Groupe de Travail Méthodes Stochastiques et Finance
Informations pratiques:
Le mardi à 14h00, Salle de séminaire du CERMICS, B211.
Contacts: Aurélien Alfonsi,
Ahmed Kebaier.
Future sessions
May 5 2026: Peter Tankov,
TBA.
Past sessions
April 14 2026: René Aïd,
TBA.
April 7 2026: Olivier Guéant,
TBA.
March 24 2026: Yadh Hafsi,
TBA.
March 17 2026: Dimitri Sotnikov,
Chasing Stationarity: Exponentially Fading Memory Signature.
March 10 2026: Songbo Wang,
A conditional view on mean-field limits.
February 17 2026: Arthur Bourdon,
Linear independence properties of the signature components of time-augmented stochastic processes.
February 10 2026: Thomas Peyrat,
Multivariate self-exciting processes with dependencies for insurance stress testing.
February 3 2026: Alexandre Pannier,
Kolmogorov equations for stochastic Volterra processes with singular kernels.
January 27 2026: Conférence,
Advances in Financial Mathematics 2026.
January 20 2026, 14h30-15h15: Stefan Behringer,
Value of Information in Finance: From Shannon-Stratonovich Theory to Coherent Risk Measures.
January 20 2026, 14h00-14h30: Michel De Lara,
What Makes Information More Valuable? An Answer With Convex Analysis.
January 13 2026: Paul Maurer,
Approximation of 1D Gaussian Multiplicative Chaos by a class of integrated Volterra processes.
January 6 2026: Pierre Cardaliaguet,
Mean field control with absorption or stopping time.
December 16 2025: Pierre Monmarché,
Convergence locale pour des flots gradients Wasserstein et leurs particules champ-moyen.
December 9 2025: Othmane Zarhali,
From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model.
December 2 2025: Paul Gassiat,
Martingale property and moments in signature stochastic volatility models.
November 18 2025: Anh Dung Le,
Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations.
November 4 2025: Thibault Jeannin,
On The surjectivity of the conditional expectation given a real random variable.
October 14 2025: Claire Lacour,
Modèles de mélange non-paramétriques à variables latentes dépendantes.
October 7 2025: Cyril Bénézet,
Hedging Valuation Adjustment for Callable Claims.
June 17 2025: Roxana Dumitrescu,
On a Mertens decomposition and applications to finance.
June 17 2025: Jodi Dianetti,
Entropy-regularized Mean-field Games of Optimal Stopping.
May 27 2025: Vlad Bally,
Euler scheme approximation for the invariant measure of a flow.
May 13 2025: Élise Bayraktar,
Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model.
May 6 2025: Zhenjie Ren,
Some diffusion dynamics in machine learning.
April 29 2025: Mathis Fitoussi,
Weak discretization error techniques for singular drift SDEs.
April 8 2025: Antonio Ocello,
Convergence Analysis of Score-Based Generative Models: Towards Reliable Sampling.
March 25 2025: Emmanouil Sfendourakis,
From Glosten-Milgrom to the whole limit order book and applications to financial regulation.
March 18 2025: Yating Liu,
A Particle Method for Simulating the Path-Dependent McKean-Vlasov Equation.
March 11 2025: Quentin Cormier,
Stabilité et métastabilité pour des équations champ moyen.
March 4 2025: Ludovic Goudenège,
Numerical approximation of SDE with singular drifts : Application to rough Heston model.
February 11 2025: Matteo D’Achille,
** Reporté ** pas de séminaire.
February 4 2025: Tram Ngo,
Efficient estimation for stable-Lévy SDEs with constant scale coefficient.
January 28 2025: Ishak Hajjej,
The value of the information in the Moral Hazard setting.
January 21 2025: Natascha Hey,
Trading with Concave (Cross) Impact.
January 14 2025: Khue Ngoc Tran,
Density estimates for jump diffusion processes.
January 9 2025: Séminaire commun MATHRISK / LPSM,
Université Paris-Cité, Bâtiment Sophie Germain, Salle 0011,.
-
09h20-10h00: Olivier Guéant,
Market-Making Models: Overview and Applications to Precious Metals Markets. -
10h00-10h40: Peter Bank,
How much should we care what others know? Jump signals in optimal investment under relative performance concerns. -
11h10-11h50: Julien Guyon,
Fast Exact Joint S&P 500/VIX Smile Calibration in Discrete and Continuous Time. -
11h50-12h30: Mathieu Laurière,
Deep Learning for Stackelberg Mean Field Games via Single-Level Reformulation.
