Paris Bachelier Seminar

Schedule

2024-2025


  • 11h15-12h15 : Sergio Pulido (ENSIIE, LaMME) Polynomial Volterra processes
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Samuel Daudin (Paris Cité) Stable Optimal Parameters of Mean-Field Neural ODEs
    Amphi Darboux

  • 11h15-12h15 : Pas de séminaire
    Salle Maryam Mirzakhani (ex-salle 201)

  • 10h00-11h00 : Samuel Drapeau (Shanghai Jiao Tong University) On/Off Shore Currency Rate Discrepancy
    11h15-12h15 : Bruno Dupire (Bloomberg) A Market Design to Trade Bundles of Securities and Minimal Exercise of American Options
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 9h00-11h00 : Julien Hugonnier (EPFL) Mini-Course: The search theory of OTC Markets
    11h15-12h15 : Rama Cont (University of Oxford) Dynamic hedging with mis-specified models
    Salle Pierre Grisvard (ex-salle 314)

  • 9h00-11h00 : Julien Hugonnier (EPFL) Mini-Course: The search theory of OTC Markets
    11h15-12h15 : Ofelia Bonesini (LSE) Continuous-time persuasion by filtering
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Huyên Pham (Ecole Polytechnique) Control of large-scale heterogeneous systems: an extended graphon mean-field approach
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 9h00-11h00 : Julien Hugonnier (EPFL) Mini-Course: The search theory of OTC Markets
    11h15-12h15 : Julien Guyon (École des Ponts ParisTech) Neural joint S&P 500/VIX smile calibration
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Nabil Kazi-Tani (Université de Lorraine) Stochastic differential equations with normal reflection on time dependent domains
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 10h00-11h00 : David Siska (Edinburgh university) Continuous-time Policy Mirror Descent for Controlled Diffusions and Entropy Annealing
    11h15-12h15 : Renyuan Xu (NYU) Generative diffusion models: optimization, generalization and fine-tuning
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Noufel Frikha (Université Paris 1 Panthéon Sorbonne) On the convergence of the Euler-Maruyama scheme for McKean-Vlasov SDEs
    Amphi Darboux

  • 10h00-11h00 : Peter Bank (TU Berlin) Optimal execution and speculation with trade signals
    11h15-12h15 : Pavel Gapeev (LSE) Perpetual American standard and lookback options with event risk and asymmetric information
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 17th Colloquium Bachelier on Financial Mathematics and Stochastic Calculus
    Metabief

  • 11h15-12h15 : Nicolas Baradel (Inria, Ecole polytechnique) Contrôle optimal d’un processus ponctuel d’intensité méconnue
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Stefan Tappe (University of Freiburg) Real-world models for multiple term structures: A unifying HJM framework
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • AI, Science and Society
    École Polytechnique – IP Paris

  • 11h15-12h15 : Gechun Liang (Warwick University) Forward performance processes with unbounded market price of risk via ergodic quadratic BSDE
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Anthony Réveillac (Institut de Mathématique de Toulouse) Poisson imbedding meets the Malliavin calculus: representations of point processes and application to Insurance
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Mohamed Mrad (Université Sorbonne Paris Nord, LAGA) Forward Indifference Pricing
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Edouard MOTTE (Catholic University of Louvain) The Volterra Stein-Stein model with stochastic interest rates
    9h20-9h40 : Othmane ZARHALI (Université Paris Dauphine - CNRS) From rough to multifractal volatility, topics around the Log S-fBM model
    9h40-10h00 : Yadh HAFSI (Université Paris-Saclay, LaMME) Optimal Execution under Incomplete Information
    10h00-10h20 : Break
    10h20-10h40 : Fallou NIAKH (ENSAE IP Paris, CREST) P2P Risk Basis management for renewable production parametric insurance
    10h40-11h00 : Hamza BODOR (Centre d'économie de la Sorbonne) Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Donatien Hainaut (Catholic University of Louvain) Optimal control by policy improvements and constrained Gaussian process regressions
    Salle Pierre Grisvard

