Paris Bachelier Seminar

Schedule

2017-2018


  • London-Paris Bachelier Workshop on Mathematical Finance
    Londres

  • 11h15-12h15 : Laurence Carassus (Pôle Léonard de Vinci - Université Reims Champagne Ardenne), Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Anthony Reveillac (INSA Toulouse), On the regulation of harmful behaviours generating undesirable externalities
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Martin Larsson (ETH Zurich), Affine Volterra processes and models for rough volatility
    Institut Henri Poincaré (Salle 314)

  • 10h00-11h00 : Séminaire de la Chaire Risques Financiers (Fondation du Risque - ENPC - Ecole Polytechnique - UPMC - Société Générale) : Stefano De Marco (Ecole Polytechnique), Enhancing rough forward variance models with VIX smiles
    11h15-12h15 : Lakshithe Wagalath (IESEG), Risk Management for Whales
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Zhenjie Ren (Université Paris-Dauphine), Principal-Agent Problem with Common Agency
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Sergio Pulido (ENSIIE), Density of the set of probability measures with the martingale representation property
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Christa Cuchiero (University of Vienna), Canonical Markovian representations of Stochastic Volterra Equations
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Aurélien Alfonsi (ENPC-CERMICS), Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Xiang YU (HongKong Polytechnic University), Optimal Consumption Under Non-addictive Habit Formation In Incomplete Markets
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Christoph Reisinger (University of Oxford)
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis
    11h15-12h15 : Khaled Bahlali, Unbounded Quadratic BSDEs Existence by a domination
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis
    11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis
    11h15-12h15 : Michail Anthropelos (University of Piraeus)
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis
    11h15-12h15 : Tung-Lam Dao, Paul Jusselin and Thierry Roncalli (CMAP, CMAP and Amundi), Trend-Following Strategies, Factor Investing and Alternative Risk premia: Results Based on the Payoff Diversification Approach
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • Journée pour les 70 ans de Monique Pontier
    Université Paris 5 (Descartes)

  • 9h-11h : Benjamin Jourdain (CERMICS-ENPC), Equations de McKean Vlasov
    11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Benjamin Jourdain (CERMICS-ENPC), Equations de McKean Vlasov
    11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Huyên Pham (Université Paris-Diderot), Equations de McKean Vlasov
    11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Huyên Pham (Université Paris-Diderot), Equations de McKean Vlasov
    11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Oleksii Mostovyi (University of Connecticut)
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Thorsten Schmidt
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle 314)

  • London-Paris Bachelier Workshop on Mathematical Finance
    Jeudi : Féderation Bancaire Française, 18 rue la Fayette, Paris.
    Vendredi : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, Paris.

  • 11h15-12h15 : Carlos Castro (Universidad del Rosario, Bogota, Colombie), Measuring the effectiveness of volatility call auctions
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Olivier Guéant (Université Paris 1), Optimal portfolio choice under drift uncertainty

  • Berlin-Paris Workshop "Stochastic Analysis with applications in Biology and Finance"
    Berlin

  • 9h-11h : Charles-Albert Lehalle (CFM & Imperial College London), Financial Intermediation at Any Scale for Quantitative Modelling,
    11h15-12h15 : Nabil Kahale, Efficient simulation of high dimensional Gaussian vectors

  • 9h-11h : Charles-Albert Lehalle (CFM & Imperial College London), Financial Intermediation at Any Scale for Quantitative Modelling,
    11h15-12h15 : Thorsten Schmidt, A new perspective on multiple curve models

  • 9h-11h : Charles-Albert Lehalle (CFM & Imperial College London), Financial Intermediation at Any Scale for Quantitative Modelling,
    11h15-12h15 : Charles-Albert Lehalle (CFM & Imperial College London), Topics on optimal trading and market microstructure

  • Conference Market Microstructure
    Maison de la Chimie, 28 Rue Saint-Dominique, Paris.

