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Application of Quasi Monte Carlo Methods in Finance 
14th March - London and Online

Monte Carlo methods are widely used in computational finance to estimate the price of financial derivatives, market and counterparty risk measures. Using Quasi-Monte Carlo methods, it is possible to achieve the same accuracy at a lower computational cost.

During this talk the speakers will discuss:

- The basics of LDS, focusing on Sobol sequences
- The notion of effective dimensions
- The difference between the nominal and effective dimensions
- Increasing the efficiency of QMC methods
- The application of QMC techniques to the computation of option prices and Greeks
- Brownian Bridge and Principal Component Analysis
- Compare FD approximations with AAD
- The benefits of using QMC in computations of XVAs and counterparty risk measures

Speakers Bios

Sergei Kucherenko
Sergei Kucherenko is a Senior Research Fellow at Imperial College London and a Director at BRODA Ltd. BRODA provide consultancy services on advanced numerical techniques used in quantitative finance. He has held several research and faculty positions in universities in the USA, UK, Italy and Russia.
Sergei holds a MSc and a PhD in Applied Mathematical Physics from the Moscow Engineering Physics Institute.

Stefano Scoleri
Stefano Scoleri holds a MSc and a PhD in Theoretical Physics and a MSc in Quantitative Finance from MIP. Stefano works as a financial analyst at Lason Ltd in the field of market and counterparty risk management. Previously, he joined an internship program with Intesa Sanpaolo Market Risk Management Department at IBM, Milan.

Marco Bianchetti
Marco Bianchetti joined Intesa in 2008, in the area of Financial and Market Risk Management. Head of the Fair Value Policy office since 2015, Marco oversees global fair/prudent valuation and IPV policies of Intesa Sanpaolo Group. Previously, Marco worked for 8 years for Banca Caboto.
He is an author of several research papers and an adjunct professor of Interest Rate Models at the University of Bologna. Marco is a frequent speaker at conferences and training in quantitative finance and risk management. He holds a MSc in Theoretical Nuclear Physics and a PhD in Theoretical Condensed Matter Physics.