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Antoine LOTZ (Université Paris Dauphine & EDF Lab) A central limit theorem for locally stationary Hawkes processes
    9h20-9h40 : Elie ATTAL (CMAP, Ecole Polytechnique) From Hyper Rougness to Jumps as H → -1/2.
    9h40-10h00 : Lamia LAMRANI (Université Paris-Saclay, CentraleSupélec) Holdout method error and optimal split for large covariance matrix estimation
    10h00-10h20 : Break
    10h20-10h40 : Thomas PEYRAT (CREST-IMT-Exiom Partners) A Multivariate Self-Exciting Processes with Dependencies for actuarial applications
    10h40-11h00 : Benoît ORIOL (CEREMADE and Société Générale) Non-linear shrinkage of weighted sample covariances

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Stéphane Crépey (Université Paris Cité) Statistical Learning of Value-at-Risk and Expected Shortfall
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Benjamin Jourdain (École des Ponts ParisTech) Convex ordering of Gaussian mixtures
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Mathieu TRUC (R&D Milliman, LPSM) Multi-level Monte Carlo for economic capital estimation in insurance
    9h20-9h40 : Kaixin YAN (Ecole polytechnique, CMAP) Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
    9h40-10h00 : Ruben HAALEBOS (CREST/ENSAE/EDF) Reconstructing Economic Network Structures for Enhanced Climate Alignment Estimation
    10h00-10h20 : Break
    10h20-10h40 : Paulin AUBERT (LaMME, Université Paris-Saclay, UEVE, Exiom Partners, France) Market making in option markets with hedging-induced market impact
    10h40-11h00 : Amal OMRANI (CEREMADE, Paris Dauphine-PSL) Beyond the Leland Strategy

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Antonio Ocello (CMAP, École polytechnique, Institut Polytechnique de Paris) Finite-Sample Convergence Bounds for Trust Region Policy Optimization in Mean Field Games
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Dimitri SOTNIKOV (CMAP, Ecole Polytechnique & Engie Global Markets) Martingale property and moment explosions in signature volatility models
    9h20-9h40 : Xiaozhen WANG (Université Paris-Dauphine PSL) Convergence of Sinkhorn’s Algorithm for Entropic Martingale Optimal Transport Problem
    9h40-10h00 : Break
    10h00-10h20 : Zakaria BENSAID (LMM, Université du Mans) Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grid
    10h20-10h40 : Maxime GUELLIL (CMAP, LPSM) Complex discontinuities of √Fredholm determinants in the Volterra Stein-Stein model

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Marc Hoffmann (Paris Dauphine) Statistical estimation for rough volatility models
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 11h15-12h15 : Nacira Agram (KTH) SIG-BSDE for Dynamic Risk Measures
    Salle Yvette Cauchois (bâtiment Perrin, second étage)

  • 11h15-12h15 : Claudio Fontana (University of Padova)
    Salle Maryam Mirzakhani (ex-salle 201)

  • 10h00-11h00 : Oleksii Mostovyi (University of Connecticut) An approach to the greeks for indifference pricing
    11h15-12h15 : Roxana Dumitrescu (ENSAE IP Paris, CREST)
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • Conférence annuelle du réseau thématique MATRISK à Paris, Sorbonne Université, campus Jussieu
    Salle Yvette Cauchois (bâtiment Perrin, second étage)

  • 10h00-11h00 : Damien Challet
    11h15-12h15 : Idris Kharroubi (Sorbonne Université)
    Amphi Yvonne Choquet-Bruhat (bâtiment Perrin, second étage)

  • 12th General AMaMeF conference
    Metabief

  • 11h15-12h15 : Eyal Neuman (Imperial College London) An Offline Learning Approach to Propagator Models
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • 11h15-12h15 : Fabrice Mao Djete (Ecole Polytechnique) Stackelberg Mean Field Games: convergence and existence results to the problem of Principal with multiple Agents in competition
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • 11h15-12h15 : Florian Bourgey (Bloomberg) Climate Risk Assessment of a Large-sized Credit Portfolio
    Institut Henri Poincaré (Salle Olga Ladyjenskaïa ex salle 01 - 20 personnes)

  • 11h15-12h15 :
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • 11h15-12h15 : Mehdi Talbi (Université Paris-Cité) Mean-field games of optimal stopping: master equation and weak equilibria
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Marie Amelie Morlais (Le Mans Université) Epsilon-Nash equilibria of a Multi-player nonzero sum Dynkin game in discrete time
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Haoyang CAO (Ecole Polytechnique) Risk of Transfer Learning and its Applications in Finance
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • 10h00-11h00 : Toshihiro Yamada (Hitotsubashi University) On some approaches to weak approximation of SDEs
    11h15-12h15 : Bruno Bouchard On the regularity of a class of PPDE
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • 11h15-12h15 : David Zerbib (CREST, ENSAE) When Green Investors Are Green Consumers
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • 11h15-12h15 : Gaoyue GUO (Centrale) Quantum mean-field filtering and control
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • Conference at IHP : Mean field interactions with singular kernels and their approximations. All information can be found on the webpage .
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Nathan DE CARVALHO (LPSM, Université Paris Cité and Engie Global Markets) Generalized KKT conditions for continuous time control problems with inequality constraints: application battery modelling
    9h20-9h40 : Lorenzo CROISSANT (ENSAE) Near-continuous Time Reinforcement Learning with Continuous States
    9h40-10h00 : Fanny CARTELLIER (CREST, ENSAE Paris, Institut Polytechnique de Paris) Can investors curb greenwashing?
    10h00-10h20 : Break
    10h20-10h40 : Azar LOUZI (LPSM, Université Paris Cité) Multilevel Stochastic Approximation of the Value-at-Risk and Expected Shortfall
    10h40-11h00 : Songbo WANG, (CMAP, Ecole polytechnique) Uniform-in-time propagation of chaos

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Julian Gutierrez Pineda (CREST/ENSAE) Price Formation through Mean Field Games Models
    Institut Henri Poincaré (Salle Olga Ladyjenskaïa ex salle 01 - 20 personnes)

  • ( Colloque Bachelier en Mathématiques Financières et Calcul Stochastique ) )

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Matthias RAKOTOMALALA (CMAP Ecole Polytechnique) Forward Backward Systems on Riemannian Manifolds and Controlled Dynamic Random Geometric Graphs, an Approach to Strategic Networks in Mean Field Games.
    9h20-9h40 : Mohamed HAMDOUCHE (LPSM, Université Paris Cité) Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
    9h40-10h00 : Hervé ANDRES (Milliman & CERMICS) Path-dependent implied volatility surfaces
    10h00-10h20 : Break
    10h20-10h40 : Anna DE CRESCENZO (LPSM, Université Paris Cité) L2-approach to graphon mean-field systems
    10h40-11h00 : Ali BAOUAN, (CMAP Ecole polytechnique) Crediting football players for creating dangerous actions in an unbiased way: the generation of threat (GoT) indices.

