Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of It ô Stochastic Differential Equations By Nadhir Ben Rached (MS-Thesis Student of Prof. Raul Tempone, AMCS, KAUST).
Class schedule: Wednesday, November 27th, 2013 at 10:30 a.m.
Location: Building 1, Room 4214
Biography
Nadhir Ben Rached received the Diplome d’Ingénieur degree in Economics and Scientific Management from Ecole Polytechnique de Tunisie (EPT), La Marsa, Tunisia, in 2012. Currently, he is a Master's student in Applied Mathematics and Computational Science, King Abdullah University of Science and Technology (KAUST). He is a member of the Stochastic Numerics research group working under the supervision of Professor Raul Tempone. His current research interests include numerical analysis of stochastic differential equations, Monte Carlo simulations, and computational finance.
