Planning
Tuesday, January 10, 2017
| Time |
Event |
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09:00 - 09:45
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Plenary talk: Jim Gatheral (Amphitheater Pasquier) |
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| 09:00 - 09:45 |
› Rough volatility: An overview - Jim Gatheral, Baruch College, CUNY |
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09:45 - 10:30
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Plenary talk: Josef Teichmann (Amphitheater Pasquier) |
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| 09:45 - 10:30 |
› Non-linear (PI)DEs and affine processes - Josef Teichmann, ETH Zurich |
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10:30 - 11:00
|
Coffee break |
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11:00 - 12:40
|
Model Risk & Robustness |
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| 11:00 - 11:25 |
› Causal optimal transport and its links to enlargement of filtrations and stochastic optimization problems - Beatrice Acciaio, London School of Economics |
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| 11:25 - 11:50 |
› A Monotonicity Principle for the Distribution Constrained Optimal Stopping Problem - Mathias Beiglböck, TU Wien |
|
| 11:50 - 12:15 |
› Robust Hedging of Options on a Leveraged Exchange Traded Fund - Alexander Cox, University of Bath |
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| 12:15 - 12:40 |
› Pointwise Arbitrage Pricing Theory in Discrete Time - Jan Obloj, Oxford University |
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15:00 - 15:45
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Plenary talk: Bruno Bouchard (Amphitheater Pasquier) |
|
| 15:00 - 15:45 |
› Stochastic invariance of closed sets with non-Lipschitz coefficients - Bruno Bouchard, University Paris Dauphine |
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15:45 - 16:30
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Plenary talk: Marcel Nutz (Amphitheater Pasquier) |
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| 15:45 - 16:30 |
› Shorting, Supply, and Speculative Bubbles - Marcel Nutz, Columbia University |
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16:30 - 17:00
|
Coffee break |
|
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17:00 - 18:00
|
Flash Talks |
|
| 17:00 - 17:10 |
› Hedging and pricing with rough-Heston models - Omar El Euch, Centre de Mathématiques Appliquées - Ecole Polytechnique |
|
| 17:10 - 17:20 |
› Evolution of the Wasserstein distance between the marginals of two Markov processes - Jacopo Corbetta, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique |
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| 17:20 - 17:30 |
› Limit theorems for Multilevel estimators with and without weights - Daphné Giorgi, Laboratoire de Probabilités et Modèles Aléatoires |
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| 17:30 - 17:40 |
› Irreducible paving map for martingale couplings in finite dimension - Adrien De March, Centre de Mathématiques Appliquées - Ecole Polytechnique |
|
| 17:40 - 17:50 |
› Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph - Gustaw Matulewicz, Centre de Mathématiques Appliquées - Ecole Polytechnique |
|
| 17:50 - 18:00 |
› Multi-Martingale Optimal Transport - Tongseok Lim, Mathematical Institute [Oxford] |
|
|
19:00 - 20:30
|
Welcome reception - Espace Krajcberg, 21 Avenue du Maine, 75015 Paris |
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Wednesday, January 11, 2017
| Time |
Event |
|
|
09:00 - 09:45
|
Plenary Talk: Mete Soner (Amphitheater Pasquier) |
|
| 09:00 - 09:45 |
› Trading with market impact - Mete Soner, ETH Zurich |
|
|
09:45 - 10:30
|
Plenary talk: Zorana Grbac (Amphitheater Pasquier) |
|
| 09:45 - 10:30 |
› Canceled - Zorana Grbac, University Paris Diderot |
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10:30 - 11:00
|
Coffee break |
|
|
11:00 - 12:40
|
Financial Engineering |
|
| 11:00 - 11:25 |
› Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio - Christa Cuchiero, University of Vienna |
|
| 11:25 - 11:50 |
› Limited liability, or how to prevent slavery in contract theory - Dylan Possamai, CEntre de REcherches en MAthématiques de la DEcision |
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| 11:50 - 12:15 |
