>>>>>> Upcoming PhD Course <<<<<<<<<<<<<<<<<<<<<<<<<<<<

 Giorgia Callegaro (Università degli Studi di Padova)
 Lucio Fiorin (Università degli Studi di Padova)
 Daniele Marazzina (Politecnico di Milano)

 Option Pricing: from Monte Carlo Methods to Quantization

 The PhD Course (5 CFU) will take place in the Seminar Room of the 
 Third Floor of the Department of Mathematics, Politecnico di Milano, 
 in via Bonardi, 9, Milano, according to the following calendar:

> May, 8th: 11am-1pm and 2pm-6pm
> May, 9th: 9am-1pm and 2pm-4pm
> May, 15th: 11am-1pm and 2pm-6pm
> May, 16th: 9am-1pm and 2pm-4pm
> May, 17th: 10am-12pm and 1pm-3pm

 For further details, please contact

 Daniele Marazzina daniele.marazzina@polimi.it
 Giorgia Callegaro gcallega@math.unipd.it

>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
 Abstract:

 Monte Carlo methods are extensively used in finance  to value and 
 analyze complex instruments, portfolios and investments by 
 simulating the various sources of uncertainty affecting their value. 
 The advantage of Monte Carlo methods over other techniques increases 
 as the dimensions (sources of uncertainty) of the problem increase. 
 However, it is well known that the disadvantage of Monte carlo 
 methods is the slow convergence, and thus the high computational 
 cost of the algorithms.

 Quantization is a way to approximate a random vector or a stochastic 
 process using a nearest neighbour projection on a finite codebook. 
 The birth of quantization dates back to the 1950s, when in the Bell 
 laboratories ad hoc signal discretization procedures were developed 
 for signal transmission. In the last years, Quantization has been 
 deeply considered in numerical probability, especially for solving 
 problems arising in mathematical finance, presenting itself as a de 
 facto alternative to Monte Carlo methods.
 The purpose of the course is to highlight the characteristics of the 
 two methodologies and to deeply analyze (and implement) their 
 applications in financial context, mainly option pricing.