The meeting is partly sponsored by the London Mathematical Society within the East Midlands Mathematical Physics Seminar series; additional funding is provided by  Department of Mathematics, University of Leicester.

Lectures will take place in Room 119, Multidisciplinary Research Institute. 

All interested are welcome to attend.

Programme

• 10:30-10:55 Registration/ Tea and Coffee
  
  
• 11:00-12:30 Alexander Veretennikov (University of Leeds)
  Uniform Mixing Bounds for SDE Approximations via Harnack Inequality and Malliavin Calculus  (abstract)
  
  
• 12:30-14:00 Lunch
  
  
• 14:00-14:55 Andrew Stuart (Maths Institute, Warwick University)
  Sampling Paths of SDEs, Conditional on Observations  (abstract)
  
  
• 15:00-15:55 Ben Hambly (University of Oxford)
  Monte Carlo Methods for Multiple Exercise Options  (abstract)
  
  
• 16:00-16:20   Tea and Coffee
  
  
• 16:25-17:20 Michael Monoyios (Brunel University)
  Optimal Strategies For Hedging Basis Risk (abstract)

Additional info

• Travel information can be found here ;
• Campus Map  is here, 
  Multidisciplinary Research Institute (MRI) is located on the right upper corner of the map
  
  
• There is no registration fee. If you plan to attend, or would like further details, please contact
  Michael Tretyakov, tel: 0116 252 3594
  Ruslan Davidchack, tel: 0116 252 3819