Paris Bachelier Seminar

London-Paris Bachelier Workshop

4th edition on 21 and 22 September 2017

The fourth edition of this joint Workshop will take place in London on 21-22 September 2017. All information can be found on the web page

Speakers:
  • 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),
Schedule:
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)

Location:
Thursday, 29 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris. https://goo.gl/maps/41UqdGCPJRs
Friday, 30 September 2016 : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, 75005 Paris. https://goo.gl/maps/yfzfqbFX6K32

Participation:
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] math.univ-paris-diderot.fr

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

Location:
Thursday, 25 September 2016 : Institut Louis Bachelier.
Friday, 26 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris. https://goo.gl/maps/41UqdGCPJRs

Participation:
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
Participants:
  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