December 17 2024: Azar Louzi,
Multilevel Approximation Schemes for Value-at-Risk and Expected Shortfall.
December 10 2024: Etienne Chevalier,
Uncovering Marker Disorder and Liquidity Trends Detection.
December 3 2024: Dorinel Bastide,
Handling derivatives risks with a one-period network model.
November 26 2024: Jules Delemotte,
Smile dynamics and rough volatility.
November 19 2024: Labex Bezout,
Journée Labex Bezout .
November 12 2024: Inès Barahhou,
A framework to align sovereign bond portfolios with a net zero trajectory.
November 5 2024: Michael Samet,
Efficient Fourier Pricing of Multi-Asset Options.
October 17 2024: Florin Suciu,
A gradient flow on control space with rough initial condition.
October 8 2024: Anna De Crescenzo,
Mean-field control of non exchangeable systems.
October 1 2024: Anh Dung Le,
Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift.
June 18 2024: Nazem Khan,
Chain or Channel? Channel Optimization with Heterogeneous Payments.
June 11 2024: Matthias Rakotomalala,
Strategic geometric graphs through mean field games.
June 4 2024: Eva Löcherbach,
Propagation du chaos conditionnelle pour des systèmes de particules ayant des sauts stables.
May 28 2024: Julien Reygner,
Asymptotically unbiased approximation of the quasistationary distribution of diffusion processes with a decreasing time step Euler scheme.
May 21 2024: Jérôme Lelong,
A pure dual approach for hedging Bermudan options.
May 14 2024: Mohamed Hamdouche,
Generative modeling for time series via Schrodinger bridge.
March 26 2024: Clément Foucart,
Processus de branchement avec collisions: premiers temps de passage, loi stationnaire et dualités.
March 19 2024: Hervé Andres,
Implied volatility is (also) path-dependent.
March 12 2024: Shaun Li,
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles.
March 5 2024: Mehdi Talbi,
Mean-field games of optimal stopping: master equation and weak equilibria.
February 27 2024: Songbo Wang,
Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method.
February 6 2024: Guillaume Szulda,
On non-negative solutions of stochastic Volterra equations with jumps.
January 30 2024: Arturo Kohatsu-Higa,
Dérivation des processus tués.
January 23 2024: Alexis Anagnostakis,
Approximation of the local time of a sticky diffusion and applications.
January 16 2024: Kexin Shao,
Non-decreasing martingale couplings.
January 11 2024, 16h00: Carlo Sgarra,
Optimal reinsurance via BSDEs in a partially observable model with jump clusters.
2023/19/10, 09h00-09h45: Gudmund Pammer,
Stretched Brownian Motion: Analysis of a Fixed-Point Scheme.
December 12 2023: Lucia Caramellino,
Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics.
December 5 2023: Nadia Oudjane,
Optimizing over probability measures to manage distributed flexibilities in power systems.
November 21 2023: Nerea Vadillo,
Risk valuation of quanto derivatives on temperature and electricity.
November 14 2023: Benjamin Jourdain,
Propagation de la convexité et ordre convexe pour les diffusions unidimensionnelles.
November 7 2023: Guido Gazzani,
Pricing and calibration of path-dependent volatility models.
October 19 2023: Séminaire commun MATHRISK / LPSM,
Salle Jacques-Louis Lions, INRIA Paris.
-
09h45-10h30: Mehdi Talbi,
Sannikov’s contracting problem with many Agents. -
11h00-11h45: Robert Denkert,
Extended Mean Field Control Problems with Singular Controls. -
11h45-12h30: Aurélien Alfonsi,
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation.
June 19 2023: Loucas Pillaud-Vivien,
A discussion on some non-convex machine learning problem.
June 5 2023: Clément Rey,
Smoothing properties of discrete time Markov processes under Hormander assumption.
May 22 2023: Arnaud Gloter,
Vitesses d’estimation minimax pour données multivariées sous contrainte de confidentialité composante par composante.
May 15 2023: Grégoire Szymanski,
Statistical inference for rough volatility.
April 17 2023: Olivier Lopez,
Arbres de régression Pareto généralisés : applications à la tarification en cyber assurance et à l’évaluation du coût de catastrophes naturelles.
April 3 2023: Julien Claisse,
Mean-field Optimization regularized by Fisher Information.
March 27 2023: Laurence Carassus,
The Uniform Diversification Strategy Is Optimal for Expected Utility Maximization under High Model Ambiguity.
March 20 2023: Christophe Profeta,
Valeurs extrêmes pour certains processus de Lévy branchants.
