Paris Bachelier Seminar

London-Paris Bachelier Workshop

7th edition on 18 and 19 September 2023

The seventh edition of this joint Workshop will take place in London on Monday 18 and Tuesday 19 September 2023. All information can be found on the web page.

London-Paris Bachelier Workshop on Mathematical Finance is a two-day conference bringing together the researchers from the two communities. Its main purpose is to exchange information about recent research developments being carried out in the two communities, and to encourage cross-channel research collaborations.

This sixth edition of the workshop takes place in Paris on Thursday 15 and Friday 16 September 2022 at the Henri Poincaré Institute (IHP) in Amphitheater Hermite. The workshop starts at 2pm on Thursday, September 15 and ends at 5pm on Friday, September 16. The meeting is intended to be similar in scope and structure to the very successful previous editions of the workshop held in 2014, 2015, 2016, 2017 and 2021, alternating between Paris and London.

Eleven invited talks given by distinguished researchers from each side of the channel are planned:

  • Eduardo Abi Jaber (Ecole Polytechnique)
  • Albina Danilova (London School of Economics)
  • Fabrice Djete (Ecole Polytechnique)
  • Romuald Elie (Deepmind & Université Gustave Eiffel)
  • Adeline Fermanian (Mines ParisTech)
  • Ying Jiao (Université Claude Bernard Lyon 1)
  • Idris Kharroubi (Sorbonne Université)
  • Eyal Neuman (Imperial College London)
  • Alex Tse (University College London)
  • Linus Wunderlich (Queen Mary University London)
  • Yufei Zhang (London School of Economics)

In addition, eleven more contributing talks will be given by PhD students and young researchers from both communities, selected by the Scientific Committee:

  • Ofelia Bonesini (Università di Padova)
  • Lorenzo Croissant (Université Paris Dauphine)
  • Domagoj Demeterfi (Queen Mary University London)
  • Justin Gwee (London School of Economics)
  • Annika Kemper (Bielefeld University)
  • Marcos Leutscher (ENSAE)
  • Zhesheng Liu (London School of Economics)
  • Antonio Ocello (Sorbonne Université)
  • Bouazza Saadeddine (Crédit Agricole CIB)
  • Lionel Sopgoui (Université Paris Cité, Imperial College London, Groupe BPCE)
  • Wanqing Wang (Ecole Polytechnique)

New! The book of abstracts is now available!
The list of registered participants is now available!


Thursday, 15 September
  • 2pm - 2:30pm: Adeline Fermanian
  • 2:30pm - 3pm: Linus Wunderlich
  • 3pm - 3:30pm: Romuald Elie
  • 3:30pm - 4pm: Eyal Neuman
  • 4pm - 4:30pm: Coffee break
  • 4:30pm - 5:15pm: Contributed Session n°1
    • 4:30pm - 4:45pm: Lorenzo Croissant
    • 4:45pm - 5pm: Domagoj Demeterfi
    • 5pm - 5:15pm: Wanqing Wang
  • 5:15pm - 5:45pm: Idris Kharroubi
Friday, 16 September
  • 9am - 9:30am: Alex Tse
  • 9:30am - 10am: Ying Jiao
  • 10am - 10:30am: Yufei Zhang
  • 10:30am - 12:30pm: Contributed Session n°2
    • 10:30am - 10:45am: Bouazza Saadeddine
    • 10:45am - 11am: Marcos Leutscher
    • 11am - 11:30am: Coffee break
    • 11:30am - 11:45am: Lionel Sopgoui
    • 11:45am - 12pm: Ofelia Bonesini
  • 12pm - 12:30pm: Albina Danilova
  • 12:30pm - 1pm: Eduardo Abi Jaber
  • 1pm - 2:30pm: Lunch break
  • 2:30pm - 3:30pm: Contributed Session n°3
    • 2:30pm - 2:45pm: Antonio Ocello
    • 2:45pm - 3pm: Zhesheng Liu
    • 3pm - 3:15pm: Annika Kemper
    • 3:15pm - 3:30pm: Justin Gwee
  • 3:30pm - 4pm: Fabrice Djete

Registration to the workshop is free but mandatory. Please send an email at cyril[dot]benezet[a]ensiie[dot]fr entitled London-Paris Bachelier Workshop - Registration.

Scientific Committee

  • Laura Ballotta (City University of London)
  • Stéphane Crépey (Université Paris Cité)
  • Emmanuel Gobet (Ecole Polytechnique)
  • Kostas Kardaras (London School of Economics)
  • Agnès Sulem (INRIA, Paris)
  • Peter Tankov (ENSAE)
  • Almut Veraart (Imperial College London)

Organizing Committee

In collaboration with the Paris Bachelier Group and the London Mathematical Finance Group:

  • Cyril Benezet (ENSIIE)
  • Jean-François Chassagneux (Université Paris Cité)
  • Roxana Dumitrescu (King's College London)
  • Zorana Grbac (Université Paris Cité)
  • Daniel Schwarz (University College London)


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Chaire "Risques financiers"
Chaire "Banque de marchés de demain, enjeux modélisation et calcul"

The fifth edition of this joint Workshop will take place online on 11-12 March 2021. All information can be found on the web page.

