| 18/06/24 | Nazem Khan | Chain or Channel? Channel Optimization with Heterogeneous Payments |
| 11/06/24 | Matthias Rakotomalala | Strategic geometric graphs through mean field games |
| 04/06/24 | Eva Löcherbach | Propagation du chaos conditionnelle pour des systèmes de particules ayant des sauts stables |
| 28/05/24 | Julien Reygner | Asymptotically unbiased approximation of the quasistationary distribution of diffusion processes with a decreasing time step Euler scheme |
| 21/05/24 | Jérôme Lelong | A pure dual approach for hedging Bermudan options |
| 14/05/24 | Mohamed Hamdouche | Generative modeling for time series via Schrodinger bridge |
| 30/04/24 | ** Pas d'exposé ** | |
| 26/03/24 | Clément Foucart | Processus de branchement avec collisions: premiers temps de passage, loi stationnaire et dualités |
| 19/03/24 | Hervé Andres | Implied volatility is (also) path-dependent. |
| 12/03/24 | Shaun Li | The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. |
| 05/03/24 | Mehdi Talbi | Mean-field games of optimal stopping: master equation and weak equilibria. |
| 27/02/24 | Songbo Wang | Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method. |
| 06/02/24 | Guillaume Szulda | On non-negative solutions of stochastic Volterra equations with jumps. |
| 30/01/24 | Arturo Kohatsu-Higa | Dérivation des processus tués |
| 23/01/24 | Alexis Anagnostakis | Approximation of the local time of a sticky diffusion and applications |
| 16/01/24 | Kexin Shao | Non-decreasing martingale couplings |
| 11/01/24 à 16h00 | Carlo Sgarra | Optimal reinsurance via BSDEs in a partially observable model with jump clusters |
| 12/12/23 | Lucia Caramellino | Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics |
| 05/12/23 | Nadia Oudjane | Optimizing over probability measures to manage distributed flexibilities in power systems |
| 21/11/23 | Nerea Vadillo | Risk valuation of quanto derivatives on temperature and electricity |
| 14/11/23 | Benjamin Jourdain | Propagation de la convexité et ordre convexe pour les diffusions unidimensionnelles |
| 07/11/23 | Guido Gazzani | Pricing and calibration of path-dependent volatility models |
| 19/10/23 | Séminaire commun MATHRISK / LPSM | Salle Jacques-Louis Lions, INRIA Paris, |
| 09h00-09h45 : Gudmund Pammer | Stretched Brownian Motion: Analysis of a Fixed-Point Scheme | |
| 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 | |
| 10/10/22 | Thibaut Bourdais | An entropy penalized approach for stochastic control problems |