11h15-12h15 : Julien Guyon Volatility Is (Mostly) Path-Dependent Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Alexandre Pannier On the ergodic behaviour of affine Volterra processes Institut Henri Poincaré (Salle 314)
11h15-12h15 : Giorgia CallegaroOptimal reinsurance via BSDEs in a partially observable contagion model with jump clusters Institut Henri Poincaré (Salle amphithéâtre Darboux)
10h15-11h00 : Blanka Horvath(King’s College London)
11h15-12h15 : Josef TeichmannRobust Optimal Growth Institut Henri Poincaré (Salle amphithéâtre Darboux)
11h15-12h15 : Chao Zhou (NUS) Large ranking games with diffusion control Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Paolo Di Tella ( TU Dresden) Progressive Enlargement of Filtrations and Control Problems for Step Processes Institut Henri Poincaré (Salle 201)
11h15-12h15 : Quentin Cormier ( INRIA et CMAP Polytechnique ) Synchronisation dans un modèle Kuramoto de jeu à champ moyen Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Jianfeng Zhang Set Valued HJB Equations Institut Henri Poincaré (Salle 314)
9h30-10h20 : Christian Bayer(WIAS - Berlin)Optimal stopping with signatures
10h20-10h50 : pause café 10h50-11h40 : Thibaut Mastrolia(UC Berkeley - IEOR)Incentive to shape equilibria in double auction markets 11h40-12h30 : Philip Protter(Columbia University)Optimal group size in microlending Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Zhenjie Ren (Univérsité Paris Dauphine) Mean-field Optimization regularized by Fisher Information Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Giorgio Ferrari (Bielefeld University) Consumption Decision, Portfolio Choice and Healthcare Irreversible Investment Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Cristopher Salvi (Imperial College London) Signature kernel methods Institut Henri Poincaré (Salle amphithéâtre Darboux)
11h15-12h15 : Peter Tankov (ENSAE-CREST) Decarbonization dynamics of a large financial market: a mean-field game approach Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Cyril Benezet (ENSIIE) Weak hedging problems: an optimal transport approach Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Ahmed Kebaier (Université d’Evry) The interpolated drift implicit Euler scheme Multilevel Monte Carlo method for pricing Barrier options and applications to the CIR and CEV models Institut Henri Poincaré (Salle 201)
9h30-10h20 : Christoph Reisinger(University of Oxford)Analysis and implementation of policy gradient methods for continuous-time stochastic control with an application in trade execution 10h20-10h50 : Pause café 10h50-11h40 : Anthony Réveillac(INSA Toulouse)Décomposition pseudo-chaotique pour les processus de comptage 11h40-12h30 : Dylan Possamaï(ETH Zürich)Time-inconsistency for moral hazard: consistent planning and stochastic target problems Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Arthur Charpentier (UQAM) Optimal Transport for Counterfactual Estimation: A Method for Causal Inference and Discrimination Institut Henri Poincaré (Salle 201)
11h15-12h15 : Scott Robertson (Boston University) Equilibrium with Heterogenous Information Flows Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Olivier Guéant (Université Paris 1 Panthéon-Sorbonne) Optimal liquidity provision in currency markets: from traditional FX to crypto markets Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Andrea Mazzon (Université de Munich) Reduced-form framework for multiple ordered default times under model uncertainty Institut Henri Poincaré (Salle 314)
11h15-12h15 : Peter Friz (TU Berlin) The Weak Rate Problem for Rough Volatility Institut Henri Poincaré (Amphi Hermitte)
9h00-11h00 : Peter Friz (TU Berlin) From Diamonds to Signatures