March 13 2023: Alexandre Pannier,
Rough volatility, path-dependent PDEs and weak rates of convergence.
March 6 2023: Elise Bayraktar,
Estimation of pure-jump stable CIR processes.
February 13 2023: Badr-Eddine Chérief-Abdellatif,
Bayes meets Bernstein in Meta Learning.
February 6 2023: Bastien Mallein,
Particules extrêmes du mouvement brownien branchant en dimension d.
January 30 2023: Zhongyuan Cao,
Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures.
January 23 2023: Mohamed Mrad,
Solving some Stochastic Partial Differential Equations driven by non-finite Lévy measure using two SDEs.
January 16 2023: Damien Lamberton,
Régularité de la frontière d’exercice : une approche probabiliste.
January 9 2023: Stéphane Menozzi,
Multidimensional Stable driven McKean-Vlasov SDEs with distributional interaction kernel - a regularization by noise perspective.
December 12 2022: Djibril Sarr,
Reporté.
December 5 2022: Pierre Bras,
Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise.
November 28 2022: Hervé Andrès,
Signature-based validation of real-world economic scenarios.
November 21 2022: Guillaume Szulda,
CBI-time-changed Lévy processes.
November 14 2022: Roberta Flenghi,
Central limit theorem for the stratified selection mechanism.
November 7 2022: Edoardo Lombardo,
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids.
October 10 2022: Thibaut Bourdais,
An entropy penalized approach for stochastic control problems.
October 10 2022: Nerea Vadillo,
A stochastic volatility model for the valuation of temperature derivatives.
October 3 2022: Julien Guyon,
Volatility Is (Mostly) Path-Dependent.
June 23 2022: Michael Benzaquen,
Endogenous Liquidity Crises in Financial Markets: A Physicist’s Perspective.
June 9 2022: Gudmund Pammer,
The Wasserstein space of stochastic processes and computational aspects.
June 2 2022: Paul Gassiat,
Erreur faible dans les schémas numériques pour volatilité rugueuse.
May 19 2022: Cristina Di Girolami,
On the dynamic programming approach to optimal control of delay equations with delay in the control, a deterministic case.
May 12 2022: Zorana Grbac,
Term Structure Modeling With Overnight Rates Beyond Stochastic Continuity.
April 21 2022: Labex Assurance,
Demi-journée Labex Assurance .
April 14 2022: PREMIA,
Livraison PREMIA (centre Inria Paris 9h-12h).
April 7 2022: Séminaire commun MATHRISK / LPSM,
Amphi Turing, bâtiment Sophie Germain, Paris Diderot.
-
09h00-09h45: Giulia Di Nunno,
Stochastic games for Volterra time-changed Levy dynamics. -
09h45-10h30: Aurélien Alfonsi,
Approximation of Optimal Transport problems with marginal moments constraints. -
11h00-11h45: Marianne Akian,
Tropical numerical methods for solving stochastic control problems. -
11h45-12h30: Jean-François Chassagneux,
Numerical approximation of singular FBSDEs: application to carbon market.
March 31 2022: Maximilien Germain,
Control of state-constrained McKean-Vlasov equations: application to portfolio selection.
March 17 2022: Leila Bassou,
L’équilibre de Nash entre N agents économiques qui se détiennent mutuellement.
March 10 2022: Colloquium CERMICS,
Exposé de Hugo Duminil-Copin.
February 17 2022: Luca Galimberti,
Infinite-dimensional neural networks and Cauchy problems and pricing of derivatives.
February 10 2022: Alexandre Richard,
Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel.
January 27 2022: Giulia Livieri,
Analysis of bank leverage via dynamical systems and deep neural networks.
January 13 2022: Tomas Mehdi,
A characterisation of cross-impact kernels.
December 16 2021: Agnès Sulem,
Non-linear mixed optimal control/ stopping (game) problems and applications to American options in incomplete markets with imperfections.
December 9 2021: Chiara Amorino,
On the rate of estimation for the stationary distribution of stochastic differential equations with and without jumps.
December 2 2021: Yifeng Qin,
Total variation distance between a jump-equation and its Gaussian approximation.
November 18 2021: Thomas Deschatre et Pierre Gruet,
Electricity intraday price modeling with marked Hawkes processes.
October 14 2021: Sophian Mehalla,
Taux d’intérêt pour l’assurance : approximations et calibrages de modèles.
October 7 2021: Michael Allouche,
EV-GAN: Simulation of extreme events with ReLU neural networks.
