Section: Dissemination

Teaching - Supervision - Juries

Teaching

• Licence :

  - A. Alfonsi: `Probabilités”, first year course at Ecole des Ponts.

  - V. Bally : "Analyse Hilbertienne", Course L3, UPEMLV

• Master :

  - A. Alfonsi:

  • “Données Haute Fréquence en finance”,Master lectures at UPEMLV.

  • `Traitement des données de marché : aspects statistiques et calibration”, Master lectures at UPEMLV.

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

  • Professeur chargé de cours at Ecole Polytechnique.

  - V. Bally

  • Course on "Taux d'Intêret", M2 Finance, UPEMLV

  • Course on "Calcul de Malliavin et applications en finance", M2 Finance, UPEMLV

  • Course on "Analyse du risque", M2 Actuariat, UPEMLV

  • Course on "Processus Stochastiques", M2 Recherche, UPEMLV

  - B. Jourdain

  • Course on "Mont-Carlo Markov chain methods and particle algorithms", Research Master Probabilités et Modèles Aléatoires, Sorbonne Université

  • B. Jourdain: course "Mathematical finance", M1, ENPC

  - B. Jourdain, B. Lapeyre

  • Course "Monte-Carlo methods", 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

  - B. Lapeyre

  • Monte-Carlo methods in quantitative finance, Master of Mathematics, University of Luxembourg,

  - D. Lamberton

  • Calcul stochastique pour la finance, master 1 course, Université Paris-Est Marne-la-Vallée

  - A. Sulem

  • "Finite difference for PDEs in Finance", Master 2 MASEF, Université Paris IX-Dauphine, Département Mathématiques et Informatique de la Décision et des Organisations (MIDO), 27 h.

  • "PDE methods in Finance", Master of Mathematics, University of Luxembourg, 22 h lectures and responsible of the module "Numerical Methods in Finance".

Supervision

• PhD Alexandre Zhou, "Theoretical and numerical study of problems nonlinear in the sense of McKean in finance", Ecole des Ponts, defended on October 17th 2018, supervised by B.Jourdain.

• PhD Giulia Terenzi, "American options in complex financial models", université Marne la Vallée, defended on December 17th 2018, supervised by D. Lamberton and Lucia Caramellino, University Tor Vergata, Rome.

• PhD Marouan Iben Taarit , “ On CVA and XVA computations ”, "Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation", CIFRE Natixis/ENPC, defended on January 8th, ENPC, Supervisor: Bernard Lapeyre.

• PhD in progress :

  - Anas Bentaleb (started February 2018) : Mathematical techniques for expected exposure evaluation, Supervisor: B. Lapeyre.

  - Adel Cherchali, “Numerical methods for the ALM”, funded by Fondation AXA, starting from September 2017, Supervisor: A. Alfonsi

  - Rafaël Coyaud, “Deterministic ans stochastic numerical methods for multimarginal and martingale constraint optimal transport problems”, starting from October 2017, Supervisor: A. Alfonsi

  - Rui Chen (Fondation Sciences Mathématiques de Paris grant), "Stochastic Control of mean field systems and applications to systemic risk, from September 2014, Université Paris-Dauphine, Supervisor: A. Sulem.

  - Sophian Mehalla (started November 2017), CIFRE agreement Milliman company/Ecole des Ponts (http://fr.milliman.com, Supervisor: B. Lapeyre

  - Oumaima Bencheikh (started November 2017) "Acceleration of probabilistic particle methods", Supervisor: B. Jourdain

  - Ezechiel Kahn (started September 2018) "Functional inequalities for random matrices models", supervised by B. Jourdain and D. Chafai

  - William Margheriti (started January 2018) "Numerical methods for martingale optimal transport problems", supervised by J.-F. Delmas and B. Jourdain

Juries

B. Jourdain :

Jury and report on

• PhD of Hadrien De March, defended on June 29, university Paris Saclay

• PhD of David Krief, defended on September 27, University Paris Diderot

A. Sulem

• PhD of David Krief, defended on September 27, University Paris Diderot (Chair of the Committee)

• PhD of Xiao Wei, November 27, University Paris Diderot

• PhD Hadjer Moussaoui, December 14, Université de Toulon

• HdR of Thomas Lim, ENSIIE, December 4, Université Evry Val d'Essonne

• PEDR CNRS September 2018

• PRIX Inria : Grand Prix Inria - Académie des Sciences; - Prix Jeune Chercheur - Académie des Sciences ; Prix Innovation - Dassault Système (Spring 2018)