Groupe de Travail Méthodes Stochastiques et Finance
Informations pratiques:
Le mardi à 14h00, Salle de séminaire du CERMICS, B211.
Contacts: Aurélien Alfonsi,
Ahmed Kebaier.
Future sessions
Past sessions
2026
June 23 2026, 14h00 (B004, Aile Belgrand): Clément Foucart (LAGA, USPN),
Processus de Markov positifs en dualité de Laplace.
Abstract
L’objectif de cet exposé, basé sur un travail commun avec Matija Vidmar, est d’étudier la classe des processus de Markov positifs qui admettent une relation de dualité de Laplace : les transformées de Laplace des processus sont reliées en échangeant les rôles de l’argument et de l’état initial. Ce type de dualité apparaît naturellement dans des systèmes présentant des phénomènes de branchement. Au-delà du cadre classique du branchement, nous montrons qu’une grande variété de processus et de générateurs sont en dualité de Laplace. Dans un premier temps, d’un point de vue théorique, nous établissons qu’un processus admet un dual de Laplace si et seulement si son semi-groupe laisse invariant l’espace des fonctions complètement monotones (sous réserve de conventions pour 0 × ∞ et ∞ × 0). D’un point de vue plus constructif, nous identifions ensuite sept briques fondamentales à partir desquelles une telle dualité peut être construite. Les processus associés peuvent être vus comme des généralisations des processus de branchement à état continu et incluent plusieurs modèles — parfois introduits indépendamment de la dualité — utilisés pour représenter des environnements aléatoires, l’immigration, la compétition et d’autres dynamiques. Un outil analytique central est la notion de symbole de Laplace associé à un générateur.
June 16 2026, 14h00 (F102 Aile Fresnel, Bâtiment Coriolis): Clément Rey (CMAP, École Polytechnique),
Malliavin calculus for signatures.
Abstract
This talk explores Malliavin calculus for finite linear combinations of time-extended Brownian motion signatures. By exploiting the algebraic properties of signatures, we establish explicit formulas for the fundamental Malliavin operators. This leads to integration-by-parts formulas where the Malliavin weight is expressed as a function of linear functionals of the signature. These results enable the computation of key values, such as densities and sensitivities, in signature-based models.
June 9 2026, 14h00 (B211, Bâtiment Coriolis): Adrien Barrasso (LaMME, Université d’Évry),
Un survey sur l’Euclidean Quantum Field Theory (EQFT) et la Stochastic Quantization.
Abstract
Cet exposé présentera un petit historique des principaux résultats de l’EQFT et des méthodes de Stochastic Quantization. Je partirai de l’EQFT dite “constructive” développée dans les années 70, et terminerai avec les développements récents (2014-2025) concernant les solutions fortes du modèle Phi-4-3 dynamique.
June 2 2026, 14h00 (B211, Bâtiment Coriolis): Gilles Pagès (LPSM, Sorbonne Université),
Volterra equations with affine drift: looking for stationarity with application to the quadratic rough Heston model.
Abstract
We investigate the properties of the solutions of scaled Volterra equations (i.e. having an affine mean-reverting drift) in terms of stationarity at both a finite horizon and on the long run. In particular we prove that such an equation never has a stationary regime, except if the kernel is constant (i.e. the equation is a standard Brownian diffusion) or in some fully degenerate pathological settings. We introduce a deterministic stabilizer arsigma associated to the kernel which may produce a fake stationary regime in the sense that all the marginals share the same expectation and variance. We also show that the marginals of such a process when starting from various initial values are L^2-contracting (a.k.a.a confluent) as time goes to infinity. We establish that for some classes of diffusion coefficients (square root of positive quadratic polynomials) the time shifted solutions of such Volterra equations weakly functionally converge toward a family of L^2-stationary processes sharing the same covariance function. We apply these results to a family of stabilized quadratic rough volatility models with fractional kernel K, 0<H< rac 12, which produces examples of Volterra processes sharing a fake stationary regime.
May 19 2026, 14h00 (B211, Bâtiment Coriolis): Aurélien Grenard,
Neural Regression and Randomized Optimization for Impulse Control Problems.
Abstract
We develop a regression-based Monte Carlo framework for stochastic impulse control problems with controls taking values in a continuous compact set. The approach combines dynamic programming on a discrete intervention grid with neural-network approximations of continuation values and randomized optimization procedures for intervention operators. We first establish a time-discretization result for delta-separated strategies, proving an approximation error. On the discrete grid, we derive a dynamic programming representation of the solution in terms of intervention regions and recursively defined stopping rules, together with a verification lemma characterizing optimal strategies. Building on this representation, we introduce a backward numerical algorithm in the spirit of regression Monte Carlo methods. Finally, relying on recent approximation results for piecewise affine neural networks, we establish convergence estimates for the randomized approximation of intervention operators. Numerical experiments on classical dividend and harvesting problems illustrate the robustness of the proposed methodology in both low and moderately high dimensions.
May 5 2026: Peter Tankov,
Fast and slow mean-field games.