  • 11h15-12h15 : Christian Bayer (WIAS Berlin), Short dated option pricing under rough volatility

  • 11h15-12h15 : Tongseok Lim, Multi-martingale optimal transport

  • Advances in Financial Mathematics

  • 11h15-12h15 : Arnaud Gloter (Université d'Evry), Pathwise weak error for the Euler approximation of one-dimensional diffusion processes with linear diffusion term

  • 11h15-12h15 : Pierre Cardaliaguet (Université Paris-Dauphine), Topics in mean field games

  • 11h15-12h15 : Libo Li (UNSW), A parametrix approach for first hitting time of one-dimensional elliptic diffusions
  • - Colloquium
    10h00-11h00 : Jianfeng Zhang (USC), Stochastic Calculus in Weak Formulation
    11h15-12h15 : Dan Crisan (Imperial College), Smoothing properties of McKean-Vlasov SDEs Institut Henri Poincaré (Salle 201)

  • 11h15-12h15 : Bruno Bouchard (Université Paris-Dauphine), Un nouveau résultat d’invariance stochastique, et applications en finance

  • 11h15-12h15 : Stéphane Villeneuve (TSE), How do probabilists understand Holmstrom-Milgrom model with limited liability

  • 11h15-12h15 : Hao Xing (LSE), Asset pricing under optimal contracts

  • 11h15-12h15 : Lukasz szpruch (University of Edinburgh)Multilevel Monte Carlo for McKean-Vlasov SDEs

  • 9h-11h : Mihail Zervos (London School of Economics), Continuous time contract theory models
    11h15-12h15 : Thibaut Mastrolia (Ecole Polytechnique), Moral hazard in welfare economics: on the advantage of Planner’s advices to manage employees’ actions

  • 9h-11h : Mihail Zervos (London School of Economics), Continuous time contract theory models
    11h15-12h15 : Scott Robertson, The pricing of contingent claims and optimal positions in asymptotically complete markets

  • 9h-10h : Monique Pontier (Institut Mathématique de Toulouse), Implied volatility phenomena as market's aversion to risk
    10h15-12h15 : Mihail Zervos (London School of Economics), Continuous time contract theory models

  • 9h-11h : Mihail Zervos (London School of Economics), Continuous time contract theory models

  • 9h-11h : Johannes Muhle-Karbe (University of Michigan), Equilibrium models with frictions
    11h15-12h15 : Yaroslav Melnyk (EPFL), Principal Component Gaussian Affine Term Structure Models

  • 9h-11h : Johannes Muhle-Karbe (University of Michigan), Equilibrium models with frictions
    11h15-12h15 : Johannes Muhle-Karbe (University of Michigan), The Risk-Tolerance Process and the Sensitivity of Optimal Investment and Consumption

  • 11h15-12h15 : Zhenjie Ren (Université Paris-Dauphine), Viscosity solutions of path-dependent PDEs

  • 11h15-12h15 : Marie-Claire Quenez (Université Paris Diderot), Arrêt optimal avec f-espérance et EDSR réfléchie: le cas d'un payoff complètement irrégulier

  • 11h15-12h15 : Walter Schachermayer (University of Vienna), The amazing power of dimensional analysis: Quantifying market impact

  • 11h15-12h15 : Mike Ludkovski (UCSB), Capacity Expansion Games with Application to Competition in Power Generation Investments

  • 11h15-12h15 : Paul Gassiat (Université Paris-Dauphine), A regularity structure for rough volatility

  • 11h15-12h15 : Antonis Papapantoleon, Multivariate Shortfall Risk Allocation and Systemic Risk

  • 9h-11h : Thematic cycle on MC techniques : L. Tamellini, PC approximation, Sparse grids.
    11h15-12h15 : Umberto Cherubini (University of Bologna), Marking to market Systemic Credit Risk with Contagion

  • 9h-11h : Thematic cycle on MC techniques : F. Nobile, PC approximation, Sparse grids.
    11h15-12h15 : Thorsten Rheinlander (Vienna University of Technology), Brownian trading excursions

  • 10h00-11h00 : Mihail Zervos (London School of Economics), Mean-variance hedging of employee stock options
    11h15-12h15 : Stefan Geiss (University of Bologna), On the chaos representation of permutation invariant functionals on the Levy-Ito space

  • 9h-11h : Thematic cycle on MC techniques : G. Migliorati, Random L2 regression methods.
    11h15-12h15 : Anthony Réveillac (INSA of Toulouse), Stochastic regularization effects of semi-martingales on random functions

