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Seminar
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Dimitri SOTNIKOV
Martingale property and moment explosions in signature volatility models
9h20-9h40 : Xiaozhen WANG
Convergence of Sinkhorn’s Algorithm for Entropic Martingale Optimal Transport Problem
9h40-10h00 : Break
10h00-10h20 : Zakaria BENSAID
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grid
10h20-10h40 : Maxime GUELLIL
Complex discontinuities of √Fredholm determinants in the Volterra Stein-Stein model
Séminaire Bachelier (11h15-12h15)
11h15-12h15 : Marc Hoffmann
Statistical estimation for rough volatility models
Date : 2 mai 2025
Place: Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)
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) |