Abstract
We propose a framework for constructing approximate Nash equilibria in mean-field games (MFG) with common noise based on a two-time-scale structure. In our model, the common noise is carried by a fast variable evolving under ergodic dynamics, while the slow variable is either optimally controlled or stopped. The fast variable enters the dynamics of the slow one through the drift coefficient. The key idea is to avoid solving the full MFG with common noise by approximating it with an “effective” MFG without common noise, where the coefficients are averaged with respect to the stationary measure of the fast-scale process. We construct an explicit ε-MFG equilibrium for the full MFG from the equilibrium for the effective MFG with randomized control and stopping. To this end, we obtain new results on existence of MFG equilibria with randomized stopping. We rely on strong convergence results for two-scale diffusions under structural assumptions on the MFG, and show that the time-scale separation parameter controls the error in the Nash equilibrium condition. Joint work with Roxana Dumitrescu (ENSAE) and Julian Pineda (NYU Abu Dabi).
April 14 2026: René Aïd,
Forward Hedging Reshapes Incentive Provision.
Abstract
We study how forward hedging reshapes incentive provision inside the firm. We consider a risk-averse producer facing demand and production risk that can either operate in-house or delegate production to a risk-averse agent under moral hazard, while hedging output in a competitive forward market with a rational market maker. Within a tractable continuous-time CARA framework, we jointly characterize optimal production, compensation, and static hedging in equilibrium. Delegation and external hedging are partial substitutes because both create value through risk sharing. Delegation can increase firm value even when the agent uses the same technology and is more risk averse than the principal, while access to forward hedging reduces the need to provide incentives through risk exposure. This mechanism delivers two main results. First, the principal hedges less under delegation than under in-house production. Second, this lower hedging demand under delegation raises the equilibrium forward price relative to the integrated benchmark. In the constant-demand case, we show that access to hedging lowers the agent’s expected compensation under delegation. Numerical results indicate that this mechanism remains robust in the presence of demand uncertainty. More broadly, our results show that external risk transfer through financial markets feeds back into internal organizational design. Joint work with Nizar Touzi (NYU) and Stéphane Villeneuve (TSE).
April 7 2026: Olivier Guéant,
From Theoretical Results to Real-World Applications in Bonds, FX, Commodities and Cryptocurrencies: An Overview on Market Making Models.
March 24 2026: Yadh Hafsi,
Optimal Execution under Liquidity Uncertainty.
Abstract
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general limit order book shapes to characterize instantaneous market impact. To model the resilience dynamics, we introduce a stochastic process that governs the rate at which the deviation between the impacted and unaffected prices decays. This volume-effect process reflects fluctuations in market activity that drive the pace of liquidity replenishment. Additionally, we incorporate stochastic liquidity variations through a regime-switching Markov chain to capture abrupt shifts in market conditions. We study this singular control problem, where the trader optimally determines the timing and rate of purchases to minimize execution costs. The associated value function to this optimization problem is shown to satisfy a system of variational Hamilton–Jacobi–Bellman inequalities. Moreover, we establish that it is the unique viscosity solution to this HJB system and study the analytical properties of the free boundary separating the execution and continuation regions. To illustrate our results, we present numerical examples under different limit-order book configurations, highlighting the interplay between price impact, resilience dynamics, and stochastic liquidity regimes in shaping the optimal execution strategy.
March 17 2026: Dimitri Sotnikov,
Chasing Stationarity: Exponentially Fading Memory Signature.
March 10 2026: Songbo Wang,
A conditional view on mean-field limits.
February 17 2026: Arthur Bourdon,
Linear independence properties of the signature components of time-augmented stochastic processes.
February 10 2026: Thomas Peyrat,
Multivariate self-exciting processes with dependencies for insurance stress testing.
February 3 2026: Alexandre Pannier,
Kolmogorov equations for stochastic Volterra processes with singular kernels.
January 27 2026: Conférence,
Advances in Financial Mathematics 2026.
January 20 2026, 14h30-15h15: Stefan Behringer,
Value of Information in Finance: From Shannon-Stratonovich Theory to Coherent Risk Measures.
January 20 2026, 14h00-14h30: Michel De Lara,
What Makes Information More Valuable? An Answer With Convex Analysis.
January 13 2026: Paul Maurer,
Approximation of 1D Gaussian Multiplicative Chaos by a class of integrated Volterra processes.
January 6 2026: Pierre Cardaliaguet,
Mean field control with absorption or stopping time.
2025
December 16 2025: Pierre Monmarché,
Convergence locale pour des flots gradients Wasserstein et leurs particules champ-moyen.
December 9 2025: Othmane Zarhali,
From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model.
December 2 2025: Paul Gassiat,
Martingale property and moments in signature stochastic volatility models.
November 18 2025: Anh Dung Le,
Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations.
November 4 2025: Thibault Jeannin,
On The surjectivity of the conditional expectation given a real random variable.
October 14 2025: Claire Lacour,
Modèles de mélange non-paramétriques à variables latentes dépendantes.
October 7 2025: Cyril Bénézet,
Hedging Valuation Adjustment for Callable Claims.
June 17 2025: Roxana Dumitrescu,
On a Mertens decomposition and applications to finance.
June 17 2025: Jodi Dianetti,
Entropy-regularized Mean-field Games of Optimal Stopping.
May 27 2025: Vlad Bally,
Euler scheme approximation for the invariant measure of a flow.
May 13 2025: Élise Bayraktar,
Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model.
May 6 2025: Zhenjie Ren,
Some diffusion dynamics in machine learning.
April 29 2025: Mathis Fitoussi,
Weak discretization error techniques for singular drift SDEs.
April 8 2025: Antonio Ocello,
Convergence Analysis of Score-Based Generative Models: Towards Reliable Sampling.