The fourth edition of this joint Workshop took place in London on 21-22 September 2017.

  • Anna AKSAMIT (Oxford University),
  • Cristin BUESCU (King's College London),
  • Umut CETIN (London School of Economics),
  • Jean François CHASSAGNEUX (Université Paris Diderot)
  • Stefano DE MARCO (École Polytechnique),
  • Roxana DUMITRESCU (King’s College London),
  • Paul GASSIAT (Université Dauphine),
  • Blanka HORVATH (Imperial College London),
  • Lane HUGHSTON (Brunel University London),
  • Arne LOKKA (London School of Economics),
  • Thibaut MASTROLIA (École Polytechnique),
  • Mohamed MRAD (Université Paris XIII),
  • Eyal NEUMAN (Imperial College London),
  • Paolo PIGATO (INRIA),
  • Sergio PULIDO (ENSIIE – Université d'Évry),
  • Daniel SCHWARZ (University College London),
Thursday, 29 September (at Fédération Française de Banque)
  • 14h00 - 14h30 Welcome and registration
  • 14h30 - 16h00 Talks 1, 2, 3
  • 16h00 - 16h30 Coffee break
  • 16h30 - 18h00 Talks 4, 5, 6
Friday, 30 September (at Institut Henri Poincaré)
  • 9h00 - 10h30 Talks 7, 8, 9
  • 10h30 - 11h00 Coffee break
  • 11h00 - 12h30 Talks 10, 11, 12
  • 12h30 - 14h30 Poster session and lunch
  • 14h30 - 16h30 Talks 13, 14, 15, 16
  • 16h30 - 18h00 Discussion session and coffee break

The detailed program, with titles and abstracts, can be downloaded here.

Poster presentation:
  • Eduardo ABI JABER (Université Paris Dauphine)
  • Matteo BASEI (Université Paris Diderot)
  • Jacopo CORBETTA (École des Ponts ParisTech)
  • Côme HURÉ (Université Paris Diderot)
  • David KRIEF (Université Paris Diderot)
  • Mikail KUSNETSOV (London School of Economics)
  • Hao LIU (Imperial College London)
  • Maxime MORARIU-PATRICHI (Imperial College London)
  • Udomsak RAKWONGWAN (King's College London)
  • Guillaume SALL (Université Pierre et Marie Curie)
  • Luciane SBARAINI BONATTO (King's College London)
  • Fangwei SHI (Imperial College London)

Thursday, 29 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris.
Friday, 30 September 2016 : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, 75005 Paris.

Thanks to our sponsors, there is no registration fee. Coffee breaks and lunch on Friday will be available to all participants. If you are interested in participating to the conference, please send an e-mail to fontana [at]

Organizing Committee (in collaboration with the Bachelier Paris group):
  • Bruno BOUCHARD (Université Paris Dauphine)
  • Luciano CAMPI (London School of Economics)
  • Claudio FONTANA (Université Paris Diderot)
  • Emmanuel GOBET (École Polytechnique)
  • Lane HUGHSTON (Brunel University London)
  • Antoine JACQUIER (Imperial College London)
  • Teemu PENNANEN (King's College London)
  • Johannes RUF (University College London)
  • Xiaolu TAN (Université Paris Dauphine)

The second edition of this joint Workshop will take place in London. All information can be found on the web page.

Speakers: Schedule:
Thursday, 25 September (at Institut Henri Poincaré)
  • 14h00 - 14h30 Welcome and registration
  • 14h30 - 16h00 Talks 1, 2, 3 (chair: L. Campi)
  • 16h00 - 16h30 Coffee break
  • 16h30 - 17h30 Talks 4, 5 (chair: T. Pennanen)
  • 17h30 - 17h45 Short break
  • 17h45 - 18h45 Talks 6, 7 (chair: L. Hughston)
  • 18h45 - 19h45 Poster session (and drinks)
  • 20h30 Dinner (restricted invitation)
Friday, 26 September (at Fédération Française de Banque)
  • 9h00 - 9h30 Arrival
  • 9h30 - 11h00 Talks 8, 9, 10 (chair: S. Crepey)
  • 11h00 - 11h30 Coffee break
  • 11h30 - 12h30 Talks 11, 12 (chair: H. Pham)
  • 12h30 - 14h30 Lunch
  • 14h30 - 16h00 Talks 13, 14, 15 (chair: M. Jeanblanc)
  • 16h00 - 16h30 Coffee break
  • 16h30 - 17h30 Talks 16, 17 (chair: G. Pagès)
  • 17h30 - 18h00 Departure
Poster presentation:
  • Anna Aksamit (University Evry), Non-arbitrage up to random horizon for semimartingale models
  • Pierre Blanc (Ecole des Ponts Paristech), Dynamic optimal execution in a mixed-market-impact Hawkes price model
  • Geraldine Bouveret (Imperial College London), Stochastic target problems with controlled probability of success -- a probabilistic approach
  • Andréa Cosso (University Paris Diderot), Robust feedback switching control: dynamic programming and viscosity solutions
  • Roxana Dumitrescu (University Paris Dauphine), Generalized Dynkin games and double reflected BSDEs with jumps
  • Andrea Granelli (Imperial College London), Modelling the variance risk premium of equity indices: the role of dependence and contagion
  • Eamon McMurray (Imperial College London), Smoothing properties of McKean-Vlasov SDE via Malliavin calculus
  • Ivo Mihaylov (Imperial College London), Perturbation approach for Greeks
  • Zhen-Jie Ren (Ecole Polytechnique), Large deviations for non-Markovian diffusions and an application in finance
  • Yavor Stoev (London School of Economics), Equilibrium with imbalance of the derivative market

