Groupe de Travail Méthodes Stochastiques et Finance, 2019-2020

Informations pratiques:
Le jeudi à 14h00, Salle de séminaire du CERMICS, B214.

Contacts: Aurélien Alfonsi, Dan Goreac, Ahmed Kebaier.

02/04/20 Lucas Izydorczyk Annulé
19/03/20 Christa Cuchiero Annulé
12/03/20 Ezechiel Kahn Strong solutions to a beta-Wishart particle system
05/03/20 Stefano de Marco Martingale Schrodinger problem and the calibration of stochastic volatility models
27/02/20 Florian Bourgey Meta-model of a large credit risk portfolio in the Gaussian copula and possible extensions
06/02/20 Séminaire commun MATHRISK / LPSM INRIA Paris, Salle Jacques Louis Lions 2
9h00-9h45 : Antonino Zanette Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models
9h45-10h30 : Christian Bayer Pricing American Options by Exercise Rate Optimization
11h00-11h45 : Zorana Grbac Term structure models with stochastic discontinuities
11h45-12h30 : Médéric Motte A mean-field approach to targeted advertising modelling
30/01/20 François-Xavier Vialard Sinkhorn divergences for unbalanced optimal transport.
23/01/20 Gabriel Turinici Equations d'évolution métriques pour l'apprentissage automatique et les distances statistiques associées
28/11/19 Sophian Mehalla Interest rate modelling in insurance: Jacobi stochastic volatility in the Libor Market Model
21/11/19 Alvin Tse L'approximation des équations de McKean-Vlasov par la dérivation dans l'espace de Wasserstein
14/11/19 Adel Cherchali A synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula.
07/11/19 Sofiane Martel Approximation numérique de mesures invariantes de lois de conservation stochastiques
17/10/19 Séminaire commun MATHRISK / LPSM Salle 209 16-26, Jussieu
9h00-9h45 : Zhenjie Ren Mean-field Langevin system, optimal control and deep neural networks
9h45-10h30 : Stéphane Menozzi Well-Posedness of Some Non-Linear Stable Driven SDES
11h00-11h45 : Frédéric Bonnans Schauder Estimates for a Class of Potential Mean Field Games of Controls
11h45-12h30 : Thibaut Mastrolia Regulation of natural resource exploitation
10/10/19 Thibaut Mastrolia Régulation de l'exploitation d'une ressource naturelle renouvelable
03/10/19 Loucas Pillaud-Vivien Different aspects of Stochastic gradient descent in Hilbert spaces for Machine Learning problems
26/09/19 Hoang-Long Ngo Implicit Euler--Maruyama scheme for radial Dunkl processes.

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