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Monique PONTIER (Institut Mathématique de Toulouse) Weak Uniqueness for a PDE with Boundary Condition
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Kexin SHAO (Inria Mathrisk, Cermics Ecole des ponts; Ceremade Université ParisDauphine.) Non-decreasing martingale coupling
    9h20-9h40 : Florin SUCIU (CEREMADE, Université Paris Dauphine-PSL) Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method
    9h40-10h00 : Emmanouil SFENDOURAKIS (CMAP, Ecole polytechnique) Understanding the worst-kept secret of high-frequency trading
    10h00-10h20 : Break
    10h20-10h40 : Charles MEYNARD (CMAP, Ecole polytechnique) Noise through an additional variable for mean field games master equation on finite state space
    10h40-11h00 : Xiaoyuan (Shaun) LI, (Université Paris 1 Panthéon-Sorbonne.) The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Giovanni Conforti (CMAP, Polytechnique) On the rate of convergence for score based diffusion models
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Dorinel BASTIDE (LaMME, Université d’Evry, Université Paris-Saclay GS Math.) Stochastic modeling of financial networks dominated by clearing central counterparties and applications to bank stress test exercises
    9h20-9h40 : Jules DELEMOTTE (CMAP Ecole polytechnique) Evaluating the Skew-Stickiness Ratio in stochastic and rough volatility models
    9h40-10h00 : Louis-Amand GERARD (CES, Paris 1 Panthéon-Sorbonne) Signature volatility models: fast pricing and hedging with Fourier
    10h00-10h20 : Break
    10h20-10h40 : Christian YEO, (LPSM Sorbonne Université and ENGIE Global Markets) Convex ordering for stochastic control: the swing contracts case
    10h40-11h00 : Lionel Sopgoui, (LPSM Université Paris Cité, Direction des risques BPCE, and Department of Mathematics Imperial College London.) Impact of Climate transition on Recovery and on Loss Given Default with stochastic collaterals.

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Antonio OCELLO (CMAP, Ecole polytechnique) Optimal stopping problem for branching diffusion processes
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • 9h00-11h00 : Christian Bayer (WIAS Berlin) Signature methods in finance
    11h15-12h15 : Paul Gassiat (Paris Dauphine) Gradient flow on control space with rough initial condition
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 9h00-11h00 : Christian Bayer (WIAS Berlin) Signature methods in finance
    11h15-12h15 : Sarah Kaakaï (Université du Mans et Ecole Polytechnique) A deep learning scheme for the simulation of dynamic utilities using ergodic BSDEs
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Bruno Ziliotto (Paris Dauphine, PSL) Prophet Inequalities Require Only a Constant Number of Samples
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 9h00-11h00 : Christa Cuchiero (University of Vienna) Signature methods in finance
    11h15-12h15 : Mohamed MNIF (Lamsin, ENIT) Deep Backward Schemes for High-Dimensional Portfolio Optimization Problem
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 9h00-11h00 : Christa Cuchiero (University of Vienna) Signature methods in finance
    11h15-12h15 : Grégoire Loeper (BNP Paribas) Black and Scholes, Legendre and Sinkhorn
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • 11h15-12h15 : Pas de séminaire
    Institut Henri Poincaré (Amphithéâtre Darboux)

  • 9h00-11h00 : Gilles Pagès (Sorbonne Université) Functional convex ordering of stochastic processes : a constructive approach with applications to Finance
    11h15-12h15 : Jean-François Chassagneux (Université Paris Cité) Computing the stationary measure of McKean-Vlasov SDEs
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 9h00-11h00 : Gilles Pagès (Sorbonne Université) Functional convex ordering of stochastic processes : a constructive approach with applications to Finance
    11h15-12h15 : Cody HYNDMAN (Concordia University) Arbitrage-free yield curve and bond price forecasting by deep neural networks
    Institut Henri Poincaré (Salle Pierre Grisvard ex salle 314)

  • 9h00-11h00 : Gilles Pagès (Sorbonne Université) Functional convex ordering of stochastic processes : a constructive approach with applications to Finance
    11h15-12h15 : Yufei ZHANG (Imperial College) Alpha potential games: A new paradigm for N-player games
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Charles Bertucci (CMAP, Ecole Polytechnique) Stochastic optimal transport and HJB equations on the set of probability measures
    Institut Henri Poincaré (Salle Maryam Mirzakhani, ex salle 201 - 30 personnes)

  • 11h15-12h15 : Emma Hubert (Princeton University) A new approach to principal-agent problems with volatility control
    Institut Henri Poincaré (Salle Maryam Mirzakhani, ex salle 201 - 30 personnes)

  • Séminaire Doctorants (9h00-11h00)
    9h00-9h20 : Edoardo LOMBARDO (Ecole des Ponts ParisTech / Università degli studi di Roma Tor Vergata) High order approximation of (log)Heston semigroup with application to rough Heston Model.
    9h20-9h40 : Redouane SILVENTE (ENSAE Paris, CREST) Optimal control of storage and intraday price formation in electricity markets
    9h40-10h00 : Adil Rengim CETINGOZ (Université Paris 1, Panthéon-Sorbonne/Amundi Asset Management) Asset and Factor Risk Budgeting: A Balanced Approach
    10h00-10h20 : Break
    10h20-10h40 : Nisrine MADHAR (LPSM, Université Paris Cité) Tail-Related Risk Measures Estimation using Stochastic Simulation of Extremes
    10h40-11h00 : Nathan SAULDUBOIS (CMAP, Ecole polytechnique) First order Martingale model risk hedging

    Séminaire Bachelier (11h15-12h15)
    11h15-12h15 : Umut Çetin (London School of Economics) Kyle model with penalties, BSDEs and entropy
    Institut Henri Poincaré (Salle Maryam Mirzakhani, ex salle 201 - 30 personnes)

  • 11h15-12h15 : Libo Li (University of New South Wales, Sydney) Vulnerable European and American Options in a Market Model with Optional Hazard
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Thomas Cavallazzi (Centrale Supelec) Propagation of chaos for mean-field systems with stable Lévy noise.
    Institut Henri Poincaré (Amphithéâtre Hermite)

  • 11h15-12h15 : Pas de séminaire
    Institut Henri Poincaré (Salle Maryam Mirzakhani, ex salle 201 - 30 personnes)

  • 14h-18h, 9h-16h :  London-Paris Bachelier Workshop
    Institut Henri Poincaré

  • 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 Callegaro Optimal 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 Teichmann Robust 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)

  • Kings College-Université de Paris, Workshop: « Mean-field reinforcement learning and applications »
    En ligne

  • 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 Jaber Deep 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, pdf
    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)

  • 11h15-12h15 : Alain Durmus (ENS Cachan), Non-Equilibrium Sampling
    Institut Henri Poincaré (Salle 201)

  • 9h-11h : Antoine Jacquier (Imperial College London), Quantum Computing for Mathematical Finance
    11h15-12h00 : Charles-Albert Lehalle Some open problems in scientific asset management I
    12h00-12h45 : Marcos Lopez de Prado Some 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, pdf
    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

  • Online London-Paris Bachelier Workshop (inscription obligatoire)
    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, pdf
    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)

  • Advances in Financial Mathematics 2020
    Paris

  • 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)

  • Model Uncertainty in Risk Management
    Paris

  • 9h-11h : Antoine Mandel (Université Paris 1 Pantheon Sorbonne​), Economics of climate change and Green Finance, pdf
    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, pdf
    11h15-12h15 : Pas de séminaire
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Sarah Kaakai (LMM, Université du Mans), Longévité, pdf
    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, pdf
    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, pdf
    11h15-12h15 : Thorsten Schmidt, No arbitrage in insurance
    Institut Henri Poincaré (Salle 314)

  • 9h-11h : Annulé
    11h15-12h15 : Annulé
    Institut Henri Poincaré (Salle 201)

  • 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)

  • Workshop « Non-linear methods for risk management »
    AXA, 25 avenue Matignon, Paris

  • 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)

  • International conference in the honor of Nicole El Karoui 75th birthday
    Paris

  • 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)

  • 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 : 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, pdf
    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, pdf
    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, pdf
    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, pdf, last part: pdf
    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 : Camilo Garcia Trillos (UCL), Solving mean-reflected BSDEs
    Institut Henri Poincaré (Salle 314)

  • 11h15-12h15 : Chao Zhou (NUS), Investment Decisions and Falling Cost of Data Analytics
    Institut Henri Poincaré (Salle 314)

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

  • 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, pdf
    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, pdf
    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, pdf
    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, pdf
    11h15-12h15 : Mathias Beiglböck (TU Vienna), A Benamou-Brenier type problem for martingale transport
    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, pdf
    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, pdf
    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, pdf
    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, pdf.

  • 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