Groupe de Travail Méthodes Stochastiques et Finance, 2022-2023

Informations pratiques:
Le lundi à 17h00, Salle de séminaire du CERMICS, B211.

Contacts: Aurélien Alfonsi, Ahmed Kebaier.

19/06/23 Loucas Pillaud-Vivien TBA
15/05/23 Grégoire Szymanski TBA
17/04/23 Olivier Lopez TBA (Salle F103)
03/04/23 Julien Claisse TBA
27/03/23 Laurence Carassus The Uniform Diversification Strategy Is Optimal for Expected Utility Maximization under High Model Ambiguity
20/03/23 Christophe Profeta Valeurs extrêmes pour certains processus de Lévy branchants
13/03/23 Alexandre Pannier Rough volatility, path-dependent PDEs and weak rates of convergence
06/03/23 Elise Bayraktar Estimation of pure-jump stable CIR processes
13/02/23 Badr-Eddine Chérief-Abdellatif Bayes meets Bernstein in Meta Learning
06/02/23 Bastien Mallein Particules extrêmes du mouvement brownien branchant en dimension d
30/01/23 Zhongyuan Cao Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures
23/01/23 Mohamed Mrad Solving some Stochastic Partial Differential Equations driven by non-finite Lévy measure using two SDEs
16/01/23 Damien Lamberton Régularité de la frontière d'exercice : une approche probabiliste
09/01/23 Stéphane Menozzi Multidimensional Stable driven McKean-Vlasov SDEs with distributional interaction kernel - a regularization by noise perspective.
12/12/22 Djibril Sarr *** Reporté ***
05/12/22 Pierre Bras Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise
28/11/22 Hervé Andrès Signature-based validation of real-world economic scenarios
21/11/22 Guillaume Szulda CBI-time-changed Lévy processes
14/11/22 Roberta Flenghi Central limit theorem for the stratified selection mechanism
07/11/22 Edoardo Lombardo High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
10/10/22 Nerea Vadillo A stochastic volatility model for the valuation of temperature derivatives
03/10/22 Julien Guyon Volatility Is (Mostly) Path-Dependent

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