March 25 2025: Emmanouil Sfendourakis,
From Glosten-Milgrom to the whole limit order book and applications to financial regulation.
March 18 2025: Yating Liu,
A Particle Method for Simulating the Path-Dependent McKean-Vlasov Equation.
March 11 2025: Quentin Cormier,
Stabilité et métastabilité pour des équations champ moyen.
March 4 2025: Ludovic Goudenège,
Numerical approximation of SDE with singular drifts : Application to rough Heston model.
February 11 2025: Matteo D’Achille,
** Reporté ** pas de séminaire.
February 4 2025: Tram Ngo,
Efficient estimation for stable-Lévy SDEs with constant scale coefficient.
January 28 2025: Ishak Hajjej,
The value of the information in the Moral Hazard setting.
January 21 2025: Natascha Hey,
Trading with Concave (Cross) Impact.
January 14 2025: Khue Ngoc Tran,
Density estimates for jump diffusion processes.
January 9 2025: Séminaire commun MATHRISK / LPSM,
Université Paris-Cité, Bâtiment Sophie Germain, Salle 0011,.
-
09h20-10h00: Olivier Guéant,
Market-Making Models: Overview and Applications to Precious Metals Markets. -
10h00-10h40: Peter Bank,
How much should we care what others know? Jump signals in optimal investment under relative performance concerns. -
11h10-11h50: Julien Guyon,
Fast Exact Joint S&P 500/VIX Smile Calibration in Discrete and Continuous Time. -
11h50-12h30: Mathieu Laurière,
Deep Learning for Stackelberg Mean Field Games via Single-Level Reformulation.
2024
December 17 2024: Azar Louzi,
Multilevel Approximation Schemes for Value-at-Risk and Expected Shortfall.
December 10 2024: Etienne Chevalier,
Uncovering Marker Disorder and Liquidity Trends Detection.
December 3 2024: Dorinel Bastide,
Handling derivatives risks with a one-period network model.
November 26 2024: Jules Delemotte,
Smile dynamics and rough volatility.
November 19 2024: Labex Bezout,
Journée Labex Bezout .
November 12 2024: Inès Barahhou,
A framework to align sovereign bond portfolios with a net zero trajectory.
November 5 2024: Michael Samet,
Efficient Fourier Pricing of Multi-Asset Options.
October 17 2024: Florin Suciu,
A gradient flow on control space with rough initial condition.
October 8 2024: Anna De Crescenzo,
Mean-field control of non exchangeable systems.
October 1 2024: Anh Dung Le,
Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift.
June 18 2024: Nazem Khan,
Chain or Channel? Channel Optimization with Heterogeneous Payments.
June 11 2024: Matthias Rakotomalala,
Strategic geometric graphs through mean field games.
June 4 2024: Eva Löcherbach,
Propagation du chaos conditionnelle pour des systèmes de particules ayant des sauts stables.
May 28 2024: Julien Reygner,
Asymptotically unbiased approximation of the quasistationary distribution of diffusion processes with a decreasing time step Euler scheme.
May 21 2024: Jérôme Lelong,
A pure dual approach for hedging Bermudan options.
May 14 2024: Mohamed Hamdouche,
Generative modeling for time series via Schrodinger bridge.
March 26 2024: Clément Foucart,
Processus de branchement avec collisions: premiers temps de passage, loi stationnaire et dualités.
March 19 2024: Hervé Andres,
Implied volatility is (also) path-dependent.
March 12 2024: Shaun Li,
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles.
March 5 2024: Mehdi Talbi,
Mean-field games of optimal stopping: master equation and weak equilibria.
February 27 2024: Songbo Wang,
Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method.
February 6 2024: Guillaume Szulda,
On non-negative solutions of stochastic Volterra equations with jumps.
January 30 2024: Arturo Kohatsu-Higa,
Dérivation des processus tués.
January 23 2024: Alexis Anagnostakis,
Approximation of the local time of a sticky diffusion and applications.
January 16 2024: Kexin Shao,
Non-decreasing martingale couplings.
January 11 2024, 16h00: Carlo Sgarra,
Optimal reinsurance via BSDEs in a partially observable model with jump clusters.
2023
October 19 2023, 09h00-09h45: Gudmund Pammer,
Stretched Brownian Motion: Analysis of a Fixed-Point Scheme.
December 12 2023: Lucia Caramellino,
Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics.
December 5 2023: Nadia Oudjane,
Optimizing over probability measures to manage distributed flexibilities in power systems.
November 21 2023: Nerea Vadillo,
Risk valuation of quanto derivatives on temperature and electricity.
November 14 2023: Benjamin Jourdain,
Propagation de la convexité et ordre convexe pour les diffusions unidimensionnelles.
November 7 2023: Guido Gazzani,
Pricing and calibration of path-dependent volatility models.
October 19 2023: Séminaire commun MATHRISK / LPSM,
Salle Jacques-Louis Lions, INRIA Paris.
-
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.
June 19 2023: Loucas Pillaud-Vivien,
A discussion on some non-convex machine learning problem.
June 5 2023: Clément Rey,
Smoothing properties of discrete time Markov processes under Hormander assumption.
May 22 2023: Arnaud Gloter,
Vitesses d’estimation minimax pour données multivariées sous contrainte de confidentialité composante par composante.
May 15 2023: Grégoire Szymanski,
Statistical inference for rough volatility.
