FAM-Seminar Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Nicolas Victoir (Oxford University) A Short Introduction to Rough Paths and Applications to Numerical Analysis A short introduction to Rough Paths will allow us to present the algorithm "Cubature on Wiener space", which offers a new way of approximating weakly SDEs. The method consists of replacing the Wiener measure by a linear combination of Dirac measures, which means that our solution is approximated by a weighted average of solution of ordinary differential equations. We give some applications to Option pricing. http://www.fam.tuwien.ac.at/events/