  • 9h-11h : Thematic cycle on MC techniques : Raul Tempone, Sparse grids in option pricing of basket options. Multilevel Monte Carlo-Multi index Monte Carlo.
    11h15-12h15 : Sergio Pulido, Financial Models with Defaultable Numéraires

  • 9h-11h : Thematic cycle on MC techniques : Alvaro Moraes, Pure jump processes and Multilevel Monte Carlo.
    11h15-12h15 : Martin Larsson, Semi-static completeness and robust pricing by informed investors

  • 11h15-12h15 : Huyên Pham (Université Paris VII), Randomization method for optimal control of partially observed path-dependent SDEs

  • 11h15-12h15 : Mathieu Rosenbaum, Bornes inférieures asymptotiques pour le problème de tracking optimal

  • Thematic cycle on MC techniques : Workshop "Propagation d’incertitudes"
    Amphi Hermite

  • 11h15-12h15 : Sigrid Kallblad, Model-independent bounds for asian options: a dynamic programming approach

  • 11h15-12h15 : Jocelyne Bion-Nadal, Path-dependent parabolic PDEs and Path-dependent Feyman-Kac formula, .

  • 9h-11h : Thematic cycle on MC techniques : P. Del Moral, An introduction to Feynman-Kac integration and genealogical tree based particle models.
    11h15-12h15 : Kathrin Glau (TU Munich), Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing

  • 9h-11h : Thematic cycle on MC techniques : P. Del Moral, An introduction to Feynman-Kac integration and genealogical tree based particle models.
    11h15-12h15 : Juri Hinz, Pathwise approach to high-dimensional stochastic control with financial applications.

  • 9h-11h : Thematic cycle on MC techniques : P. Del Moral, An introduction to Feynman-Kac integration and genealogical tree based particle models.
    11h15-12h15 : Séance spéciale pour la chaire "Marché en Mutation" : Nizar Touzi, Continuous-time Principal-Agent problem and moral hazard.

  • 9h-11h : Thematic cycle on MC techniques : P. Del Moral, An introduction to Feynman-Kac integration and genealogical tree based particle models.
    11h15-12h15 : Xiaolu Tan (Université Paris-Dauphine), Branching diffusion representation of semi-linear PDEs and Monte Carlo approximation

  • 11h15-12h15 : Johannes Ruf, Convergence of local supermartingales and Novikov-type conditions for processes with jumps.

  • 11h15-12h15 : Arnulf Jentzen (ETH Zurich), Nonlinear stochastic ordinary and partial differential equations: Regularities and numerical approximations

  • 10h-11h : Eberhard Mayerhofer (Dublin City University), Robust Replication of Leveraged Funds 11h15-12h15 : Laurence Carassus (Université de Reims C-A), Non-concave optimal investment and no-arbitrage: a measure theoretical approach.

  • 11h15-12h15 : Camilo Garcia-Trillos (UCL), Estimation of future Initial Margin in a multi-curve interest rate framework

  • Thematic cycle on MC techniques : Workshop "Particle Methods for the management of risks"
    Telecom ParisTech

  • 11h15-12h15 : Damiano Brigo (ICL), Characterization of the Marshall-Olkin law via Markovian indicators: iterated default simulation

  • 11h15-12h15 : Marco Avellaneda, A holistic (and practical) approach for risk-managing equity derivatives

  • 11h15-12h15 : Walter Schachermayer, Transaction costs and shadow prices

  • 11h15-12h15 : Nabil Kazi-Tani (Université Lyon 1), Overreacting random walks tend to become amnesic

  • Optimization of the flow of dividends: 20 years later
  • - Séance spéciale pour la chaire "Risques Financiers"
    9h : Pierre Henry Labordère (Société Générale), Randomized Skorokhod Embedding Problems 10h30 : Séminaire "Chaire Risques Financiers" : Benjamin Jourdain (Ecole des Ponts, Université Paris-Est), Convergence forte du schéma de Ninomiya Victoir et méthode de Monte Carlo multipas.