11h15-12h15 : Jean-Paul Décamps (Toulouse School of Economics) Mixed-Strategy Equilibria in the War of Attrition under Uncertainty Institut Henri Poincaré (Amphi Darboux)
9h00-11h00 : Peter Friz (TU Berlin) Rough Path Pricing in Local Stochastic Volatility Models
11h15-12h15 : Masaaki Fukawasa (Osaka University) When to efficiently rebalance a portfolio Institut Henri Poincaré (Amphi Hermitte)
09h30-10h20 : Jean-Pierre Fouque (University of California Santa Barbara) Reinforcement Learning Algorithm for Mixed Mean Field Control Games 10h20-10h50 : Pause café 10h50-11h40 : Ibrahim Ekren (Florida State University) Monge-Kantorovich Duality, Informed Trading, and Risk Aversion 11h40-12h30 : Roxana DUMITRESCU (King’s College) Energy transition: a mean-field game approach Institut Henri Poincaré (Salle 201)
11h15-12h15 : Emmanuelle Clément (Université Gustave Eiffel) Estimation of pure-jump stable CIR processes from high-frequency observations Institut Henri Poincaré (Salle 201)
10h15-11h15 : Walter Schachermayer (Universität Wien) A regularized Kellerer Theorem in arbitrary dimension 11h15-12h15 : Johannes Muhle-Karbe (Imperial College London) Managing Transaction Costs in Dynamic Trading Institut Henri Poincaré (Amphi Hermitte)
11h15-12h15 : Jinniao Qiu (Univsersity of Calgary) Stochastic Black-Scholes equation for option pricing under a non-Markovian framework Institut Henri Poincaré (Salle 01)
11h15-12h15 : Gaoyue Guo(CentraleSupelec), On the metrics of Wasserstein type Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Stéphane Crépey(Université de Paris, LPSM), Machine learning in finance: a medley Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Benjamin Jourdain(ENPC), Approximation de couplages martingales réels dans la topologie faible adaptée Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Dylan Possamaï(ETH Zurich), Non-asymptotic convergence rates for mean-field games: weak formulation and McKean–Vlasov BSDEs Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Stefano De Marco(Ecole Polytechnique), Local volatility from rough volatility Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Marcel Nutz(Columbia University), Stability of Entropic Optimal Transport and Convergence of Sinkhorn’s Algorithm Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Yating Liu(Université Paris-Dauphine), Functional convex order for the McKean-Vlasov equation (with an application in the framework of the stochastic control problem) Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Philippe Bergault(Ecole Polytechnique), Algorithmic market making in FX cash markets with hedging and market impact Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Laura TINSI(ENSAE Paris & EDF), Price formation and optimal trading in intraday electricity markets Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Clémence Alasseur(EDF), MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts Institut Henri Poincaré (Amphi Darboux)
11h15-12h15 : Eduardo Abi JaberDeep pricing with quantization hints Institut Henri Poincaré (Salle 201)
11h15-12h15 : Olivier Lopez(Sorbonne Université), Contagion and accumulation scenarios in cyber insurance Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Cyril Benezet(ENSIIE), Switching problems with controlled randomisation Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Hélène Halconruy(Université du Luxembourg), Délit d’initié dans un modèle trinomial revisité : une application du calcul de Malliavin pour des processus binomiaux marqués Institut Henri Poincaré (Salle 201)
11h15-12h15 : Haoyang Cao(Ecole polytechnique), Identifiability in Inverse Reinforcement Learning Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Sara Biagini(LUISS), Robust portfolio choice with sticky wages Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Wissal Sabbagh(ENSAE), Regression/Simulation Schemes for a Class of Anticipated BSDEs Institut Henri Poincaré (Amphi Hermite)