April 17 2023: Olivier Lopez,
Arbres de régression Pareto généralisés : applications à la tarification en cyber assurance et à l’évaluation du coût de catastrophes naturelles.
April 3 2023: Julien Claisse,
Mean-field Optimization regularized by Fisher Information.
March 27 2023: Laurence Carassus,
The Uniform Diversification Strategy Is Optimal for Expected Utility Maximization under High Model Ambiguity.
March 20 2023: Christophe Profeta,
Valeurs extrêmes pour certains processus de Lévy branchants.
March 13 2023: Alexandre Pannier,
Rough volatility, path-dependent PDEs and weak rates of convergence.
March 6 2023: Elise Bayraktar,
Estimation of pure-jump stable CIR processes.
February 13 2023: Badr-Eddine Chérief-Abdellatif,
Bayes meets Bernstein in Meta Learning.
February 6 2023: Bastien Mallein,
Particules extrêmes du mouvement brownien branchant en dimension d.
January 30 2023: Zhongyuan Cao,
Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures.
January 23 2023: Mohamed Mrad,
Solving some Stochastic Partial Differential Equations driven by non-finite Lévy measure using two SDEs.
January 16 2023: Damien Lamberton,
Régularité de la frontière d’exercice : une approche probabiliste.
January 9 2023: Stéphane Menozzi,
Multidimensional Stable driven McKean-Vlasov SDEs with distributional interaction kernel - a regularization by noise perspective.
2022
December 12 2022: Djibril Sarr,
Reporté.
December 5 2022: Pierre Bras,
Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise.
November 28 2022: Hervé Andrès,
Signature-based validation of real-world economic scenarios.
November 21 2022: Guillaume Szulda,
CBI-time-changed Lévy processes.
November 14 2022: Roberta Flenghi,
Central limit theorem for the stratified selection mechanism.
November 7 2022: Edoardo Lombardo,
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids.
October 10 2022: Thibaut Bourdais,
An entropy penalized approach for stochastic control problems.
October 10 2022: Nerea Vadillo,
A stochastic volatility model for the valuation of temperature derivatives.
October 3 2022: Julien Guyon,
Volatility Is (Mostly) Path-Dependent.
June 23 2022: Michael Benzaquen,
Endogenous Liquidity Crises in Financial Markets: A Physicist’s Perspective.
June 9 2022: Gudmund Pammer,
The Wasserstein space of stochastic processes and computational aspects.
June 2 2022: Paul Gassiat,
Erreur faible dans les schémas numériques pour volatilité rugueuse.
May 19 2022: Cristina Di Girolami,
On the dynamic programming approach to optimal control of delay equations with delay in the control, a deterministic case.
May 12 2022: Zorana Grbac,
Term Structure Modeling With Overnight Rates Beyond Stochastic Continuity.
April 21 2022: Labex Assurance,
Demi-journée Labex Assurance .
April 14 2022: PREMIA,
Livraison PREMIA (centre Inria Paris 9h-12h).
April 7 2022: Séminaire commun MATHRISK / LPSM,
Amphi Turing, bâtiment Sophie Germain, Paris Diderot.
-
09h00-09h45: Giulia Di Nunno,
Stochastic games for Volterra time-changed Levy dynamics. -
09h45-10h30: Aurélien Alfonsi,
Approximation of Optimal Transport problems with marginal moments constraints. -
11h00-11h45: Marianne Akian,
Tropical numerical methods for solving stochastic control problems. -
11h45-12h30: Jean-François Chassagneux,
Numerical approximation of singular FBSDEs: application to carbon market.
March 31 2022: Maximilien Germain,
Control of state-constrained McKean-Vlasov equations: application to portfolio selection.
March 17 2022: Leila Bassou,
L’équilibre de Nash entre N agents économiques qui se détiennent mutuellement.
March 10 2022: Colloquium CERMICS,
Exposé de Hugo Duminil-Copin.
February 17 2022: Luca Galimberti,
Infinite-dimensional neural networks and Cauchy problems and pricing of derivatives.
February 10 2022: Alexandre Richard,
Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel.
January 27 2022: Giulia Livieri,
Analysis of bank leverage via dynamical systems and deep neural networks.
January 13 2022: Tomas Mehdi,
A characterisation of cross-impact kernels.
2021
December 16 2021: Agnès Sulem,
Non-linear mixed optimal control/ stopping (game) problems and applications to American options in incomplete markets with imperfections.
December 9 2021: Chiara Amorino,
On the rate of estimation for the stationary distribution of stochastic differential equations with and without jumps.
December 2 2021: Yifeng Qin,
Total variation distance between a jump-equation and its Gaussian approximation.
November 18 2021: Thomas Deschatre et Pierre Gruet,
Electricity intraday price modeling with marked Hawkes processes.
October 14 2021: Sophian Mehalla,
Taux d’intérêt pour l’assurance : approximations et calibrages de modèles.
October 7 2021: Michael Allouche,
EV-GAN: Simulation of extreme events with ReLU neural networks.
September 30 2021: Lucia Caramellino,
Convergence rate of a hybrid numerical scheme for pricing options.
June 17 2021: Linda Chamakh,
Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio.
June 10 2021: Fabrice Djete,
Mean field game of mutual holding.
June 3 2021: Jérôme Lelong,
Automatic variance reduction for option pricing using neural networks.
May 27 2021: Conférence,
Conférence GP60.
May 20 2021: Emmanuelle Clément,
Approximation en variation totale d’une EDS dirigée par un processus localement stable.
