Groupe de Travail Méthodes Stochastiques et Finance, 2023-2024

Informations pratiques:
Le mardi à 17h15, Salle de séminaire du CERMICS, B211.

Contacts: Aurélien Alfonsi, Ahmed Kebaier.

30/04/24 ** Pas d'exposé **
23/04/24 Mohamed Hamdouche
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

Précédents séminaires:
2022-2023 2021-2022 2020-2021 2019-2020 2018-2019 2017-2018 2016-2017 2015-2016 2014-2015 2013-2014.