September 30 2021: Lucia Caramellino,
Convergence rate of a hybrid numerical scheme for pricing options.
June 17 2021: Linda Chamakh,
Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio.
June 10 2021: Fabrice Djete,
Mean field game of mutual holding.
June 3 2021: Jérôme Lelong,
Automatic variance reduction for option pricing using neural networks.
May 27 2021: Conférence,
Conférence GP60.
May 20 2021: Emmanuelle Clément,
Approximation en variation totale d’une EDS dirigée par un processus localement stable.
May 6 2021: Heythem Farhat,
Caractérisation des lois marginales jointes d’une martingale et de son maximum courant.
April 15 2021: Séminaire commun MATHRISK / LPSM,
Zoom.
-
14h00-14h30: Dai Taguchi,
Backward and truncated Euler-Maruyama schemes for radial Dunkl processes. -
14h30-15h00: Benjamin Jourdain,
Approximation de couplages martingale réels dans la topologie faible adaptée. -
15h00-15h30: Idris Kharroubi,
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension. -
15h30-16h00: Hamed Amini,
Contagion Risks and Security Investment in Directed Networks.
April 8 2021: Sergio Pulido,
American options in the rough Heston model.
March 25 2021: Cyril Benezet,
Simulation et estimation de mesures de risque extrême pour les copules à facteur avec marginales données.
March 18 2021: Blanka Horvath,
Data-Driven Market Simulators and their Model Governance.
March 11 2021: Joffrey Derchu,
AHEAD : Ad Hoc Electronic Auction Design.
March 4 2021: Bastien Baldacci,
Stochastic control for smart order routing.
February 11 2021: Nadhir Ben Rached,
Importance sampling for a robust and efficient Multilevel Monte Carlo estimator for stochastic reaction networks.
January 28 2021: Paolo Pigato,
Short dated smile under rough volatility : asymptotic and numerics.
January 21 2021: Yating Liu,
Numerical analysis and simulation of the McKean-Vlasov Equation with Lipschitz coefficient.
January 14 2021: Chiheb Ben Hammouda,
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model.
December 10 2020: Tram Ngo,
Sigma-antithetic Multilevel Monte Carlo estimation : limit theorems.
November 26 2020: Hachem Madmoun,
Forecasting Market Turbulence Regimes.
November 19 2020: Adel Cherchali,
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests.
November 12 2020: Lucas Izydorczyk,
Fokker-Planck equations with terminal condition and related McKean probabilistic representation.
November 5 2020: Oumaima Bencheikh,
Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise.
October 8 2020: Benjamin Jourdain,
Théorème de la limite centrale pour des fonctionnelles non-linéaires des mesures empiriques.
April 2 2020: Lucas Izydorczyk,
Annulé.
March 19 2020: Christa Cuchiero,
Annulé.
March 12 2020: Ezechiel Kahn,
Strong solutions to a beta-Wishart particle system.
March 5 2020: Stefano de Marco,
Martingale Schrodinger problem and the calibration of stochastic volatility models.
February 27 2020: Florian Bourgey,
Meta-model of a large credit risk portfolio in the Gaussian copula and possible extensions.
February 6 2020: Séminaire commun MATHRISK / LPSM,
INRIA Paris, Salle Jacques Louis Lions 2.
-
11h00-11h45: Zorana Grbac,
Term structure models with stochastic discontinuities. -
11h45-12h30: Médéric Motte,
A mean-field approach to targeted advertising modelling. -
9h00-9h45: Antonino Zanette,
Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models. -
9h45-10h30: Christian Bayer,
Pricing American Options by Exercise Rate Optimization.
January 30 2020: François-Xavier Vialard,
Sinkhorn divergences for unbalanced optimal transport.
January 23 2020: Gabriel Turinici,
Equations d’évolution métriques pour l’apprentissage automatique et les distances statistiques associées.
November 28 2019: Sophian Mehalla,
Interest rate modelling in insurance: Jacobi stochastic volatility in the Libor Market Model.
November 21 2019: Alvin Tse,
L’approximation des équations de McKean-Vlasov par la dérivation dans l’espace de Wasserstein.
November 14 2019: Adel Cherchali,
A synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula.
October 17 2019: Séminaire commun MATHRISK / LPSM,
Salle 209 16-26, Jussieu.