May 6 2021: Heythem Farhat,
Caractérisation des lois marginales jointes d’une martingale et de son maximum courant.
April 15 2021: Séminaire commun MATHRISK / LPSM,
Zoom.
-
14h00-14h30: Dai Taguchi,
Backward and truncated Euler-Maruyama schemes for radial Dunkl processes. -
14h30-15h00: Benjamin Jourdain,
Approximation de couplages martingale réels dans la topologie faible adaptée. -
15h00-15h30: Idris Kharroubi,
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension. -
15h30-16h00: Hamed Amini,
Contagion Risks and Security Investment in Directed Networks.
April 8 2021: Sergio Pulido,
American options in the rough Heston model.
March 25 2021: Cyril Benezet,
Simulation et estimation de mesures de risque extrême pour les copules à facteur avec marginales données.
March 18 2021: Blanka Horvath,
Data-Driven Market Simulators and their Model Governance.
March 11 2021: Joffrey Derchu,
AHEAD : Ad Hoc Electronic Auction Design.
March 4 2021: Bastien Baldacci,
Stochastic control for smart order routing.
February 11 2021: Nadhir Ben Rached,
Importance sampling for a robust and efficient Multilevel Monte Carlo estimator for stochastic reaction networks.
January 28 2021: Paolo Pigato,
Short dated smile under rough volatility : asymptotic and numerics.
January 21 2021: Yating Liu,
Numerical analysis and simulation of the McKean-Vlasov Equation with Lipschitz coefficient.
January 14 2021: Chiheb Ben Hammouda,
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model.
2020
December 10 2020: Tram Ngo,
Sigma-antithetic Multilevel Monte Carlo estimation : limit theorems.
November 26 2020: Hachem Madmoun,
Forecasting Market Turbulence Regimes.
November 19 2020: Adel Cherchali,
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests.
November 12 2020: Lucas Izydorczyk,
Fokker-Planck equations with terminal condition and related McKean probabilistic representation.
November 5 2020: Oumaima Bencheikh,
Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise.
October 8 2020: Benjamin Jourdain,
Théorème de la limite centrale pour des fonctionnelles non-linéaires des mesures empiriques.
April 2 2020: Lucas Izydorczyk,
Annulé.
March 19 2020: Christa Cuchiero,
Annulé.
March 12 2020: Ezechiel Kahn,
Strong solutions to a beta-Wishart particle system.
March 5 2020: Stefano de Marco,
Martingale Schrodinger problem and the calibration of stochastic volatility models.
February 27 2020: Florian Bourgey,
Meta-model of a large credit risk portfolio in the Gaussian copula and possible extensions.
February 6 2020: Séminaire commun MATHRISK / LPSM,
INRIA Paris, Salle Jacques Louis Lions 2.
-
11h00-11h45: Zorana Grbac,
Term structure models with stochastic discontinuities. -
11h45-12h30: Médéric Motte,
A mean-field approach to targeted advertising modelling. -
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.
January 30 2020: François-Xavier Vialard,
Sinkhorn divergences for unbalanced optimal transport.
January 23 2020: Gabriel Turinici,
Equations d’évolution métriques pour l’apprentissage automatique et les distances statistiques associées.
2019
November 28 2019: Sophian Mehalla,
Interest rate modelling in insurance: Jacobi stochastic volatility in the Libor Market Model.
November 21 2019: Alvin Tse,
L’approximation des équations de McKean-Vlasov par la dérivation dans l’espace de Wasserstein.
November 14 2019: Adel Cherchali,
A synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula.
October 17 2019: Séminaire commun MATHRISK / LPSM,
Salle 209 16-26, Jussieu.
-
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. -
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. -
void: Sofiane Martel,
Approximation numérique de mesures invariantes de lois de conservation stochastiques.
October 10 2019: Thibaut Mastrolia,
Régulation de l’exploitation d’une ressource naturelle renouvelable.
October 3 2019: Loucas Pillaud-Vivien,
Different aspects of Stochastic gradient descent in Hilbert spaces for Machine Learning problems.
September 26 2019: Hoang-Long Ngo,
Implicit Euler–Maruyama scheme for radial Dunkl processes.
June 20 2019: Alexandre Boumezoued,
Estimation du taux de décès dans une dynamique de population.
June 6 2019: Tristan Guillaume,
Problèmes de franchissement de frontières aléatoires par des vecteurs Browniens à composantes corrélées.
May 16 2019: Archil Gulisashvili,
Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions.
May 9 2019: Julie Josse,
Consistence de l’apprentissage supervisée avec données manquantes.
April 18 2019: Eduardo Abi Jaber,
Affine and Quadratic Volterra processes and applications.
April 11 2019: Rafaël Coyaud,
Approximation of OT problems with marginal moments constraints.
March 21 2019: Gilles Pagès,
Variations sur les diffusions en temps long et leurs schémas d’approximation.
March 14 2019: Guillaume Perrin,
Exploiting code structure for statistical learning.
February 21 2019, 14h00: Damien Garreau,
Consistent change-point detection with kernels15h15: Arthur MenschDifferentiable Dynamic Programming for structured prediction and attention.
February 14 2019: Adrien Barrasso,
Decoupled mild solutions of PDEs (possibly path-dependent or with singular drift) represented by BSDEs.
February 7 2019, 15h00: Alvaro Leitao,
On an efficient one and multiple time-step Monte Carlo simulation of the SABR model.
