MS23: Computational Finance (Tuesday 11:00-13:00)

M. Giles (University of Oxford, UK)

11:00 - "Vibrato" Monte Carlo for computing Greeks

M. Giles (University of Oxford, UK)

11:30 - Pathwise stochastic optimal control

C. Rogers (Cambridge)

12:00 - On highly efficient methods for pricing options with and without early exercise

C. Oosterlee (Netherlands and Delft University of Technology, Netherlands)

12:30 - Numerical methods for basket credit derivatives models

C. Reisinger (University of Oxford, UK)