Groupe de Travail Méthodes Stochastiques et Finance, 2014-2015

Informations pratiques:
Le jeudi à 14h00, salle 3B075, Bâtiment Copernic, Université de Marne-la-vallée.
Le lundi à 15h00, salle Orange, cinquième étage INRIA, Antenne place d'Italie. Ces dates sont indiquées en bleu.

Contacts: Aurélien Alfonsi, Dan Goreac, Ahmed Kebaier.

15/06/15 Stéphane Villeneuve Optimal exit under moral hazard
21/05/15 Lukasz Szpruch Customized projected numerical schemes for SDEs, BSDEs and Robbins-Monro type algorithms
11/05/15 Plamen Turkjediev Adaptive importance sampling schemes for backward stochastic differential equations with applications to variance reduction, large investor models, and stochastic optimal control
07/05/15 Stefano De Marco On robust hedging of options on VIX
16/04/15 Mihail Zervos 13h30 Optimal execution with multiplicative price impact
09/04/15 Axel Parmentier Risk Measures and shortest paths in graphs
02/04/15 Jacopo Corbetta General smile asymptotics and a multiscaling stochastic volatility model
26/03/15 Rémi Rhodes Autour des processus multifractals
16/03/15 Arnaud Lionnet Time-discretization of BSDEs with polynomial growth driver.
09/02/15 Iacopo Mastromatteo Market microstructure and large dimensions
05/02/15 Stéphane Crépey Bsdes of counterparty risk and invariant times
29/01/15 Etienne Chevalier Indifference pricing of variable annuities
22/01/15 Emmanuelle Clément 15h00 Couplage trajectoriel optimal entre une diffusion et son schéma d'Euler.
12/01/15 Roxana Dumitrescu Dynamic programming principle for combined optimal stopping and stochastic control with f-conditional expectations.
08/01/15 Stefano Pagliarani 14h45 Intrinsic Taylor formula for Kolmogorov-type homogeneous group
18/12/14 Clément Rey Approximation de semigroupes markoviens
08/12/14 Céline Labart Simulation of doubly reflected BSDEs with jumps and RCLL barriers.
04/12/14 Adrien Nguyen Huu Two problems of stopping with games
27/11/14 Kaouther Hajji Importance Sampling and Statistical Romberg Method for Levy processes
17/11/14 Pierre Henry-Labordère Méthodes numériques avec processus de branchement.
13/11/14 Anis Al Gerbi Ninomiya-Victoir scheme: asymptotic error distributions and multilevel Monte-Carlo
06/11/14 Richard Fischer Copule d'entropie maximale pour les statistiques d'ordre.
16/10/14 Pierre Blanc Dynamic optimal execution in a mixed-market-impact Hawkes price model.
06/10/14 Agnès Sulem Control of interbank contagion under partial information.

Précédents séminaires: