10-13 Jan 2017 Paris (France)

Planning

Week Tue. 10 Wed. 11 Thu. 12 Fri. 13 List

	Tue. 10	Wed. 11	Thu. 12	Fri. 13
09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00	Plenary talk: Jim Gatheral 9:00 - 9:45 (45min) Plenary talk: Jim Gatheral Amphitheater Pasquier › Rough volatility: An overview - Jim Gatheral, Baruch College, CUNY 09:00-09:45 (45min) Plenary talk: Josef Teichmann 9:45 - 10:30 (45min) Plenary talk: Josef Teichmann Amphitheater Pasquier › Non-linear (PI)DEs and affine processes - Josef Teichmann, ETH Zurich 09:45-10:30 (45min) Coffee break 10:30 - 11:00 (30min) Coffee break Model Risk & Robustness 11:00 - 12:40 (1h40) Model Risk & Robustness › Causal optimal transport and its links to enlargement of filtrations and stochastic optimization problems - Beatrice Acciaio, London School of Economics 11:00-11:25 (25min) › A Monotonicity Principle for the Distribution Constrained Optimal Stopping Problem - Mathias Beiglböck, TU Wien 11:25-11:50 (25min) › Robust Hedging of Options on a Leveraged Exchange Traded Fund - Alexander Cox, University of Bath 11:50-12:15 (25min) › Pointwise Arbitrage Pricing Theory in Discrete Time - Jan Obloj, Oxford University 12:15-12:40 (25min) Plenary talk: Bruno Bouchard 15:00 - 15:45 (45min) Plenary talk: Bruno Bouchard Amphitheater Pasquier › Stochastic invariance of closed sets with non-Lipschitz coefficients - Bruno Bouchard, University Paris Dauphine 15:00-15:45 (45min) Plenary talk: Marcel Nutz 15:45 - 16:30 (45min) Plenary talk: Marcel Nutz Amphitheater Pasquier › Shorting, Supply, and Speculative Bubbles - Marcel Nutz, Columbia University 15:45-16:30 (45min) Coffee break 16:30 - 17:00 (30min) Coffee break Flash Talks 17:00 - 18:00 (1h) Flash Talks › Hedging and pricing with rough-Heston models - Omar El Euch, Centre de Mathématiques Appliquées - Ecole Polytechnique 17:00-17:10 (10min) › 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 17:10-17:20 (10min) › Limit theorems for Multilevel estimators with and without weights - Daphné Giorgi, Laboratoire de Probabilités et Modèles Aléatoires 17:20-17:30 (10min) › Irreducible paving map for martingale couplings in finite dimension - Adrien De March, Centre de Mathématiques Appliquées - Ecole Polytechnique 17:30-17:40 (10min) › Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph - Gustaw Matulewicz, Centre de Mathématiques Appliquées - Ecole Polytechnique 17:40-17:50 (10min) › Multi-Martingale Optimal Transport - Tongseok Lim, Mathematical Institute [Oxford] 17:50-18:00 (10min) Welcome reception - Espace Krajcberg, 21 Avenue du Maine, 75015 Paris 19:00 - 20:30 (1h30) Welcome reception - Espace Krajcberg, 21 Avenue du Maine, 75015 Paris	Plenary Talk: Mete Soner 9:00 - 9:45 (45min) Plenary Talk: Mete Soner Amphitheater Pasquier › Trading with market impact - Mete Soner, ETH Zurich 09:00-09:45 (45min) Plenary talk: Zorana Grbac 9:45 - 10:30 (45min) Plenary talk: Zorana Grbac Amphitheater Pasquier › Canceled - Zorana Grbac, University Paris Diderot 09:45-10:30 (45min) Coffee break 10:30 - 11:00 (30min) Coffee break Financial Engineering 11:00 - 12:40 (1h40) Financial Engineering › Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio - Christa Cuchiero, University of Vienna 11:00-11:25 (25min) › Limited liability, or how to prevent slavery in contract theory - Dylan Possamai, CEntre de REcherches en MAthématiques de la DEcision 11:25-11:50 (25min) › Parametric Option Pricing by Interpolation - Kathrin Glau, Technische Universität München 11:50-12:15 (25min) › Remarks on rough Bergomi: asymptotics and calibration - Antoine Jacquier, Imperial College London 12:15-12:40 (25min) Plenary talk: Masaaki Fukasawa 15:00 - 15:45 (45min) Plenary talk: Masaaki Fukasawa Amphitheater Pasquier › At-the-money short-term asymptotics under stochastic volatility models - Masaaki Fukasawa, Osaka University 15:00-15:45 (45min) Plenary talk: Benjamin Jourdain 15:45 - 16:30 (45min) Plenary talk: Benjamin Jourdain Amphitheater Pasquier › Existence to a calibrated regime-switching local volatility model - Benjamin Jourdain, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique 15:45-16:30 (45min) Coffee break 16:30 - 17:00 (30min) Coffee break Flash Talks 17:00 - 18:00 (1h) Flash Talks › Pricing CVA adjustments: An