17/06/21 | Linda Chamakh | Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio |
10/06/21 | Fabrice Djete | Mean field game of mutual holding |
03/06/21 | Jérôme Lelong | Automatic variance reduction for option pricing using neural networks |
27/05/21 | Conférence GP60 | |
20/05/21 | Emmanuelle Clément | Approximation en variation totale d'une EDS dirigée par un processus localement stable |
06/05/21 | Heythem Farhat | Caractérisation des lois marginales jointes d'une martingale et de son maximum courant |
15/04/21 | 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 |
08/04/21 | Sergio Pulido | American options in the rough Heston model |
25/03/21 | Cyril Benezet | Simulation et estimation de mesures de risque extrême pour les copules à facteur avec marginales données |
18/03/21 | Blanka Horvath | Data-Driven Market Simulators and their Model Governance |
11/03/21 | Joffrey Derchu | AHEAD : Ad Hoc Electronic Auction Design |
04/03/21 | Bastien Baldacci | Stochastic control for smart order routing |
11/02/21 | Nadhir Ben Rached | Importance sampling for a robust and efficient Multilevel Monte Carlo estimator for stochastic reaction networks |
28/01/21 | Paolo Pigato | Short dated smile under rough volatility : asymptotic and numerics |
21/01/21 | Yating Liu | Numerical analysis and simulation of the McKean-Vlasov Equation with Lipschitz coefficient |
14/01/21 | Chiheb Ben Hammouda | Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model |
10/12/20 | Tram Ngo | Sigma-antithetic Multilevel Monte Carlo estimation : limit theorems |
26/11/20 | Hachem Madmoun | Forecasting Market Turbulence Regimes |
19/11/20 | Adel Cherchali | Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests |
12/11/20 | Lucas Izydorczyk | Fokker-Planck equations with terminal condition and related McKean probabilistic representation |
05/11/20 | Oumaima Bencheikh | Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise |
08/10/20 | Benjamin Jourdain | Théorème de la limite centrale pour des fonctionnelles non-linéaires des mesures empiriques |