-
11h00-11h45: Frédéric Bonnans,
Schauder Estimates for a Class of Potential Mean Field Games of Controls. -
11h45-12h30: Thibaut Mastrolia,
Regulation of natural resource exploitation. -
9h00-9h45: Zhenjie Ren,
Mean-field Langevin system, optimal control and deep neural networks. -
9h45-10h30: Stéphane Menozzi,
Well-Posedness of Some Non-Linear Stable Driven SDES. -
void: Sofiane Martel,
Approximation numérique de mesures invariantes de lois de conservation stochastiques.
October 10 2019: Thibaut Mastrolia,
Régulation de l’exploitation d’une ressource naturelle renouvelable.
October 3 2019: Loucas Pillaud-Vivien,
Different aspects of Stochastic gradient descent in Hilbert spaces for Machine Learning problems.
September 26 2019: Hoang-Long Ngo,
Implicit Euler–Maruyama scheme for radial Dunkl processes.
June 20 2019: Alexandre Boumezoued,
Estimation du taux de décès dans une dynamique de population.
June 6 2019: Tristan Guillaume,
Problèmes de franchissement de frontières aléatoires par des vecteurs Browniens à composantes corrélées.
May 16 2019: Archil Gulisashvili,
Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions.
May 9 2019: Julie Josse,
Consistence de l’apprentissage supervisée avec données manquantes.
April 18 2019: Eduardo Abi Jaber,
Affine and Quadratic Volterra processes and applications.
April 11 2019: Rafaël Coyaud,
Approximation of OT problems with marginal moments constraints.
March 21 2019: Gilles Pagès,
Variations sur les diffusions en temps long et leurs schémas d’approximation.
March 14 2019: Guillaume Perrin,
Exploiting code structure for statistical learning.
February 21 2019, 14h00: Damien Garreau,
Consistent change-point detection with kernels15h15: Arthur MenschDifferentiable Dynamic Programming for structured prediction and attention.
February 14 2019: Adrien Barrasso,
Decoupled mild solutions of PDEs (possibly path-dependent or with singular drift) represented by BSDEs.
February 7 2019, 15h00: Alvaro Leitao,
On an efficient one and multiple time-step Monte Carlo simulation of the SABR model.
February 7 2019, 14h00: Xiaolu Tan,
*On the optimal planning problem for a class of Mean Field Games. *.
January 31 2019: Robert Gower,
Optimal minibatch size for stochastic average gradient descent.
January 24 2019: Paul Gassiat,
Formules asymptotiques dans les modèles à volatilité stochastique rugueuse.
January 17 2019: Pierre Bellec,
Formule de Stein d’ordre 2 et quelques conséquences en optimisation et statistique avec bruit Gaussien.
January 10 2019: Nicolas Keriven,
Scalable model-free online change-point detection with NEWMA.
December 20 2018: Séminaire commun MATHRISK / LPSM,
salle P. Flajolet, INRIA, rue Simone Iff.
-
11h00-11h45: Benjamin Jourdain,
Différentiabilité du carré de la distance de Wasserstein quadratique. -
11h45-12h30: Noufel Frikha,
Well-posedness for some non-linear diffusion processes and related PDE on the Wasserstein space. -
9h00-9h45: Huyen Pham,
Deep learning algorithms for stochastic control problems. -
9h45-10h30: Gabriel Peyré,
Transport optimal numérique pour la science de données.
December 13 2018: Mathias Beiglböck,
Adapted Wasserstein Distances.
December 6 2018: Imen Ben Tahar,
Réseau électrique avec génération et stockage distribués : un modèle de type champs moyen.
November 30 2018, 9h30: Nicolas Flammarion,
Gen-Oja: A Simple and Efficient Algorithm for Streaming Generalized Eigenvector Computation.
November 15 2018: Sarah Kaakai,
A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales.
October 18 2018: Xiaofei Lu,
Limit order book modelling with high dimensional Hawkes processes.
October 11 2018: William Margheriti,
A new family of one dimensional martingale couplings.
October 4 2018: Clément Foucart,
Processus de branchement logistique en temps et en espace continu: Dualité et Réflexion à l’Infini.
June 14 2018, 15h00: Oumaima Bencheikh,
Biais de l’approximation particulaire d’EDS non linéaires au sens de McKean.
June 14 2018, 14h00: Ahmed Kebaier,
Propriétés statistiques pour des modèles avec sauts en finance.
May 31 2018, 15h30: Arturo Kohatsu-Higa,
IPB pour diffusions arrêtées.
May 31 2018, 14h00: Pierre Henry-Labordère,
Résolution de problèmes de contrôle stochastique par réseaux de neurones.
May 24 2018, 15h00: Shigeyoshi Ogawa,
Transformation de Fourier stochastique et quelques problèmes ouverts.