expansion approach for WWR - Marouan Iben Taarit, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique 17:00-17:10 (10min) › Large deviations for affine processes and application to variance reduction for pricing - David Krief, University Paris Diderot 17:10-17:20 (10min) › Total variation convergence for numerical schemes for SDE - Clément Rey, Laboratoire de Probabilités et Modèles Aléatoires 17:20-17:30 (10min) › Interest rate models enhanced with local volatilities - Lingling Cao, Societe Generale 17:30-17:40 (10min) › Local volatility models enhanced with jumps - Hamza Guennoun, Societe Generale 17:40-17:50 (10min) › Analysis of the behavior of High Frequency Traders on Euronext Paris - Pamela Saliba, Laboratoire de Probabilités et Modèles Aléatoires 17:50-18:00 (10min)	Plenary talk: Mike Giles 9:00 - 9:45 (45min) Plenary talk: Mike Giles Amphitheater Pasquier › Multilevel Monte Carlo for VaR - Mike Giles, Oxford University 09:00-09:45 (45min) Plenary talk: Emmanuel Gobet 9:45 - 10:30 (45min) Plenary talk: Emmanuel Gobet Amphitheater Pasquier › MCMC design-based non-parametric regression for rare-event. Application to nested risk computations - Emmanuel Gobet, Ecole Polytechnique [Palaiseau] 09:45-10:30 (45min) Break 10:30 - 11:00 (30min) Break Computational Finance 11:00 - 12:40 (1h40) Computational Finance › Concentration inequalities for the Multilevel Monte Carlo Euler method applied to SDEs - Ahmed Kebaier, Laboratoire Analyse, Géométrie et Applications 11:00-11:25 (25min) › Hitting times of one dimensional diffusions and Monte Carlo approximation - Noufel Frikha, Laboratoire de Probabilités et Modèles Aléatoires 11:25-11:50 (25min) › Branching diffusion representation of semilinear PDEs and Monte Carlo approximation - Xialou Tan, CEntre de REcherches en MAthématiques de la DEcision 11:50-12:15 (25min) › Variation of the branching method - Xavier Warin, EDF 12:15-12:40 (25min) Practitioners 15:00 - 16:30 (1h30) Practitioners › Bounds for VIX Futures given S&P 500 Smiles - Julien Guyon, Bloomberg 15:00-15:30 (30min) › B-Spline Techniques for Volatility Modeling - Sylvain Corlay, Quantstack 15:30-16:00 (30min) › When Almgren Chriss meet Black Scholes : delta hedging derivatives under market impact - Jiang Pu, Unknown 16:00-16:30 (30min) Coffee break 16:30 - 17:00 (30min) Coffee break Practitioners 17:00 - 18:30 (1h30) Practitioners › Correlations in stocks volatilities: factors and residues - Rémy Chicheportiche, Swissquote 17:00-17:30 (30min) › Managing Vanillas: routine or not ? - Jean-Jacques Rabeyrin, BNP Paribas 17:30-18:00 (30min) › A New breed of Monte Carlo pricing and architecture to meet the FRTB challenge - Adil Reghai, Natixis 18:00-18:30 (30min) Conference Dinner - Le vin qui danse!, 69 Rue Broca, 75013 Paris 19:00 - 22:00 (3h) Conference Dinner - Le vin qui danse!, 69 Rue Broca, 75013 Paris	Plenary talk: René Carmona 9:00 - 9:45 (45min) Plenary talk: René Carmona Amphitheater Pasquier › Liquidity, Bank Runs and Mean Field Games of Timing - René Carmona, Princeton University 09:00-09:45 (45min) Plenary talk: Bruno Dupire 9:45 - 10:30 (45min) Plenary talk: Bruno Dupire Amphitheater Pasquier › Special Techniques for Special Events - Bruno Dupire, Bloomberg 09:45-10:30 (45min) Coffee break 10:30 - 11:00 (30min) Coffee break Advanced methods for calibration 11:00 - 12:40 (1h40) Advanced methods for calibration Amphitheater Pasquier › 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 11:00-11:25 (25min) › Asymmetric information in trading against disorderly liquidation of a large position - Caroline Hillairet, ENSAE 11:25-11:50 (25min) › Efficient simulation of rough volatility models - Mikko Pakkanen, Imperial College London 11:50-12:15 (25min) › Some aspects of Short dated option pricing under Rough volatility - Blanka Horvath, Imperial College London 12:15-12:40 (25min) Plenary talk: Agnès Sulem 15:00 - 15:45 (45min) Plenary talk: Agnès Sulem Amphitheater Pasquier › Game options in an imperfect market with default and model uncertainty - Agnès Sulem, Inria 15:00-15:45 (45min) Plenary talk: Yuri Kabanov 15:45 - 16:30 (45min) Plenary talk: Yuri Kabanov Amphitheater Pasquier › Clearing in financial networks - Yuri Kabanov, Besancon University 15:45-16:30 (45min)

Online user: 1