Paris Bachelier Seminar

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Seminar

11h15-12h15 : Claudio Fontana
Data-Driven Heath-Jarrow-Morton Models

Date : 23 mai 2025

Place: Salle Maryam Mirzakhani (ex-salle 201)

Mailing list:

Aim: The BACHELIER seminar, organized jointly with the Centre de Mathematiques Appliquées (Ecole Polytechnique), the CEREMADE (Université Paris Dauphine), the Centre de Recherche en Economie et Statistiques (CREST), the Laboratoire de probabilités, statistique et modélisation (Universite de Paris Cité et Sorbonne Université), the Laboratoire de Mathématiques et de Modélisation (Université d'Evry), and the CERMICS (Ecole des Ponts), has for aim to gather researchers in mathematical finance and markets practitioners in order to consider themes around the stochastic modelization in finance and the interactions between the theorical approachs, numerical ones and their applications.

Periodicity: The BACHELIER seminar meets on Friday morning from 11h15 to 12h15 (it may sometimes begin at 10h00 in case of double seminar). The BACHELIER lectures, which precede it, begin at 9h00 and finish at 11h00.

Place: Institut Henri Poincaré. Acces in RER B, station Luxembourg, or in Bus 21, 27, 38, 84 or 89. The number of the room is indicated on the billboard, that can be found at the the entrance of the building.

Organizing Committee:

Eduardo ABI JABER (Ecole Polytechnique) Aurélien ALFONSI (ENPC) Nicole EL KAROUI (Sorbonne Université)
Zorana GRBAC (Université Paris Cité) Caroline HILLAIRET (ENSAE-CREST) Monique JEANBLANC (Université d'Evry)
Gilles PAGES (Sorbonne Université) Huyen PHAM (Ecole Polytechnique) Zhenjie REN (Université d'Evry)
Paul GASSIAT (Université Paris Dauphine) Olivier GUEANT (Université Paris 1)
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