› Parametric Option Pricing by Interpolation - Kathrin Glau, Technische Universität München |
|
| 12:15 - 12:40 |
› Remarks on rough Bergomi: asymptotics and calibration - Antoine Jacquier, Imperial College London |
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|
15:00 - 15:45
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Plenary talk: Masaaki Fukasawa (Amphitheater Pasquier) |
|
| 15:00 - 15:45 |
› At-the-money short-term asymptotics under stochastic volatility models - Masaaki Fukasawa, Osaka University |
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15:45 - 16:30
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Plenary talk: Benjamin Jourdain (Amphitheater Pasquier) |
|
| 15:45 - 16:30 |
› Existence to a calibrated regime-switching local volatility model - Benjamin Jourdain, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique |
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16:30 - 17:00
|
Coffee break |
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17:00 - 18:00
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Flash Talks |
|
| 17:00 - 17:10 |
› Pricing CVA adjustments: An expansion approach for WWR - Marouan Iben Taarit, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique |
|
| 17:10 - 17:20 |
› Large deviations for affine processes and application to variance reduction for pricing - David Krief, University Paris Diderot |
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| 17:20 - 17:30 |
› Total variation convergence for numerical schemes for SDE - Clément Rey, Laboratoire de Probabilités et Modèles Aléatoires |
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| 17:30 - 17:40 |
› Interest rate models enhanced with local volatilities - Lingling Cao, Societe Generale |
|
| 17:40 - 17:50 |
› Local volatility models enhanced with jumps - Hamza Guennoun, Societe Generale |
|
| 17:50 - 18:00 |
› Analysis of the behavior of High Frequency Traders on Euronext Paris - Pamela Saliba, Laboratoire de Probabilités et Modèles Aléatoires |
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Thursday, January 12, 2017
| Time |
Event |
|
|
09:00 - 09:45
|
Plenary talk: Mike Giles (Amphitheater Pasquier) |
|
| 09:00 - 09:45 |
› Multilevel Monte Carlo for VaR - Mike Giles, Oxford University |
|
|
09:45 - 10:30
|
Plenary talk: Emmanuel Gobet (Amphitheater Pasquier) |
|
| 09:45 - 10:30 |
› MCMC design-based non-parametric regression for rare-event. Application to nested risk computations - Emmanuel Gobet, Ecole Polytechnique [Palaiseau] |
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|
10:30 - 11:00
|
Break |
|
|
11:00 - 12:40
|
Computational Finance |
|
| 11:00 - 11:25 |
› Concentration inequalities for the Multilevel Monte Carlo Euler method applied to SDEs - Ahmed Kebaier, Laboratoire Analyse, Géométrie et Applications |
|
| 11:25 - 11:50 |
› Hitting times of one dimensional diffusions and Monte Carlo approximation - Noufel Frikha, Laboratoire de Probabilités et Modèles Aléatoires |
|
| 11:50 - 12:15 |
› Branching diffusion representation of semilinear PDEs and Monte Carlo approximation - Xialou Tan, CEntre de REcherches en MAthématiques de la DEcision |
|
| 12:15 - 12:40 |
› Variation of the branching method - Xavier Warin, EDF |
|
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15:00 - 16:30
|
Practitioners |
|
| 15:00 - 15:30 |
› Bounds for VIX Futures given S&P 500 Smiles - Julien Guyon, Bloomberg |
|
| 15:30 - 16:00 |
› B-Spline Techniques for Volatility Modeling - Sylvain Corlay, Quantstack |
|
| 16:00 - 16:30 |
› When Almgren Chriss meet Black Scholes : delta hedging derivatives under market impact - Jiang Pu, Unknown |
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|
16:30 - 17:00
|
Coffee break |
|
|
17:00 - 18:30
|
Practitioners |
|
| 17:00 - 17:30 |
› Correlations in stocks volatilities: factors and residues - Rémy Chicheportiche, Swissquote |
|
| 17:30 - 18:00 |
› Managing Vanillas: routine or not ? - Jean-Jacques Rabeyrin, BNP Paribas |
|
| 18:00 - 18:30 |
› A New breed of Monte Carlo pricing and architecture to meet the FRTB challenge - Adil Reghai, Natixis |
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19:00 - 22:00
|
Conference Dinner - Le vin qui danse!, 69 Rue Broca, 75013 Paris |
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