11h15-12h15 : Sarah Kaakaï(Le Mans Université), Optimal and sustainable Pay-As-You-Go pension with minimum pension guarantee Institut Henri Poincaré (Salle 201)
11h15-12h15 : Giorgio Ferrari(Bielefeld) Institut Henri Poincaré (Salle 314)
9h-11h : C. Fontana (Univ. de Padoue) & Z. Grbac (Univ. de Paris), Recent developments in interest rate modelling,
11h15-12h15 : Mikko Pakkanen (Imperial College London), Volatility remains rough TBA
11h15-12h15 : C. Fontana, Z. Grbac (Univ. de Padoue, Univ. de Paris, resp.), Recent developments in interest rate modelling 15h15-17h15 : Fabio Mercurio, sur Zoom Institut Henri Poincaré (Amphi Darboux)
9h-11h : C. Fontana, Z. Grbac (Univ. de Padoue, Univ. de Paris, resp.), Recent developments in interest rate modelling
11h15-12h15 : Peter Tankov(ENSAE), Optimal Exploration and Price Paths of a Non-renewable Commodity with Stochastic Discoveries Institut Henri Poincaré
11h15-12h15 : Aymeric Dieuleveut(Ecole Polytechnique), Federated Learning and optimization: from a gentle introduction to recent results Institut Henri Poincaré (Amphi Hermite)
10h15-11h15 : Walter Schachermayer(University of Vienna)
11h15-12h15 : Alessandro Calvia(LUISS), On a class of partially observed systems arising in singular optimal control Institut Henri Poincaré (Amphi Hermite)
9h-11h : Antoine Jacquier (Imperial College London), Quantum Computing for Mathematical Finance
11h15-12h00 : Charles-Albert LehalleSome open problems in scientific asset management I
12h00-12h45 : Marcos Lopez de PradoSome open problems in scientific asset management II Institut Henri Poincaré (Salle 314)
9h-10h : Alpar Meszaros(University of Durham)Global well-posedness of mean field games master equations under displacement monotonicity
10h15-12h15 : Antoine Jacquier (Imperial College London), Quantum Computing for Mathematical Finance Institut Henri Poincaré (Salle 201)
9h-11h : Antoine Jacquier (Imperial College London), Quantum Computing for Mathematical Finance
11h15-12h15 : Sergey Nadtochiy (IIT), Probabilistic solutions to Stefan equation with supercooling Institut Henri Poincaré (Salle 314)
9h-11h : Antoine Jacquier (Imperial College London), Quantum Computing for Mathematical Finance
11h15-12h15 : Sergio Pulido (IIT), The rough Heston model with self-exciting jumps Institut Henri Poincaré (Salle 201)
11h15-12h15 : Thomas Kruse(Justus Liebig University Giessen), Multilevel Picard approximations for high-dimensional semilinear parabolic partial differential equations Zoom
11h15-12h15 : Idris Kharroubi(Sorbonne Université, LPSM), Discretization and Neural Network approximation of BSDEs with a Constraint on the Gains-Process Zoom
11h15-12h15 : Marco Frittelli(Università degli Studi di Milano), Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality Zoom
11h15-12h15 : Stéphane Loisel(Université de Lyon, ISFA), Longevity risk and quickest detection problem: from theory to practice Zoom
11h15-12h15 : Giovanni Conforti(CMAP, École Polytechnique), On the turnpike property for stochastic control Zoom
11h15-12h15 : Andreas Sojmark (Imperial College London), Dynamic Default Contagion in Interbank Networks Zoom
Online closing workshop IdR « Advanced techniques for non-linear pricing and risk management »
10h00-10h15 : Introduction (J. Bonnefoy - AXA, B. Bouchard - Paris Dauphine, C. Mugnier - AXA)
10h15-10h45 : C. Bénézet(ENSIIE), Pricing with controlled loss, numerical methods
10h45-11h15 : A. Infante Acevedo(AXA), Numerical methods for ALM
11h30-12h15 : J. Teichmann(ETH Zürich), Deep Asset Liability management Zoom
11h15-12h15 : Elyes Jouini (Université Paris-Dauphine), Belief Dispersion and Decreasing Returns in the Stock Market and in the Real Economy, Zoom