February 7 2019, 14h00: Xiaolu Tan,
*On the optimal planning problem for a class of Mean Field Games. *.
January 31 2019: Robert Gower,
Optimal minibatch size for stochastic average gradient descent.
January 24 2019: Paul Gassiat,
Formules asymptotiques dans les modèles à volatilité stochastique rugueuse.
January 17 2019: Pierre Bellec,
Formule de Stein d’ordre 2 et quelques conséquences en optimisation et statistique avec bruit Gaussien.
January 10 2019: Nicolas Keriven,
Scalable model-free online change-point detection with NEWMA.
2018
December 20 2018: Séminaire commun MATHRISK / LPSM,
salle P. Flajolet, INRIA, rue Simone Iff.
-
11h00-11h45: Benjamin Jourdain,
Différentiabilité du carré de la distance de Wasserstein quadratique. -
11h45-12h30: Noufel Frikha,
Well-posedness for some non-linear diffusion processes and related PDE on the Wasserstein space. -
9h00-9h45: Huyen Pham,
Deep learning algorithms for stochastic control problems. -
9h45-10h30: Gabriel Peyré,
Transport optimal numérique pour la science de données.
December 13 2018: Mathias Beiglböck,
Adapted Wasserstein Distances.
December 6 2018: Imen Ben Tahar,
Réseau électrique avec génération et stockage distribués : un modèle de type champs moyen.
November 30 2018, 9h30: Nicolas Flammarion,
Gen-Oja: A Simple and Efficient Algorithm for Streaming Generalized Eigenvector Computation.
November 15 2018: Sarah Kaakai,
A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales.
October 18 2018: Xiaofei Lu,
Limit order book modelling with high dimensional Hawkes processes.
October 11 2018: William Margheriti,
A new family of one dimensional martingale couplings.
October 4 2018: Clément Foucart,
Processus de branchement logistique en temps et en espace continu: Dualité et Réflexion à l’Infini.
June 14 2018, 15h00: Oumaima Bencheikh,
Biais de l’approximation particulaire d’EDS non linéaires au sens de McKean.
June 14 2018, 14h00: Ahmed Kebaier,
Propriétés statistiques pour des modèles avec sauts en finance.
May 31 2018, 15h30: Arturo Kohatsu-Higa,
IPB pour diffusions arrêtées.
May 31 2018, 14h00: Pierre Henry-Labordère,
Résolution de problèmes de contrôle stochastique par réseaux de neurones.
May 24 2018, 15h00: Shigeyoshi Ogawa,
Transformation de Fourier stochastique et quelques problèmes ouverts.
May 24 2018, 14h00: Mohamed Mrad,
Forward and Backward Monte Carlo simulations using Euler schemes and Random Number Generator Inversion.
May 3 2018: Sophie Laruelle,
Evolutions of Equity Market Microstructure: A Worlwide Empirical Analysis.
April 12 2018: Fabien Panloup,
Convergence à l’équilibre d’EDS fractionnaires.
March 28 2018: Séminaire commun MATHRISK / LPSM,
Salle 2015, bâtiment Sophie Germain, Paris Diderot.
-
11h00-11h45: Xiaolu Tan,
From Martingale Optimal Transport to McKean-Vlasov Control Problems. -
11h45-12h30: William Margheriti,
Nouvelle famille de couplages martingale en dimension un. -
9h00-9h45: Marie-Claire Quenez,
Options européennes dans un modèle de marché non-linéaire incomplet avec défaut. -
9h45-10h30: Andrea Molent,
The Impact of Taxation on GMWB Contract in a Stochastic Interest Rate Framework. -
void: Houzhi Li,
A model of market weight process and related portfolio performance.
March 22 2018: Nabil Kahale,
Randomized Dimension Reduction for Monte Carlo Simulations.
March 8 2018: Wissal Sabbagh,
The XVA Anticipated BSDEs.
February 15 2018: Clément Rey,
TCL pour la construction de mesures invariantes.
February 8 2018: René Aïd,
The coordination of centralised and distributed generation.
February 1 2018: Caroline Hillairet,
Trading against disorderly liquidation of a large position under asymmetric information and market impact.
January 25 2018: Sergio Pulido,
The Jacobi Stochastic Volatility Model.
January 18 2018: Thibaut Mastrolia,
Common Agency with information asymmetry in continuous time.
January 11 2018: Babacar Diallo,
XVA principles, Nested Monte-Carlo strategies and GPU optimization.
2017
December 14 2017: Ludovic Goudenège,
Convergence et ordre d’un schéma de splitting en différences finies pour l’équation d’Allen-Cahn stochastique.
December 7 2017: Séminaire commun MATHRISK / LPMA,
salle 2015 bâtiment Sophie Germain, Paris Diderot.
-
11h00-11h45: Aurélien Alfonsi,
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. -
11h30-12h10: Idris Kharroubi,
Quenched mass transport of particles towards a target. -
9h00-9h45: Christa Cuchiero,
Probability measure valued polynomial processes. -
9h45-10h30: Olivier Guéant,
Short-term contingent claims on non-tradable assets: static hedging and pricing.
November 30 2017: Lionel Lenotre,
Simulation de processus de diffusion via le noyau de sa résolvante avec application à la simulation de processus de diffusion biaisés.
November 23 2017: Nadia Oudjane,
On some forward probablistic representations of nonlinear PDEs and applications to energy management.
