard	Strong Approximations of BSDEs in a domain
11:40-15:00	Lunch Break
15:00-15:50	Yves Achdou	Mean Field Games: Numerical Methods
15:50-16:20	Break
16:20-17:10	Christoph Reisinger	Numerical solution of an SPDE arising in credit modelling
Thu, November 20, 2008
09:30-10:20	Arturo Kohatsu-Higa	A Semigroup Approach for Weak Approximations with an Application to Infinite Activity Lévy Driven SDEs
10:20-10:50	Break
10:50-11:40	Enrique Thomann	Branching processes in Fluid Mechanics - An application to the Navier-Stokes and LANS-alpha equations
11:40-15:00	Lunch Break
15:00-15:50	Peter Friz	Towards a (rough) pathwise theory of fully non-linear stochastic partial differential equations
15:50-16:20	Break
16:20-17:10	Andrea Pascucci	Kolmogorov equations and applications to path dependent derivatives
Fri, November 21, 2008
09:30-10:20	Josef Teichmann	Numerical methods for SPDEs with applications to the HJM equation
10:20-10:50	Break
10:50-11:40	Edward Waymire	Skew Brownian Motion and Applications in Partial Differential Equations with Discontinuous Coefficients

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