11h15-12h15 : Francesca Biagini (LMU München), Reduced-form setting under model uncertainty with non-linear affine intensities Zoom
15h15-16h15 : Dan Lacker (Columbia University), Local stochastic volatility models and inverting the Markovian projection Zoom
11h15-12h15 : Daniel Bartl(Université de Vienne), On Monte-Carlo methods in convex stochastic optimization Zoom
11h15-12h15 : Roxana Dumitrescu (King's College), Control and optimal stopping Mean Field Games: a linear programming approach Zoom
11h15-12h15 : Agnès Sulem (Inria Paris), American options in a non-linear incomplete market model with default Zoom
11h15-12h15 : Adrien Richou (Université de Bordeaux), Reflected BSDEs in non-convex domains Zoom
15h15-16h15 : Sergey Nadtochiy (Illinois Institute of Technology), Buyer-Seller Games: from RBSDEs to the Concavity of Price Impact Zoom
11h15-12h15 : Saïd Hamadene (Laboratoire Manceau de Mathématiques, Le Mans Université), Mean-field Reflected Backward Stochastic Differential Equations Zoom
11h15-12h15 : Eduardo Abi Jaber (Université Paris 1 Panthéon-Sorbonne), Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation Zoom
11h15-12h15 : Blanka Horvath (King’s College London, Imperial College London), A Data-Driven Market Simulator for Small Data Environments Zoom
11h15-12h15 : Paolo Di Tella (TU Dresden), Martingale representation theorems in progressively enlarged filtrations and applications Zoom
11h15-12h15 : Jan Obloj (University of Oxford), Uncertainty Sensitivity Analysis in optimization Zoom
11h15-12h15 : Cornelis Oosterlee (Delft University of Technology), The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations, Zoom
11h15-12h15 : Xiaolu Tan, A \(C^{0,1}\)-functional Itô's formula and its applications in mathematical finance Zoom
15h15-16h15 : Annulé Zoom
11h15-12h15 : Sergio Pulido (ENSIIE, LaMME), American options in the rough Heston model Zoom
11h15-12h15 : Christoph Reisinger (Oxford), Time-stepping approximations to a particle system model of contagious defaults and convergence to the supercooled Stefan problem Zoom
11h15-12h15 : Lukasz Szpruch (Edinburgh University), Gradient Flows for Regularized Stochastic Control Problems. Zoom
11h15-12h15 : Enrique Zuazua (Université Friedrich-Alexander d'Erlangen-Nuremberg), Turpike Control and Machine Learning Zoom
15h15-16h15 : Ruoyu Wu (Iowa State University), Graphon mean field systems: large population and long time limits Zoom
15h15-16h15 : Wenpin Tang (Colombia University), Some stories about Brownian interacting systems with absorption Zoom
11h15-12h15 : Paolo Pigato (University of Rome Tor Vergata), Local and implied volatility under rough volatility Zoom
11h15-12h15 : Claudio Fontana (University of Padova), HJM models for multiple term structures under the real-world probability Zoom
11h15-12h15 : Béatrice Acciaio (ETH), Model-independence in a fixed-income market via weak optimal transport Zoom
10h15-11h05 : Séminaire de la Chaire Risques Financiers (Fondation du Risque - ENPC - Ecole Polytechnique - UPMC - Société Générale) : Gabriel Turinici, Evolution equations in metric spaces with applications to mean field games and adversarial learning
11h20-12h10 : Aurélien Alfonsi, A generic construction for high order approximation schemes of semigroups using random grids Institut Henri Poincaré (Salle 201)
11h15-12h15 : Paul Gassiat (Université Paris-Dauphine), Formules asymptotiques pour les modèles à volatilité stochastique rugueuse Institut Henri Poincaré (Amphithéâtre Hermite)
11h15-12h15 : Marie Amélie MORLAIS (Le Mans Université, LMM - Institut du Risque et de l'Assurance), Optimal switching problems with an infinite set of modes:
