Section: Dissemination

Promoting Scientific Activities

Scientific Events Organisation

Member of the Organizing Committees

• A. Alfonsi:

  Co-organizer of the working group seminar of MathRisk “Méthodes stochastiques et finance”.

• A. Sulem

  Co-organizer of the seminar Inria-MathRisk /Université Paris 7 LPMA “Numerical probability and mathematical finance”. https://www.lpsm.paris/mathfipronum/gt

Journal

Member of the Editorial Boards

• B. Jourdain

  Associate editor of

  • ESAIM : Proceedings and Surveys

  • Stochastic Processes and their Applications (SPA)

• D. Lamberton

  Associate editor of

  • Mathematical Finance,

  • Associate editor of ESAIM Probability & Statistics

• A. Sulem

  Associate editor of

  • Journal of Mathematical Analysis and Applications (JMAA)

  • International Journal of Stochastic Analysis (IJSA)

  • SIAM Journal on Financial Mathematics (SIFIN)

Reviewer - Reviewing Activities

• B. Jourdain : Reviewer for Mathematical Reviews

• A. Sulem: Reviewer for Mathematical Reviews

Invited Talks

• A. Alfonsi

  • 15th of December 2017: "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." Séminaire Bachelier, Paris.

  • 12th of June 2018: "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." Conference on Stochastic modeling and financial applications, Verona.

  • 29th and 30th of August 2018: "Introduction to affine processes". Lecture given at the 11th European Summer School in Financial Mathematics, Palaiseau.

  • 29th of October 2018: "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." International Conference on Control, Games and Stochastic Analysis, Hammamet.

  • 7th of December 2018: "Approximation de mesures de probabilité dans l'ordre convexe par projections pour la distance de Wasserstein." Séminaire de Mathématiques Appliquées, Collège de France.

• V. Bally

  • Conference SPA (Stochastic Processes and their Applications): "Abstract Malliavin calculus and invariance principles", 11-15 June 2018, Gothenburg, Sweden.

  • Workshop on Analytical Aspects of Stochastic Systems: "Transfer of regularity for Markov semigroups", Växjö, Sweden, June 6-8, 2018.

  • Workshop Recent Advances in Random Processes - Conference in honor of Paolo Baldi's 70th aniversary. Talk: Malliavin Calculus and Invariance Principles"

  • Workshop on Asymptotic expansions and Malliavin calculus 15-16 November 2018, Institut Henri Poincaré. Talk: Malliavin Calculus and Invariance Principles"

• B. Jourdain

  - Inria Mathrisk/LPSM university Paris Diderot seminar, 20 December 2018 : Differentiability of the squared quadratic Wasserstein distance

  - 1st Moscow-UK workshop on stochastic analysis : Wasserstein calculus and related topics, ICMS Edinburgh 19-23 November 2018 : Lifted and geometric differentiability of the squared quadratic Wasserstein distance

  - Seminar of the chair Financial Risks, IHP, 5 October 2018 : A new family of one-dimensional martingales couplings

  - Populations : Interaction and Evolution, IHP, 10-14 September 2018 : Existence of a calibrated regime-switching local volatility model

  - Journées MAS 2018, Dijon, 29-31 August : plenary talk entitled Sampling of probability measures in the convex order and approximation of martingale optimal transport problems

  - 10th world congress of the Bachelier finance society, Dublin, 16-20 July 2018 : Sampling of probability measures in the convex order and approximation of martingale optimal transport problems

  - MCQMC2018, Rennes, 2-6 July 2018 : Sampling of probability measures in the convex order and approximation of martingale optimal transport problems

  - Bachelier course : Systems of rank-based diffusions with mean-field interaction, 4 hours, 23 and 30 March 2018

• D. Lamberton

  Invited speaker: Symposium on optimal stopping, June 25-29 2018, Rice University, Houston. (USA)

• A. Sulem

  • Conference SPA (Stochastic Processes and their Applications): "Stochastic Optimal Control Under Partial Observations", 11-15 June 2018, Gothenburg, Sweden.

Research Administration

• A. Alfonsi

  - Deputy director of CERMICS laboratory

  - In charge of the Master “Finance and Application” at the Ecole des Ponts.

• D. Lamberton

  Vice-president for research at Université Paris-Est Marne-la-Vallée

• B. Jourdain

  - Head of the doctoral school MSTIC, University Paris-Est

• A. Sulem

  - Member of the Committee for scientific positions (Commission des emplois scientifiques), Inria Paris

  - Corresponding member of the comité opérationel d'évaluation des risques légaux et éthiques (COERLE) at Inria Paris research center

  - Member of the Committee for Inria international Chairs