Thursday, 25 September 2016 : Institut Louis Bachelier.
Friday, 26 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris.

If you wish to participate, please send an email to emmanuel dot gobet at polytechnique dot edu

Organizing Committee (in collaboration with the Bachelier Paris group):
  • Luciano Campi (London School of Economics)
  • Emmanuel Gobet (Ecole Polytechnique)
  • Lane Hughston (Brunel University London and University College London)
  • Antoine Jacquier (Imperial College London)
  • Teemu Pennanen (King's College London
  1. B. Acciaio, London School of Economics
  2. A. Aksamit, University Evry
  3. L. Alfonsi, Ecole des Ponts Paristech
  4. S. Ankirchner, Iena University
  5. J. Armstrong, King's College London
  6. M. Ben Alaya, University Paris Nord
  7. J. Bion-Nadal, Ecole Polytechnique
  8. B. Bouchard, Université Paris Dauphine
  9. E. Boguslavskaya, Brunel University London
  10. D. Brody, Brunel University London
  11. R. Brummelhuis, Birkbeck
  12. L. Campi, London School of Economics
  13. A. Černý, City University London
  14. U. Cetin, London School of Economics
  15. E. Chevalier, University Evry
  16. A. Cosso, University Paris Diderot
  17. S. Crepey, University Evry
  18. S. De Marco, Ecole Polytechnique
  19. R. Dumitrescu, Université Paris Dauphine
  20. N. El Karoui, University Pierre et Marie Curie
  21. R. Elie, Université Paris Est
  22. C. Fontana, University Paris Diderot
  23. M. Gaigi, Université d'Evry
  24. V. Galano, Telecom Bretagne
  25. Z. Grbac, Université Denis Diderot
  26. G. Guo, Ecole Polytechnique
  27. C. Hillairet, Ecole Polytechnique
  28. L. Hughston, Brunel University London
  29. M. Jeanblanc, Université d'Evry
  30. Y. Jiao, ISFA Lyon
  31. B. Jourdain, Ecole des Ponts Paristech
  32. S. Kallblad, Ecole Polytechnique
  33. K. Kardaras, London School of Economics
  34. I. Kharroubi, Université Paris Dauphine
  35. A. Kornprobst, Université Paris 1
  36. T. Kruse, University Paris Diderot
  37. G. Liang, King's College London
  38. C. Litterer, Ecole Polytechnique
  39. G. Liu, Ecole Polytechnique
  40. V. Ly Vath, Université d'Evry
  41. A. Macrina, University College London
  42. D. Meier, Brunel University London
  43. C. Ménassé, University Paris Diderot
  44. A. Mijatović, Imperial College London
  45. M. Mrad, University Paris Nord
  46. G. Pagès, Université Pierre et Marie Curie
  47. S. Pagliarani, Ecole Polytechnique
  48. T. Pennanen, King's College London
  49. H. Pham, University Paris Diderot
  50. M. Pistorius, Imperial College London
  51. M. Pontier, University Toulouse
  52. Z. Ren, Ecole Polytechnique
  53. R. Romero, Université d'Evry
  54. M. Rosenbaum, Ecole des Ponts Paristech
  55. A. Sagna, ENSIEE Evry
  56. S. Song, Université d'Evry
  57. X. Tan, Université Paris Dauphine
  58. P. Tankov, Université Paris Diderot
  59. R. Tekaya, Finoxia
  60. N. Touzi, Ecole Polytechnique
  61. T. Tran, Université Paris Dauphine
  62. P. Turkedjiev, Ecole Polytechnique
  63. L. Veraart, London School of Economics
  64. X. Warin, Electricité de France
  65. M. Zervos, London School of Economics