an approach by randomization and constrained backward SDEs Institut Henri Poincaré (Salle 314)
11h15-12h15 : Delia Coculescu (Université de Zürich), A continuous time model for the propagation of financial distress: the role of cooperation Institut Henri Poincaré (Salle 314)
11h15-12h15 : Emmanuel Gobet (CMAP), Meta-model of a large credit risk portfolio Institut Henri Poincaré (Salle 201)
11h15-12h15 : Eduardo Abi Jaber, Linear-quadratic control of stochastic Volterra equations Institut Henri Poincaré (Salle 314)
11h15-12h05 : Miryana Grigorova, Superhedging prices of options in a non-linear incomplete market model with default
12h10-13h00 : Jianfeng Zhang, Weak solution of mean field game master equations Institut Henri Poincaré (Salle 314)
9h-11h : Ivar Ekeland (Université Paris Dauphine), Economics of climate change and Green Finance
11h15-12h15 : Bruno Ziliotto, Partially Observable Markov Decision Processes with Finite Memory Institut Henri Poincaré (Salle 314)
9h-11h : Ivar Ekeland (Université Paris Dauphine), Economics of climate change and Green Finance
11h15-12h15 : Florent Benaych-Georges (CFM), RIE for cross-covariance matrices Institut Henri Poincaré (Salle 314)
9h-11h : Antoine Mandel (Université Paris 1 Pantheon Sorbonne), Economics of climate change and Green Finance,
11h15-12h15 : Antoine Jacquier (Imperial College London), Searching for lambda: consistent roughness under P and Q Institut Henri Poincaré (Amphithéâtre Hermite)
9h-11h : Antoine Mandel (Université Paris 1 Pantheon Sorbonne), Economics of climate change and Green Finance,
11h15-12h15 : Pas de séminaire Institut Henri Poincaré (Salle 314)
9h-11h : Sarah Kaakai (LMM, Université du Mans), Longévité,
11h15-12h15 : Alekos Cecchi, Selection by vanishing common noise for potential finite state mean field games Institut Henri Poincaré (Salle 314)
9h-11h : Sarah Kaakai (LMM, Université du Mans), Longévité,
11h15-12h15 : Christa Cuchiero (Université de Paris), Consistent minimal market models for the growth optimal portfolio Institut Henri Poincaré (Salle 314)
9h-11h : Nicole El Karoui and Stéphane Loisel (LPSM, Sorbonne Université and ISFA, Université Lyon 1), Longévité,
11h15-12h15 : Thorsten Schmidt, No arbitrage in insurance Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 314)
11h15-12h15 : Annulé Institut Henri Poincaré (Salle 201)
10h00-11h00 : Séminaire de la Chaire Risques Financiers (Fondation du Risque - ENPC - Ecole Polytechnique - UPMC - Société Générale) : Benjamin Jourdain (ENPC), une nouvelle famille de couplages martingales en dimension un
11h15-12h15 : Nabil Kazi-Tani (Université de Lyon 1), An open problem in ruin theory and its diffusion approximation regime Institut Henri Poincaré (Salle 314)
11h15-12h15 : Mohamed Mrad (Unversité Paris XIII), Recover Dynamic Utility from Monotonic Characteristic Processes Institut Henri Poincaré (Salle 314)
11h15-12h15 : Sean Meyn (University of Florida), Distributed Optimal Control for Virtual Energy Storage from Flexible Loads Institut Henri Poincaré (Salle 01)
11h15-12h15 : Emmanuel Lépinette (Université Paris-Dauphine), Pricing without martingale measure Institut Henri Poincaré (Salle 02)
11h15-12h15 : Peter Tankov (ENSAE), Mean field games of optimal stopping: a relaxed solution approach Institut Henri Poincaré (Salle 314)
11h15-12h15 : Hao Xing (LSE), Capital allocation under Fundamental Review of Trading Book Institut Henri Poincaré (Salle 314)
11h15-12h15 : Sigrid Källblad (Vienna University of Technology), Stochastic control of measure-valued martingales with applications to robust pricing and Skorokhod embedding problems Institut Henri Poincaré (Salle 314)
11h15-12h15 : Junjian Yang, Random horizon principal-agent problem Institut Henri Poincaré (Salle 314)
