Archives?

I wrote an archives page for my blog and I want to lists the posts by month and then under each month list the titles for that month. Right now it is listing them in separate lists. I have searched for a way to do this but can’t find anything. Any ideas? Right now I have this—

<h2>Archives by Title:</h2>
<ul>
    <?php wp_get_archives('type=alpha');?>
</ul>

<h2>Archives by Month:</h2>
<ul>
    <?php wp_get_archives('type=monthly'); ?>
</ul>

Thank you for any help!