Groupe de Travail Méthodes Stochastiques et Finance, 2025-2026

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

Contacts: Aurélien Alfonsi, Ahmed Kebaier.

05/05/26 Peter Tankov TBA
14/04/26 René Aïd TBA
07/04/26 Olivier Guéant TBA
24/03/26 Yadh Hafsi TBA
17/03/26 Dimitri Sotnikov Chasing Stationarity: Exponentially Fading Memory Signature.
10/03/26 Songbo Wang A conditional view on mean-field limits.
17/02/26 Arthur Bourdon Linear independence properties of the signature components of time-augmented stochastic processes.
10/02/26 Thomas Peyrat Multivariate self-exciting processes with dependencies for insurance stress testing.
03/02/26 Alexandre Pannier Kolmogorov equations for stochastic Volterra processes with singular kernels.
27/01/26 Conf Advances
20/01/26 Michel De Lara (14h00-14h30)
Stefan Behringer (14h30-15h15)
What Makes Information More Valuable? An Answer With Convex Analysis.
Value of Information in Finance: From Shannon-Stratonovich Theory to Coherent Risk Measures.
13/01/26 Paul Maurer Approximation of 1D Gaussian Multiplicative Chaos by a class of integrated Volterra processes
06/01/26 Pierre Cardaliaguet Mean field control with absorption or stopping time
16/12/25 Pierre Monmarché Convergence locale pour des flots gradients Wasserstein et leurs particules champ-moyen
09/12/25 Othmane Zarhali From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
02/12/25 Paul Gassiat Martingale property and moments in signature stochastic volatility models
18/11/25 Anh Dung Le Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations
04/11/25 Thibault Jeannin On The surjectivity of the conditional expectation given a real random variable
14/10/25 Claire Lacour Modèles de mélange non-paramétriques à variables latentes dépendantes
07/10/25 Cyril Bénézet Hedging Valuation Adjustment for Callable Claims

Précédents séminaires:
2024-2025 2023-2024 2022-2023 2021-2022 2020-2021 2019-2020 2018-2019 2017-2018 2016-2017 2015-2016 2014-2015 2013-2014.