May 24 2018, 14h00: Mohamed Mrad,
Forward and Backward Monte Carlo simulations using Euler schemes and Random Number Generator Inversion.
May 3 2018: Sophie Laruelle,
Evolutions of Equity Market Microstructure: A Worlwide Empirical Analysis.
April 12 2018: Fabien Panloup,
Convergence à l’équilibre d’EDS fractionnaires.
March 28 2018: Séminaire commun MATHRISK / LPSM,
Salle 2015, bâtiment Sophie Germain, Paris Diderot.
-
11h00-11h45: Xiaolu Tan,
From Martingale Optimal Transport to McKean-Vlasov Control Problems. -
11h45-12h30: William Margheriti,
Nouvelle famille de couplages martingale en dimension un. -
9h00-9h45: Marie-Claire Quenez,
Options européennes dans un modèle de marché non-linéaire incomplet avec défaut. -
9h45-10h30: Andrea Molent,
The Impact of Taxation on GMWB Contract in a Stochastic Interest Rate Framework. -
void: Houzhi Li,
A model of market weight process and related portfolio performance.
March 22 2018: Nabil Kahale,
Randomized Dimension Reduction for Monte Carlo Simulations.
March 8 2018: Wissal Sabbagh,
The XVA Anticipated BSDEs.
February 15 2018: Clément Rey,
TCL pour la construction de mesures invariantes.
February 8 2018: René Aïd,
The coordination of centralised and distributed generation.
February 1 2018: Caroline Hillairet,
Trading against disorderly liquidation of a large position under asymmetric information and market impact.
January 25 2018: Sergio Pulido,
The Jacobi Stochastic Volatility Model.
January 18 2018: Thibaut Mastrolia,
Common Agency with information asymmetry in continuous time.
January 11 2018: Babacar Diallo,
XVA principles, Nested Monte-Carlo strategies and GPU optimization.
December 14 2017: Ludovic Goudenège,
Convergence et ordre d’un schéma de splitting en différences finies pour l’équation d’Allen-Cahn stochastique.
December 7 2017: Séminaire commun MATHRISK / LPMA,
salle 2015 bâtiment Sophie Germain, Paris Diderot.
-
11h00-11h45: Aurélien Alfonsi,
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. -
11h30-12h10: Idris Kharroubi,
Quenched mass transport of particles towards a target. -
9h00-9h45: Christa Cuchiero,
Probability measure valued polynomial processes. -
9h45-10h30: Olivier Guéant,
Short-term contingent claims on non-tradable assets: static hedging and pricing.
November 30 2017: Lionel Lenotre,
Simulation de processus de diffusion via le noyau de sa résolvante avec application à la simulation de processus de diffusion biaisés.
November 23 2017: Nadia Oudjane,
On some forward probablistic representations of nonlinear PDEs and applications to energy management.
November 9 2017: Benjamin Jourdain,
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems.
October 19 2017: Eduardo Abi Jaber,
Affine Volterra processes.
October 12 2017, 15h00: Ralf Korn,
Worst-case portfolio optimization.
October 12 2017: Arnaud Lionnet,
14h00 Numerical approximation of BSDEs with polynomial-growth drivers.
October 5 2017: Simone Scotti,
Alpha-CIR model with branching processes in sovereign interest rate modeling.
September 28 2017: Romain Poncet,
Méthodes numériques pour deux modèles stochastiques en condensation de Bose-Einstein.
June 15 2017: Emmanuelle Clément,
Densité en temps petit et propriété LAMN pour une EDS dirigée par un processus alpha-stable.
May 18 2017: Alexandre Richard,
Premier temps de passage de diffusions fractionnaires et application en neurosciences.
May 11 2017: Ngoc Khue Tran,
LAN property for some diffusion processes with jumps.
May 4 2017: Hadrien De March,
Structure des transports martingale.
April 20 2017: Pamela Saliba,
Le comportement des traders haute fréquence sur Euronext Paris.
March 30 2017: Clément Rey,
Algorithmes récursifs pour le calcul de mesures invariantes de processus markoviens.
March 23 2017: Claude Martini,
3 computations on SSVI.
March 16 2017: Séminaire commun MATHRISK / LPMA,
Salle Jacques-Louis Lions 1, Bat C.
-
14h45-15h25: Jean-François Chassagneux,
Cubature methods to solve BSDEs: error expansion and complexity control. -
15h25-16h05: Antonino Zanette,
Hybrid tree-finite difference methods for the Heston and Bates model with stochastic interest rate. -
16h35-17h15: Claudio Fontana,
General Dynamic Term Structures under Default Risk. -
17h15-17h55: Jacopo Corbetta,
Evolution of Wasserstein distance between Markov processes.