11h15-12h15 : Anthony Réveillac (INSA Toulouse), A revisit of the Borch rule for the Principal-Agent Risk-Sharing problem Institut Henri Poincaré (Salle 201)
11h15-12h15 : Matteo Basei (University of California), Nonzero-sum stochastic impulse games Institut Henri Poincaré (Salle 421)
11h15-12h15 : Carlo Sgarra, A Forward interest rates model based on branching processes Institut Henri Poincaré (Salle 314)
10h15-11h00 : Séminaire de la Chaire Risques Financiers (Fondation du Risque - ENPC - Ecole Polytechnique - UPMC - Société Générale) : Charles-Albert Lehalle (CFM), Optimal trading using signals
11h15-12h00 : Mathieu Rosenbaum (Ecole Polytechnique), A ranking methodology for market making Institut Henri Poincaré (Salle 314)
11h15-12h15 : Noufel Frikha (Paris Diderot), Integration by parts formulae for killed processes and their unbiased Monte Carlo simulation Institut Henri Poincaré (Salle 314)
9h-11h : Mathieu Rosenbaum (Ecole Polytechnique), Rough volatility
11h15-12h15 : Samuel Cohen (Oxford University), Learning and filtering in an uncertain setting Institut Henri Poincaré (Salle 314)
9h-11h : Mathieu Rosenbaum (Ecole Polytechnique), Rough volatility
11h15-12h15 : Gonçalo dos Reis (University of Edinburgh), Numerical methods for McKean-Vlasov equations: taming, Importance Sampling & LDP's Institut Henri Poincaré (Salle 314)
11h15-12h15 : Tahir Choulli (Université d'Alberta), How martingales' space grows when its Filtration is progressively enlarged with random times Institut Henri Poincaré (Salle 314)
11h15-12h15 : Alex Shapiro (Georgia Tech), Distributionally robust and risk averse stochastic programming Institut Henri Poincaré (Salle 314)
9h-11h : David Salant (TSE), Auctions in the Energy Sector: An Introduction and Survey
11h15-12h15 : Zorana GrbacTerm structure models for multiple curves with stochastic discontinuities Institut Henri Poincaré (Salle 314)
9h-11h : David Salant (TSE), Auctions in the Energy Sector: An Introduction and Survey
11h15-12h15 : Julien Claisse (Université Paris-Dauphine), Mean Field Games with Branching Institut Henri Poincaré (Salle 314)
9h-11h : David Salant (TSE), Auctions in the Energy Sector: An Introduction and Survey
11h15-12h15 : Johannes Ruf, Short- and long-term relative arbitrage in stochastic portfolio theory Institut Henri Poincaré (Salle 314)
9h-11h : David Salant (TSE), Auctions in the Energy Sector: An Introduction and Survey
11h15-12h15 : Beatrice Acciaio, Dynamic equilibrium via causal optimal transport Institut Henri Poincaré (Salle 314)
Séminaire de la Chaire Risques Financiers (Fondation du Risque - ENPC - Ecole Polytechnique - UPMC - Société Générale) :
10h15-11h05 : Zhenjie Ren, Mean-field Langevin dynamic and its application to neuron network
11h10-12h00 : Pierre Henry-Labordère, Des Ponts de Schrödinger aux réseaux de neurones Institut Henri Poincaré (Salle 01)
11h15-12h15 : Daniel Lacker (Columbia University), On the convergence of closed-loop Nash equilibria to the mean field game limit Institut Henri Poincaré (Salle 314)
9h-11h : G. Peyré, Optimal Transport & Machine Learning
11h15-12h15 : Olivier Guéant (Paris 1 Panthéon-Sorbonne), Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality Institut Henri Poincaré (Salle 314)
9th General AMaMeF conference Paris
9h-11h : M. Cuturi, Optimal Transport & Machine Learning
11h15-12h15 : Dan Crisan (Imperial College London), Modelling multi-period carbon markets using singular forward backward SDEs Institut Henri Poincaré (Amphithéâtre Darboux)
10h00-11h00 : Marcel Nutz (Columbia University), Fine Properties of the Optimal Skorokhod Embedding Problem
11h15-12h15 : Stefan Geiss (University of Jyväskylä), Weighted Bounded Mean Oscillation via decoupling and applications to BSDEs Institut Henri Poincaré (Salle 314)
