The multilevel Monte Carlo path simulation method combines simulations with different levels of resolution to reduce the computational cost for achieving a prescribed Mean Square Error.

Is this talk I will describe the latest progress with this technique,with new applications to jump-diffusion models, multi-dimensional SDEs, the calculation of Greeks, and a stochastic PDE arising from a credit. I will also outline joint work with Kristian Debrabant and Andreas Rossler on the numerical analysis of the multilevel method using the Milstein discretisation.