Section: Partnerships and Cooperations

International Initiatives

Conferences, Seminars, Invitations

Conferences

• A. Alfonsi:

  1. "Market Impact and Manipulation Strategies", Modeling and managing financial risks, Paris, 10-13 January 2011

  2. "Optimal execution in Limit Order Books", Vancouver, ICIAM 2011, High Frequency Modeling & Algorithmic Trading minisymposium, 20 July 2011.

  3. "Efficient simulation schemes for some multidimensional stochastic volatility models", Vancouver, ICIAM 2011, Session MS368: Computational Methods in Finance, 21 July 2011.

  4. "Efficient simulation schemes for some multidimensional stochastic volatility models", Leicester, ENUMATH 2011, 9 September 2011.

  5. "Optimal execution and price manipulations in limit order book models", Annual Financial Market Liquidity Conference Budapest, Hungary, 10 November 2011.

• V. Bally:

  1. Rough path and numerical integration methods. Univerity of Marbourg, Germany, September 21-23, 2011. “Lower bounds for tube under a local first order Hörmander condition”.

  2. Stochastic analysis, Levy processes and BSDE's, University of Innsbruck,Austria, october 3-7, 2011. “Regularization properties for the 2D homogeneous Boltzman equation without cutoff”.

  3. Seventh Seminar on Stochastic Analysis, Random Fields and Applications may 23-27, 2011, Centro Stefano Franscini, Ascona, Switzerland. “Regularization properties for the 2D homogeneous Boltzman equation without cutoff.”

  4. International Conference on Malliavin Calculus and Stochastic Analysis in Honor of Professor David Nualart. March 19-21, 2011, Kansas University, USA. “Regularization properties for the 2D homogeneous Boltzman equation without cutoff”.

• B. Jourdain:

  1. Conference Modeling and Managing Financial Risks, Paris, 10-13 january, High order discretization schemes for stochastic volatility models

  2. Seventh Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, 23-27 may, High order discretization schemes for stochastic volatility models

• J. Hosking:

  1. Groupe de travail Méthodes Stochastiques et Finance, Universitée Paris-Est Marne-la-Vallée. “ Conditions for the non-degeneracy of solutions to pure jump Lévy process driven stochastic differential equations, 21 January 2011.

• A. Sulem:

  1. Conference on Stochastic Analysis and Applications, Växjö, Sweden, June 2011

  2. Applied Probability Society Conference, Invited session on “Stochastic Control in Finance”, Stockholm, July 2011;

  3. Stochastic Analysis Conference in Ascona, Suisse, Mai 2011

Seminars

• A. Alfonsi:

  - "Exact and High order discretization schemes for Wishart processes and their affine extensions", (April at Evry, May at Mannheim).

• B. Jourdain

  - Applied mathematics seminar of the collège de France, 18 march, Robust variance reduction techniques for Gaussian random vectors

  - Probability theory, Statistics and control seminar at ENSTA, 6 april, Adaptive variance reduction for Gaussian random vectors

  - Mathematical Finance, Numerical probability and Statistics of random processes working group Paris 6, 20 october, Exercise boundary of the American put option in the Black-Scholes model with discrete dividends

• C. Labart:

  - Seminar at Institut Fourier, May 2011.

• J. Lelong:

  - Seminar of the University of Montpellier II (Institut de mathématiques et de modélisation de Montpellier)

• A. Sulem:

  - ENSTA Seminar, April 2011.

Invitations

A. Alfonsi: University Mannheim, by Alexander Schied (23rd to the 25th of May)

Visits of International Scientists

Invited Professors

Lucia Caramellino (University Tor Vergata, Rome); A. Kohatsu Higa (University of Osaka); A. Schied (Mannheim University).

Internship

• Ignacio Orrego[Ecole Polytechnique, 3rd year]. Superviser: A. Sulem and S. Ould Aly; Subject: multi-dimensional Markov-functional interest rate models.

• Phuong Nguyen[Ecole Polytechnique, 3rd year]. Superviser: A. Sulem and S. Ould Aly; Subject: European Option Pricing in a stochastic volatility model

• Nicolas Baby[ENSTA, 2nd year]; Superviser: C. Labart on “Numerical methods for solving BSDEs” (2 months).