The next session of the PhD Lunch seminar organized jointly by « Finance et Modélisation » axis (Université Paris 1) and LabEx ReFi will take place on Wednesday February 22nd at 12.30, 6th floor at the Maison des Sciences Economiques, Boulevard de l’Hopital.
We are pleased to receive:
Labex ReFi and University Paris1 Sorbonne,
« Particle Monte-Carlo simulation: improvements using Hamiltonian Dynamics»
Abstract: « We present particle techniques, the principle of which could be intuitively thought of as an adaptive importance sampling, alternating with resampling in order to control the actual number of draws. It applied to the case of hidden variables and rare events simulation. Bayesian estimates of posterior distribution require filtering techniques, we shall show a method based on the Hamiltonian property of the geodesic flow on the statistical manifold to improve on exploration of a state space, It turns out to be particularly efficient in high dimensional problems. »
You are most welcome to invite the students from other axis/ Universities.
Warning: The PhD Lunch Seminar will be followed at 1pm by the seminar of the Finance and Modeling axis, with guest Matthieu Garcin, Quant Crédit at Natixis.
Paper title: « Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates »