Groupe de Travail Méthodes Stochastiques et Finance, 2021-2022

Informations pratiques:
Le jeudi à 14h00, Salle de séminaire du CERMICS, B211.

Contacts: Aurélien Alfonsi, Dan Goreac, Ahmed Kebaier.

24/06/22 Michael Benzaquen Endogenous Liquidity Crises in Financial Markets: A Physicist's Perspective
09/06/22 Gudmund Pammer TBA
02/06/22 Paul Gassiat TBA
19/05/22 Cristina Di Girolami TBA
12/05/22 Zorana Grbac Term Structure Modeling With Overnight Rates Beyond Stochastic Continuity
21/04/22 Demi-journée Labex Assurance
14/04/22 Livraison PREMIA (centre Inria Paris 9h-12h)
07/04/22 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
31/03/22 Maximilien Germain Control of state-constrained McKean-Vlasov equations: application to portfolio selection
17/03/22 Leila Bassou L'équilibre de Nash entre N agents économiques qui se détiennent mutuellement
10/03/22 ** Colloquium CERMICS Hugo Duminil-Copin**
17/02/22 Luca Galimberti Infinite-dimensional neural networks and Cauchy problems and pricing of derivatives
10/02/22 Alexandre Richard Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
27/01/22 Giulia Livieri Analysis of bank leverage via dynamical systems and deep neural networks
13/01/22 Tomas Mehdi A characterisation of cross-impact kernels
16/12/21 Agnès Sulem Non-linear mixed optimal control/ stopping (game) problems and applications to American options in incomplete markets with imperfections
09/12/21 Chiara Amorino On the rate of estimation for the stationary distribution of stochastic differential equations with and without jumps.
02/12/21 Yifeng Qin Total variation distance between a jump-equation and its Gaussian approximation
18/11/21 Thomas Deschatre et Pierre Gruet Electricity intraday price modeling with marked Hawkes processes
14/10/21 Sophian Mehalla Taux d'intérêt pour l'assurance : approximations et calibrages de modèles
07/10/21 Michael Allouche EV-GAN: Simulation of extreme events with ReLU neural networks
30/09/21 Lucia Caramellino Convergence rate of a hybrid numerical scheme for pricing options

Précédents séminaires:
2020-2021 2019-2020 2018-2019 2017-2018 2016-2017 2015-2016 2014-2015 2013-2014.