Yu Li

Academic background

Currently I am a third-year PhD student at the University of Calgary. My major is Mathematical Finance, and my research is related to Monte Carlo Method and its application. For the past year, my supervisor came up with the idea of generalized Multilevel Monte Carlo Method. I continue to work on this method and we successfully use this method to reduce the computational cost when estimating the price of some option price. With this method, we naturally have a idea of multi-dimension extension, so for this year my research work is to construct a Multi-dimension Multilevel Monte Carlo Method, and if this works, I will then use control variates schemes to add constant weights to reduce more computational cost.