  • 10h : Christophette Blanchet-Scalliet (Ecole Centrale de Lyon), Successive enlargement of filtrations and application to insider information 11h30 : Séance "Bachelier / Chaire FBF Marchés en Mutation (Ecole Polytechnique-Evry)" : Ashkan Nikeghbali (Université de Zürich), Thierry Roncalli (Lyxor), Modélisations de la dépendance et risque systémique : état de l'art et méthodes de graphe

  • Thematic cycle on MC techniques : Workshop "Stochastic Algorithms for Big Data"
    Amphithéâtre Herpin in the Esclangon building of Université Pierre et Marie Curie

  • 11h15-12h15 : Anna Aksamit (Oxford), Quantification of an additional information in robust framework

  • London-Paris Bachelier Workshop on Mathematical Finance

  • M.C. Quenez (Univ. Paris Diderot), Generalized Dynkin Games and DRBSDEs with Jumps.

  • Eberhard Mayerhofer (Dublin City University), The Limits of Leverage.

  • Fausto Gozzi (Luiss University)

  • O. Le Courtois On the tempered multistable approach and asset return modeling.

  • Stefan Gerhold (Vienna University of Technology), From Kellerer's Theorem to Local Volatility Models.

  • Agnès Sulem (INRIA), Optimal control of interbank contagion under partial information.

  • Ying Jiao (INRIA), The generalized density approach in progressive enlargements of filtrations.

  • 9h : E. Gobet (Ecole Polytechnique), Simulations d'évènements rares.
    10h30 : Séminaire « Chaire Risques Financiers » : B. Jourdain (Ecole des Ponts, Université Paris-Est), Estimation de la distance de Wasserstein entre les marginales d’une diffusion et de son schéma d'Euler

  • Dylan Possamai, BSDEs, Malliavin differentiability and existence of densities

  • 9h : Mathieu Rosenbaum (LPMA), Volatility is rough.
    10h30 : Séminaire « Chaire Marchés en Mutation » : McMaster University (Ecole des Ponts, Université Paris-Est), Bootstrap Percolation, Cascades and Financial Systemic Risk

  • Thaleia Zariphopoulou (Austin Texas)

  • Jean-David Fermanian (ENSAE-CREST), Dynamic correlation processes based on vines.

  • Journée des doctorants.

  • Olivier Guéant (LJLL - Denis Diderot), Optimal Execution Strategies: The Special Case of Accelerated Share Repurchase (ASR) Contracts.

  • Andrew Papanicolaou, Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.

  • Workshop dans le cadre de Semestre Thematique "Information in Finance and Insurance"

  • 9h : Nizar Touzi (CMAP), Quelques résultats explicites sur la surcouverture robuste à nombre fini de marginales données.
    10h30 : Pierre Henry-Labordère (Société Générale), Hedging: some aspects through local time.

  • Mihai SÎrbu, Asymptotic Perron's method in stochastic games and control.

  • Mohamed Mnif (Enit Tunis), Optimal consumption investment policies under state constraints and model uncertainty.

  • Bruno Bouchard (Univ. Paris-Dauphine), Perfect hedging in a model with market impact.

  • Thomas Kruse, Approximating irregular SDEs via iterative Skorokhod embeddings.

  • Thematic Semester on Commodity Derivatives Markets: Industrial Organization, Regulation and Financialization

  • Xiaolu Tan (Univ. Paris-Dauphine), Convergence of monotone numerical schemes for path-dependent PDEs.

  • Mihail Zervos (LSE), Agency, Firm Growth and Managerial Turnover.

  • Ernst Eberlein, Sensitivity Analysis in Lévy Fixed Income Theory.

  • Miryana Grigorova, EDSR réfléchies dont l’obstacle n’est pas continu à droite et arrêt optimal avec des g-espérances.

  • 9h : Marcel Nutz (Columbia), Complete Duality for Martingale Optimal Transport on the Line. 10h30 : Sandeep Juneja (Tata Inst. of Fundamental Research), Ordinal optimization - Empirical large deviations rate estimators, and multi-armed bandit method.

  • Conférence in the Memory of Marc Yor.

  • 9h : Nicole El Karoui (UPMC), Détection robuste d’un changement dans l’intensité d’un processus de Poisson. 10h30 : Séminaire « Chaire Risques Financiers » : Sandeep Juneja (Tata Inst. of Fundamental Research), Ordinal optimization - Empirical large deviations rate estimators, and multi-armed bandit method.

  • Zorana Grbac (Université Paris Diderot), No-arbitrage conditions in HJM multi-curve term structure models