London Mathematical Finance Seminar Series
Autumn 2025 @ UCL (Oct-Dec)
NOTE: please always check the room. It may not be the same every time.
Date: Thursday, October 16, 2025
Time: 4-5pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Sam Cohen (University of Oxford)
Title: Neural networks, PDEs and control
Abstract: Optimal control problems often involve the solution of high dimensional nonlinear PDEs, which is a key computational bottleneck. In this talk we will consider how neural networks can be used as a computational tool for these problems, how simple test cases can work deceptively well, and how fine details of the approach can lead to different results. Based on joint work with Justin Sirignano, Deqing Jiang and Jackson Hebner.
Date: Thursday, October 16, 2025
Time: 5-6pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Julien Hok + Sergei Kucherenko (Investec Bank + Imperial)
Title: The unreasonable effectiveness of Randomized Quasi-Monte Carlo in option pricing and risk analysis
Abstract: This paper explores the application of Monte Carlo (MC), Quasi-Monte Carlo (QMC), and Randomized Quasi-Monte Carlo (RQMC) methods in the context of option pricing and risk analysis under the time-homogeneous hyperbolic local volatility (HLV) model. While standard MC methods suffer from slow convergence, QMC techniques leverage low-discrepancy sequences to achieve superior convergence rates, particularly for problems with low effective dimension. However, the deterministic nature of QMC prevents reliable error estimation, a limitation overcome by RQMC through randomized sequences such as Owen’s nested scrambling. The study incorporates variance reduction techniques such as Brownian Bridge (BB) and Principal Component Analysis (PCA) to reduce effective dimension and enhance convergence. Numerical experiments on Asian options demonstrate significant accuracy gains using RQMC over MC and QMC, especially when PCA is used. The paper also analyzes the convergence behavior and effective dimensions of price and Greeks (Delta, Gamma), confirming that RQMC-PCA offers the best performance in high dimensional settings.
Date: Thursday, October 30, 2025
Time: 4-5pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Christa Cuchiero (University of Vienna)
Title: TBA
Abstract: TBA
Date: Thursday, October 30, 2025
Time: 5-6pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Steven Campbell (Columbia University)
Title: TBA
Abstract: TBA
Date: Thursday, November 13, 2025
Time: 4-5pm
Location: TBA
Speaker: Giulia di Nunno (University of Oslo)
Title: TBA
Abstract: TBA
Date: Thursday, November 13, 2025
Time: 5-6pm
Location: TBA
Speaker: Emilio Barucci (Politecnico di Milano)
Title: TBA
Abstract: TBA
Date: Thursday, November 27, 2025
Time: 4-5pm
Location: TBA
Speaker: David Hobson (University of Warwick)
Title: TBA
Abstract: TBA
Date: Thursday, November 27, 2025
Time: 5-6pm
Location: TBA
Speaker: Rüdiger Frey (Vienna University of Economics and Business)
Title: TBA
Abstract: TBA
Date: Thursday, December 11, 2025
Time: 4-5pm
Location: TBA
Speaker: Thaleia Zariphopoulou (UT Austin)
Title: TBA
Abstract: TBA
Date: Thursday, December 11, 2025
Time: 5-6pm
Location: TBA
Speaker: René Aïd (Paris-Dauphine University)
Title: TBA
Abstract: TBA
