Tuesday, January 10, 2017

Time Event  
09:00 - 09:45 Plenary talk: Jim Gatheral (Amphitheater Pasquier)  
09:00 - 09:45 › Rough volatility: An overview - Jim Gatheral, Baruch College, CUNY  
09:45 - 10:30 Plenary talk: Josef Teichmann (Amphitheater Pasquier)  
09:45 - 10:30 › Non-linear (PI)DEs and affine processes - Josef Teichmann, ETH Zurich  
10:30 - 11:00 Coffee break  
11:00 - 12:40 Model Risk & Robustness  
11:00 - 11:25 › Causal optimal transport and its links to enlargement of filtrations and stochastic optimization problems - Beatrice Acciaio, London School of Economics  
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  
12:15 - 12:40 › Pointwise Arbitrage Pricing Theory in Discrete Time - Jan Obloj, Oxford University  
15:00 - 15:45 Plenary talk: Bruno Bouchard (Amphitheater Pasquier)  
15:00 - 15:45 › Stochastic invariance of closed sets with non-Lipschitz coefficients - Bruno Bouchard, University Paris Dauphine  
15:45 - 16:30 Plenary talk: Marcel Nutz (Amphitheater Pasquier)  
15:45 - 16:30 › Shorting, Supply, and Speculative Bubbles - Marcel Nutz, Columbia University  
16:30 - 17:00 Coffee break  
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  
17:20 - 17:30 › Limit theorems for Multilevel estimators with and without weights - Daphné Giorgi, Laboratoire de Probabilités et Modèles Aléatoires  
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  

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  
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  
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  
15:00 - 15:45 Plenary talk: Masaaki Fukasawa (Amphitheater Pasquier)  
15:00 - 15:45 › At-the-money short-term asymptotics under stochastic volatility models - Masaaki Fukasawa, Osaka University  
15:45 - 16:30 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  
16:30 - 17:00 Coffee break  
17:00 - 18:00 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  
17:20 - 17:30 › Total variation convergence for numerical schemes for SDE - Clément Rey, Laboratoire de Probabilités et Modèles Aléatoires  
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  

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]  
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  
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  
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  
19:00 - 22:00 Conference Dinner - Le vin qui danse!, 69 Rue Broca, 75013 Paris  

Friday, January 13, 2017

Time Event  
09:00 - 09:45 Plenary talk: René Carmona (Amphitheater Pasquier)  
09:00 - 09:45 › Liquidity, Bank Runs and Mean Field Games of Timing - René Carmona, Princeton University  
09:45 - 10:30 Plenary talk: Bruno Dupire (Amphitheater Pasquier)  
09:45 - 10:30 › Special Techniques for Special Events - Bruno Dupire, Bloomberg  
10:30 - 11:00 Coffee break  
11:00 - 12:40 Advanced methods for calibration (Amphitheater Pasquier)  
11:00 - 11:25 › Markovian and product quantization of an R^d-valued Euler scheme of a diffusion process with applications to finance - Abass Sagna, Université d'Evry-Val-d'Essonne  
11:25 - 11:50 › Asymmetric information in trading against disorderly liquidation of a large position - Caroline Hillairet, ENSAE  
11:50 - 12:15 › Efficient simulation of rough volatility models - Mikko Pakkanen, Imperial College London  
12:15 - 12:40 › Some aspects of Short dated option pricing under Rough volatility - Blanka Horvath, Imperial College London  
15:00 - 15:45 Plenary talk: Agnès Sulem (Amphitheater Pasquier)  
15:00 - 15:45 › Game options in an imperfect market with default and model uncertainty - Agnès Sulem, Inria  
15:45 - 16:30 Plenary talk: Yuri Kabanov (Amphitheater Pasquier)  
15:45 - 16:30 › Clearing in financial networks - Yuri Kabanov, Besancon University