February 23 2017: Hamza Guennoun,
Local volatility models enhanced with jumps, 13h30-14h30.
February 2 2017: Daphné Giorgi,
Asymptotique des estimateurs Multilevel avec et sans poids, 13h30-14h30.
January 19 2017: Matyas Barczy,
Asymptotic properties of maximum likelihood estimator for the growth rate for some jump-type CIR processes.
January 10 2017: void,
Conférence Advances in Financial Mathematics.
January 5 2017: Côme Huré,
Algorithmic trading in a micro-structural limit order book model.
December 15 2016: Séminaire commun MATHRISK / LPMA,
salle 2015 bâtiment Sophie Germain, Paris Diderot.
-
10h45-11h25: Huyên Pham,
Robust Markowitz portfolio selection with ambiguous volatility and correlation. -
11h30-12h10: Jérôme Lelong,
Pricing American options using martingale bases. -
9h00-9h40: Ahmed Kebaier,
Improved adaptive multilevel Monte Carlo and applications to finance. -
9h45-10h10: Matteo Basei,
Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets.
December 8 2016: Leif Döring,
Skorokhod embedding for Lévy processes.
November 24 2016: Romuald Elie,
Mean field games et risque systémique.
November 10 2016: Omar El Euch,
Characteristic function of rough-Heston model, salle 3B082, Bâtiment Copernic.
October 13 2016: Eduardo Abi Jaber,
Stochastic invariance of closed sets with non-Lipschitz coefficients.
September 22 2016: Séminaire commun MATHRISK / LPMA,
Salle Jacques-Louis Lions 1, Bat C.
-
14h00-14h50: Benjamin Jourdain,
Existence pour le modèle regime switching local volatility calibré. -
15h00-15h50: Noufel Frikha,
A parametrix approach for first hitting times of one-dimensional elliptic diffusions. -
16h20-17h10: Peter Tankov,
Optimal Importance Sampling for Lévy Processes. -
17h20-18h10: Rui Chen,
Default contagion in financial systems with different recovery and related optimal connectivity problems.
June 9 2016: Peter Tankov,
Asymptotic Optimal Tracking: Lower Bounds and Feedback Strategies.
June 2 2016: Zhenjie Ren,
Viscosity solution of path-dependent PDE.
May 26 2016: Thibaut Mastrolia,
Moral hazard under ambiguity.
May 12 2016: Paul Gassiat,
Equations de Hamilton-Jacobi stochastiques : continuité par rapport au bruit et effets régularisants.
April 7 2016: Ahmed Kebaier,
Coupling importance sampling and Multilevel Euler Monte Carlo using sample average approximation.
March 31 2016: Ismail Laachir,
BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk.
March 24 2016: Julien Claisse,
Skorokhod embedding and robust hedging with local time.
March 7 2016: Bruno Bouchard,
First time to exit of a continuous Ito process: general moment estimates and L1-convergence rate for discrete time approximations.
March 7 2016: 16h15 Lorick Huang,
The parametrix technique for stable driven SDEs.
February 18 2016: Lucio Fiorin,
Pricing and calibration via quantization in local and stochastic volatility models.
February 8 2016: Yiyi Zou,
Hedging of covered options with price impact and gamma constraint.
February 4 2016: Wissal Sabbagh,
System of Reflected Stochastic PDEs in a domain.
January 28 2016: Arnaud Lionnet,
Equilibrium pricing under relative performance concerns, and the benefits of innovations for social agents.
January 21 2016: Oana Serea,
Control Problems Via Occupation Measures.
January 14 2016: Gang Liu,
Rare Event Simulation related to Financial Risk.
December 17 2015: Romuald Elie,
Design of optimal incentives for a system of competitive agents in interaction.
December 3 2015: Luciano Campi,
On the support of extremal martingale measures with given marginals.
November 26 2015: Shigeyoshi Ogawa,
Formules directes d’inversion de la Transformation de Fourier Stochastique.
November 19 2015: Zenghu Li,
Asymptotics of estimators in a stable Cox-Ingersoll-Ross model.
November 9 2015: Stéphane Menozzi,
Sensibilité des densités pour les diffusions et chaînes de Markov.
October 15 2015: Clément Rey,
Maximum Likelihood Estimation for Wishart processes.
June 15 2015: Stéphane Villeneuve,
Optimal exit under moral hazard.
