Section: Dissemination

Teaching - Supervision - Juries

Teaching

• A. Alfonsi:

  1. “Modéliser, Programmer et Simuler”, second year course at the Ecole des Ponts.

  2. “Calibration, Volatilité Locale et Stochastique”, third-year course at ENSTA (Master with Paris I).

  3. “Traitement des données de marché : aspects statistiques et calibration”, lecture for the Master at UPEMLV.

  4. “Mesures de risque”, Master course of UPEMLV and Paris VI.

• V. Bally:

  1. Master 2 of the University Marne la Vallée:

     -Malliavin Calculus and numerical applications in fiance

     - Probabilistic methods for risk analysis.

     -Taux d'itérêt

• B. Jourdain :

  1. Course "Probability theory and statistics", first year ENPC

  2. Course "Introduction to probability theory", 1st year, Ecole Polytechnique

  3. Course "Stochastic numerical methods", 3rd year, Ecole Polytechnique

  4. projects in finance and numerical methods, 3rd year, Ecole Polytechnique

• B. Jourdain, B. Lapeyre: course "Monte-Carlo methods in finance", 3rd year ENPC and Master Recherche Mathématiques et Application, University of Marne-la-Vallée

• J.-F. Delmas, B. Jourdain: course "Jump processes with applications to energy markets", 3rd year ENPC and Master Recherche Mathématiques et Application, university of Marne-la-Vallée

• D. Lamberton:

  1. Second year of Licence de mathématiques (probability), Université Paris-Est Marne-la-Vallée.

  2. Master course “Calcul stochastique et applications en finance", Université Paris-Est Marne-la-Vallée.

• A. Sulem:

  1. Master course, Université Paris IX-Dauphine, Département MIDO (Mathématiques et Informatique de la Décision et des Organisations), Master MASEF, 21 h., Méthodes numériques en Finance

  2. Master of Mathematics, Université du Luxembourg, 15h, 2012. Numerical Methods in Finance.

Supervision

• HdR :

  Aurélien Alfonsi, Discrétisation de processus et modélisation en finance, December 14 2012 , Ecole des Ponts Université Paris Est

• PhD :

  Lokmane Abbas Turki. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance. PhD thesis, Université Paris-Est, September 21, 2012,

  this thesis was funded by Credinext.

  Advisers: D. Lamberton and B. Lapeyre,

  Current Position: Postdoc, Humbold University, Berlin

• PhD in progress

  • José Infante Acevedo: (from Oct. 2009). Half of this thesis is dedicated to liquidity risk and limit order books modelling . Adviser: A. Alfonsi.

  • Pierre Blanc: Modeling the price impact of limit and market orders. Adviser: A. Alfonsi.

  • Ayech Bouselmi: (3nd year, started in October 2009). Allocataire de recherche, Université Paris-Est. Lévy processes and multi-dimensional models in finance. Adviser: D. Lamberton.

  • Roxana Dumitrescu: started October 2012, Gestion de risques sous contraintes de portefeuille. Fondation Sciences Mathématiques de Paris grant, Inria and Université Paris-Dauphine, Inria adviser: A. Sulem.

  • Jing Chen: (Shandong University grant), Inria Non Markovian Stochastic Control and Backward SDEs, Adviser: A. Sulem .

  • Maxence Jeunesse: (started in November 2009), Study of some numerical methods in finance. Adviser: B. Jourdain and J.-Ph. Chancelier, chair "Risques financiers" grant.

  • Jyda Mint Moustapha: (started in november 2012), IFSTTAR, Etude et caractérisation de pelotons de véhicules sur des routes à forte circulation. Advisers: D. Daucher and B. Jourdain.

  • Ernesto Palidda: ENPC and Crédit Lyonnais GRO. Multi-dimensional stochastic volatility for Interest Rates. Adviser: B. Lapeyre.

  • Paola Pigato: (started November 2012). UPEMLV and University of Pisa, Calcul de Malliavin. Adviser: V. Bally.

  • Clément Rey: ENPC and UPMLV. Weak error analysis of discretization schemes for some financial processes. Advisers: A. Alfonsi and V. Bally.

  • Julien Reygner: (started in september 2011), IPEF, ENPC. Convergence à l'équilibre de processus stochastiques. Advisers: L. Zambotti and B. Jourdain.

  • Victor Rabiet: (started 01/10/2009). ENS Cachan and UPEMLV : Régularité du semigroupe pour des équations stochastiques avec sauts. Adviser: V. Bally.

Juries of PhD

• Agnes Sulem

  • Carmine De Franco, Laboratoire de Probabilités et Modeles Aléatoires (LPMA), Université Paris VII, 29 Juin 2012.

  • Lebovits Joachim, Ecole Centrale de Paris, 25 janvier 2012: Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance

• Damien Lamberton

  • Carmine De Franco, Laboratoire de Probabilités et Modeles Aléatoires (LPMA), Université Paris VII, 29 Juin 2012.