November 9 2017: Benjamin Jourdain,
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems.
October 19 2017: Eduardo Abi Jaber,
Affine Volterra processes.
October 12 2017, 15h00: Ralf Korn,
Worst-case portfolio optimization.
October 12 2017: Arnaud Lionnet,
14h00 Numerical approximation of BSDEs with polynomial-growth drivers.
October 5 2017: Simone Scotti,
Alpha-CIR model with branching processes in sovereign interest rate modeling.
September 28 2017: Romain Poncet,
Méthodes numériques pour deux modèles stochastiques en condensation de Bose-Einstein.
June 15 2017: Emmanuelle Clément,
Densité en temps petit et propriété LAMN pour une EDS dirigée par un processus alpha-stable.
May 18 2017: Alexandre Richard,
Premier temps de passage de diffusions fractionnaires et application en neurosciences.
May 11 2017: Ngoc Khue Tran,
LAN property for some diffusion processes with jumps.
May 4 2017: Hadrien De March,
Structure des transports martingale.
April 20 2017: Pamela Saliba,
Le comportement des traders haute fréquence sur Euronext Paris.
March 30 2017: Clément Rey,
Algorithmes récursifs pour le calcul de mesures invariantes de processus markoviens.
March 23 2017: Claude Martini,
3 computations on SSVI.
March 16 2017: Séminaire commun MATHRISK / LPMA,
Salle Jacques-Louis Lions 1, Bat C.
-
14h45-15h25: Jean-François Chassagneux,
Cubature methods to solve BSDEs: error expansion and complexity control. -
15h25-16h05: Antonino Zanette,
Hybrid tree-finite difference methods for the Heston and Bates model with stochastic interest rate. -
16h35-17h15: Claudio Fontana,
General Dynamic Term Structures under Default Risk. -
17h15-17h55: Jacopo Corbetta,
Evolution of Wasserstein distance between Markov processes.
February 23 2017: Hamza Guennoun,
Local volatility models enhanced with jumps, 13h30-14h30.
February 2 2017: Daphné Giorgi,
Asymptotique des estimateurs Multilevel avec et sans poids, 13h30-14h30.
January 19 2017: Matyas Barczy,
Asymptotic properties of maximum likelihood estimator for the growth rate for some jump-type CIR processes.
January 10 2017: void,
Conférence Advances in Financial Mathematics.
January 5 2017: Côme Huré,
Algorithmic trading in a micro-structural limit order book model.
2016
December 15 2016: Séminaire commun MATHRISK / LPMA,
salle 2015 bâtiment Sophie Germain, Paris Diderot.
-
10h45-11h25: Huyên Pham,
Robust Markowitz portfolio selection with ambiguous volatility and correlation. -
11h30-12h10: Jérôme Lelong,
Pricing American options using martingale bases. -
9h00-9h40: Ahmed Kebaier,
Improved adaptive multilevel Monte Carlo and applications to finance. -
9h45-10h10: Matteo Basei,
Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets.
December 8 2016: Leif Döring,
Skorokhod embedding for Lévy processes.
November 24 2016: Romuald Elie,
Mean field games et risque systémique.
November 10 2016: Omar El Euch,
Characteristic function of rough-Heston model, salle 3B082, Bâtiment Copernic.
October 13 2016: Eduardo Abi Jaber,
Stochastic invariance of closed sets with non-Lipschitz coefficients.
September 22 2016: Séminaire commun MATHRISK / LPMA,
Salle Jacques-Louis Lions 1, Bat C.
-
14h00-14h50: Benjamin Jourdain,
Existence pour le modèle regime switching local volatility calibré. -
15h00-15h50: Noufel Frikha,
A parametrix approach for first hitting times of one-dimensional elliptic diffusions. -
16h20-17h10: Peter Tankov,
Optimal Importance Sampling for Lévy Processes. -
17h20-18h10: Rui Chen,
Default contagion in financial systems with different recovery and related optimal connectivity problems.
June 9 2016: Peter Tankov,
Asymptotic Optimal Tracking: Lower Bounds and Feedback Strategies.
June 2 2016: Zhenjie Ren,
Viscosity solution of path-dependent PDE.
May 26 2016: Thibaut Mastrolia,
Moral hazard under ambiguity.
May 12 2016: Paul Gassiat,
Equations de Hamilton-Jacobi stochastiques : continuité par rapport au bruit et effets régularisants.
April 7 2016: Ahmed Kebaier,
Coupling importance sampling and Multilevel Euler Monte Carlo using sample average approximation.
March 31 2016: Ismail Laachir,
BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk.
March 24 2016: Julien Claisse,
Skorokhod embedding and robust hedging with local time.
March 7 2016: Bruno Bouchard,
First time to exit of a continuous Ito process: general moment estimates and L1-convergence rate for discrete time approximations.
March 7 2016: 16h15 Lorick Huang,
The parametrix technique for stable driven SDEs.
February 18 2016: Lucio Fiorin,
Pricing and calibration via quantization in local and stochastic volatility models.
February 8 2016: Yiyi Zou,
Hedging of covered options with price impact and gamma constraint.
February 4 2016: Wissal Sabbagh,
System of Reflected Stochastic PDEs in a domain.
January 28 2016: Arnaud Lionnet,
Equilibrium pricing under relative performance concerns, and the benefits of innovations for social agents.
