Advances in Financial Mathematics
10-13 Jan 2017 Paris (France)
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Planning
Week
Tue. 10
Wed. 11
Thu. 12
Fri. 13
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‹
Thursday, January 12, 2017
›
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
›9:00 (45min)
Plenary talk: Mike Giles
› Amphitheater Pasquier
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)
›9:45 (45min)
Plenary talk: Emmanuel Gobet
› Amphitheater Pasquier
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)
›10:30 (30min)
Break
10:30 - 11:00 (30min)
Break
›11:00 (1h40)
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)
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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)
›15:00 (1h30)
Practitioners
15:00 - 16:30 (1h30)
Practitioners
›
Bounds for VIX Futures given S&P 500 Smiles
- Julien Guyon, Bloomberg
15:00-15:30 (30min)
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B-Spline Techniques for Volatility Modeling
- Sylvain Corlay, Quantstack
15:30-16:00 (30min)
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When Almgren Chriss meet Black Scholes : delta hedging derivatives under market impact
- Jiang Pu, Unknown
16:00-16:30 (30min)
›16:30 (30min)
Coffee break
16:30 - 17:00 (30min)
Coffee break
›17:00 (1h30)
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)
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A New breed of Monte Carlo pricing and architecture to meet the FRTB challenge
- Adil Reghai, Natixis
18:00-18:30 (30min)
›19:00 (3h)
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
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Amphitheater Pasquier