May 21 2015: Lukasz Szpruch,
Customized projected numerical schemes for SDEs, BSDEs and Robbins-Monro type algorithms.
May 11 2015: Plamen Turkjediev,
Adaptive importance sampling schemes for backward stochastic differential equations with applications to variance reduction, large investor models, and stochastic optimal control.
May 7 2015: Stefano De Marco,
On robust hedging of options on VIX.
April 16 2015: Mihail Zervos,
13h30 Optimal execution with multiplicative price impact.
April 9 2015: Axel Parmentier,
Risk Measures and shortest paths in graphs.
April 2 2015: Jacopo Corbetta,
General smile asymptotics and a multiscaling stochastic volatility model.
March 26 2015: Rémi Rhodes,
Autour des processus multifractals.
March 16 2015: Arnaud Lionnet,
Time-discretization of BSDEs with polynomial growth driver.
February 9 2015: Iacopo Mastromatteo,
Market microstructure and large dimensions.
February 5 2015: Stéphane Crépey,
Bsdes of counterparty risk and invariant times.
January 29 2015: Etienne Chevalier,
Indifference pricing of variable annuities.
January 22 2015: Emmanuelle Clément,
15h00 Couplage trajectoriel optimal entre une diffusion et son schéma d’Euler.
January 12 2015: Roxana Dumitrescu,
Dynamic programming principle for combined optimal stopping and stochastic control with f-conditional expectations.
January 8 2015: Stefano Pagliarani,
14h45 Intrinsic Taylor formula for Kolmogorov-type homogeneous group.
December 18 2014: Clément Rey,
Approximation de semigroupes markoviens.
December 8 2014: Céline Labart,
Simulation of doubly reflected BSDEs with jumps and RCLL barriers.
December 4 2014: Adrien Nguyen Huu,
Two problems of stopping with games.
November 27 2014: Kaouther Hajji,
Importance Sampling and Statistical Romberg Method for Levy processes.
November 17 2014: Pierre Henry-Labordère,
Méthodes numériques avec processus de branchement.
November 13 2014: Anis Al Gerbi,
Ninomiya-Victoir scheme: asymptotic error distributions and multilevel Monte-Carlo.
November 6 2014: Richard Fischer,
Copule d’entropie maximale pour les statistiques d’ordre.
October 16 2014: Pierre Blanc,
Dynamic optimal execution in a mixed-market-impact Hawkes price model.
October 6 2014: Agnès Sulem,
Control of interbank contagion under partial information.
June 26 2014, 14h00: Andreea Minca,
When Do Creditors with Heterogeneous Beliefs Agree to Run?.
June 26 2014, 13h00: Thibaut Jaisson,
Limit theorems for nearly unstable Hawkes processes.
June 2 2014: Marie-Claire Quenez (14h00) Dan Goreac (15h00),
Double barrier reflected BSDEs and generalized Dynkin Games.
May 22 2014: Plamen Turkedjief,
Two schemes for discretizing Markovian quadratic BSDEs with Holder continuous terminal condition.
May 15 2014: Mark Podolskij,
A test for the rank of the volatility process: the random perturbation approach.
April 10 2014: Guillaume Poly,
La loi du logarithme itéré par la métrique de Wasserstein.
March 27 2014: Dylan Possamaï,
Moral Hazard in Dynamic Risk Management.
March 10 2014: Thomas Kruse,
BSDEs with singular terminal condition and applications to optimal trade execution.
February 13 2014: Vincent Lemaire,
Multilevel Richardson-Romberg extrapolation.
February 3 2014: Sophie Laruelle,
Algorithmes stochastiques appliqués en microstructure.
January 30 2014: Jean-François Chassagneux,
Stabilité numérique de schémas d’EDSR.
January 23 2014: Sebastian Niklitschek-Soto,
Probabilistic interpretation of some PDEs and associated numerical methods.
December 13 2013: Frederi Viens,
Comparaisons sur l’espace de Wiener avec applications.
November 29 2013: Youssef Ouknine,
Topics related to inhomogenuous skew Brownian motion.
November 22 2013: Ayech Bouselmi,
Comportement du prix critique d’un put américain près de l’échéance dans un modèle Jump diffusion.
November 15 2013: Takanori Adachi,
A categorical framework for risk measure theory.
November 8 2013: Pierre Blanc,
The fine structure of volatility feedback : overnight and intra-day effects.
October 11 2013: Benjamin Jourdain,
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme.
October 4 2013: Masaaki Fukasawa,
Effective discretization of stochastic differential equations.