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 : 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) A forward equation for barrier options for efficient model calibration 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 : Chunhua MA (Nankai University), Alpha-CIR model with branching processes in sovereign interest rate modelling Institut Henri Poincaré (Salle 314)
9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis,
11h15-12h15 : Michail Anthropelos (University of Piraeus), The effects of price impact upon optimal strategies Institut Henri Poincaré (Salle 314)
9h-11h : Stéphane Crépey (Université d'Evry), XVA analysis, , last part:
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)
9h-11h : Benjamin Jourdain (CERMICS-ENPC), Diffusions en interaction de champ moyen suivant le rang
11h15-12h15 : Knut Solna, On Non-Markovian Stochastic Volatility Models Institut Henri Poincaré (Salle 314)
9h-11h : Benjamin Jourdain (CERMICS-ENPC), Diffusions en interaction de champ moyen suivant le rang
11h15-12h15 : Alex Mijatovic (King's College), Exact simulation of the maximum of a stable process Institut Henri Poincaré (Salle 314)
9h-11h : Huyên Pham et René Aid (Université Paris-Diderot et Unversité Paris-Dauphine), Control of McKean-Vlasov equations, Part I
11h15-12h15 : Frank Riedel (Bielefeld University), Viability and arbitrage under Knightian Uncertainty Institut Henri Poincaré (Salle 314)
9h-11h : Huyên Pham (Université Paris-Diderot), Control of McKean-Vlasov equations, Part II
11h15-12h15 : Fausto GOZZI (Luiss University, Roma), Optimal economic growth in a spatially heterogeneous environment Institut Henri Poincaré (Salle 314)
11h15-12h15 : Julien Guyon (Bloomberg), On the joint calibration of SPX and VIX options Institut Henri Poincaré (Salle 314)
9h-11h : Samson LASAULCE (CentraleSupélec), Théorie des jeux : Outils de base et application aux réseaux sans fil et réseau d’électricité,
11h15-12h15 : Alexandre Richard, Convergence to equilibrium for Gaussian driven SDEs Institut Henri Poincaré (Salle 314)
9h-11h : Samson LASAULCE (CentraleSupélec), Théorie des jeux : Outils de base et application aux réseaux sans fil et réseau d’électricité,
11h15-12h15 : Marek Rutkowski (The University of Sydney), Nonlinear optimal stopping problem and valuation of American options Institut Henri Poincaré (Salle 314)
9h-11h : Samson LASAULCE (CentraleSupélec), Théorie des jeux : Outils de base et application aux réseaux sans fil et réseau d’électricité,
11h15-12h15 : Oleksii Mostovyi (University of Connecticut), Sensitivity analysis of the utility maximization problem with respect to model perturbations Institut Henri Poincaré (Salle 314)
11h15-12h15 : Arturo Kohatsu-Higa (Ritsumeikan University), Parametrix based simulations of order 2 Institut Henri Poincaré (Salle 314)
10h-11h : Samson LASAULCE (CentraleSupélec), Théorie des jeux : Outils de base et application aux réseaux sans fil et réseau d’électricité,
11h15-12h15 : Mathias Beiglböck (TU Vienna), A Benamou-Brenier type problem for martingale transport Institut Henri Poincaré (Salle 314)
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
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
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 SDEsInstitut 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 : 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
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
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
- 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
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 CourtoisOn 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.
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.
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
