One of the most spectacular scenes in the Marvel film Doctor Strange features The Ancient One, played by Tilda Swinton, pursuing the sorcerer Kaecilius, Mads Mikkelsen, through the reality warped streets of London.
Stephen Strange himself volunteered to show my where this scene was filmed.
This filming location is on Great Scotland Yard, which is off Northumberland Avenue. It is within easy walking distance of both Trafalgar Square, and Embankment Underground Station.