January 21 2016: Oana Serea,
Control Problems Via Occupation Measures.
January 14 2016: Gang Liu,
Rare Event Simulation related to Financial Risk.
2015
December 17 2015: Romuald Elie,
Design of optimal incentives for a system of competitive agents in interaction.
December 3 2015: Luciano Campi,
On the support of extremal martingale measures with given marginals.
November 26 2015: Shigeyoshi Ogawa,
Formules directes d’inversion de la Transformation de Fourier Stochastique.
November 19 2015: Zenghu Li,
Asymptotics of estimators in a stable Cox-Ingersoll-Ross model.
November 9 2015: Stéphane Menozzi,
Sensibilité des densités pour les diffusions et chaînes de Markov.
October 15 2015: Clément Rey,
Maximum Likelihood Estimation for Wishart processes.
June 15 2015: Stéphane Villeneuve,
Optimal exit under moral hazard.
May 21 2015: Lukasz Szpruch,
Customized projected numerical schemes for SDEs, BSDEs and Robbins-Monro type algorithms.
May 11 2015: Plamen Turkjediev,
Adaptive importance sampling schemes for backward stochastic differential equations with applications to variance reduction, large investor models, and stochastic optimal control.
May 7 2015: Stefano De Marco,
On robust hedging of options on VIX.
April 16 2015: Mihail Zervos,
13h30 Optimal execution with multiplicative price impact.
April 9 2015: Axel Parmentier,
Risk Measures and shortest paths in graphs.
April 2 2015: Jacopo Corbetta,
General smile asymptotics and a multiscaling stochastic volatility model.
March 26 2015: Rémi Rhodes,
Autour des processus multifractals.
March 16 2015: Arnaud Lionnet,
Time-discretization of BSDEs with polynomial growth driver.
February 9 2015: Iacopo Mastromatteo,
Market microstructure and large dimensions.
February 5 2015: Stéphane Crépey,
Bsdes of counterparty risk and invariant times.
January 29 2015: Etienne Chevalier,
Indifference pricing of variable annuities.
January 22 2015: Emmanuelle Clément,
15h00 Couplage trajectoriel optimal entre une diffusion et son schéma d’Euler.
January 12 2015: Roxana Dumitrescu,
Dynamic programming principle for combined optimal stopping and stochastic control with f-conditional expectations.
January 8 2015: Stefano Pagliarani,
14h45 Intrinsic Taylor formula for Kolmogorov-type homogeneous group.
2014
December 18 2014: Clément Rey,
Approximation de semigroupes markoviens.
December 8 2014: Céline Labart,
Simulation of doubly reflected BSDEs with jumps and RCLL barriers.
December 4 2014: Adrien Nguyen Huu,
Two problems of stopping with games.
November 27 2014: Kaouther Hajji,
Importance Sampling and Statistical Romberg Method for Levy processes.
November 17 2014: Pierre Henry-Labordère,
Méthodes numériques avec processus de branchement.
November 13 2014: Anis Al Gerbi,
Ninomiya-Victoir scheme: asymptotic error distributions and multilevel Monte-Carlo.
November 6 2014: Richard Fischer,
Copule d’entropie maximale pour les statistiques d’ordre.
October 16 2014: Pierre Blanc,
Dynamic optimal execution in a mixed-market-impact Hawkes price model.
October 6 2014: Agnès Sulem,
Control of interbank contagion under partial information.
June 26 2014, 14h00: Andreea Minca,
When Do Creditors with Heterogeneous Beliefs Agree to Run?.
June 26 2014, 13h00: Thibaut Jaisson,
Limit theorems for nearly unstable Hawkes processes.
June 2 2014: Marie-Claire Quenez (14h00) Dan Goreac (15h00),
Double barrier reflected BSDEs and generalized Dynkin Games.
May 22 2014: Plamen Turkedjief,
Two schemes for discretizing Markovian quadratic BSDEs with Holder continuous terminal condition.
May 15 2014: Mark Podolskij,
A test for the rank of the volatility process: the random perturbation approach.
April 10 2014: Guillaume Poly,
La loi du logarithme itéré par la métrique de Wasserstein.
March 27 2014: Dylan Possamaï,
Moral Hazard in Dynamic Risk Management.
March 10 2014: Thomas Kruse,
BSDEs with singular terminal condition and applications to optimal trade execution.
February 13 2014: Vincent Lemaire,
Multilevel Richardson-Romberg extrapolation.
February 3 2014: Sophie Laruelle,
Algorithmes stochastiques appliqués en microstructure.
January 30 2014: Jean-François Chassagneux,
Stabilité numérique de schémas d’EDSR.
January 23 2014: Sebastian Niklitschek-Soto,
Probabilistic interpretation of some PDEs and associated numerical methods.
2013
December 13 2013: Frederi Viens,
Comparaisons sur l’espace de Wiener avec applications.
November 29 2013: Youssef Ouknine,
Topics related to inhomogenuous skew Brownian motion.
November 22 2013: Ayech Bouselmi,
Comportement du prix critique d’un put américain près de l’échéance dans un modèle Jump diffusion.
November 15 2013: Takanori Adachi,
A categorical framework for risk measure theory.
November 8 2013: Pierre Blanc,
The fine structure of volatility feedback : overnight and intra-day effects.
October 11 2013: Benjamin Jourdain,
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme.
October 4 2013: Masaaki Fukasawa,
Effective discretization of stochastic differential equations.